The Nobel Memorial Prize for Robert F. Engle
The Nobel Memorial Prize for Robert F. Engle
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About This Book
"I review and interpret two of Robert Engle's most important contributions: The theory and application of cointegration, and the theory and application of dynamic volatility models. I treat the latter much more extensively, de-emphasizing technical aspects and focusing instead on the intuition, nuances and importance of the work"--National Bureau of Economic Research web site.
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