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The Nobel Memorial Prize for Robert F. Engle

Author

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  • Francis X. Diebold

Abstract

Engle’s footsteps range widely. His major contributions include early work on band-spectral regression, development and unification of the theory of model specification tests (particularly Lagrange multiplier tests), clarification of the meaning of econometric exogeneity and its relationship to causality, and his later stunningly influential work on common trend modeling (cointegration) and volatility modelling (ARCH, short for Auto Regressive Conditional Heteroskedasticity). More generally, Engle’s cumulative work is a fine example of best-practice applied time-series econometrics: he identifies important dynamic economic phenomena, formulates precise and interesting questions about those phenomena, constructs sophisticated yet simple econometric models for measurement and testing, and consistently obtains results of widespread substantive interest in the scientific, policy, and financial communities.
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Suggested Citation

  • Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," Scandinavian Journal of Economics, Wiley Blackwell, vol. 106(2), pages 165-185, June.
    • Handle: RePEc:bla:scandj:v:106:y:2004:i:2:p:165-185
    DOI: 10.1111/j.0347-0520.2004.00360.x
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    Cited by:

    1. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Volatility forecasting," CFS Working Paper Series 2005/08, Center for Financial Studies (CFS).
    2. Mustafa Avcın, 2024. "The impact of justified corporate governance changes against exchange rate exposure in North Cyprus," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1947-1971, April.
    3. Joshua Aizenman & Brian Pinto, 2004. "Managing Volatility and Crises: A Practitioner's Guide Overview," NBER Working Papers 10602, National Bureau of Economic Research, Inc.
    4. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
    5. Vargas, Gregorio A., 2006. "An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model," MPRA Paper 189, University Library of Munich, Germany, revised Aug 2006.
    6. Donna J. Bergenstock & Mary E. Deily & Larry W. Taylor, 2006. "A Cartel's Response to Cheating: An Empirical Investigation of the De Beers Diamond Empire," Southern Economic Journal, John Wiley & Sons, vol. 73(1), pages 173-189, July.
    7. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    8. Mohamed BELHEDI & Ines SLAMA & Amine LAHIANI, 2015. "Tranmission Of International Shocks To An Emerging Small Open-Economy: Evidence From Tunisia," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 42, pages 231-258.
    9. Stavros Degiannakis & Alexandra Livada & Epaminondas Panas, 2008. "Rolling-sampled parameters of ARCH and Levy-stable models," Applied Economics, Taylor & Francis Journals, vol. 40(23), pages 3051-3067.
    10. Masih, Mansur & Algahtani, Ibrahim & De Mello, Lurion, 2010. "Price dynamics of crude oil and the regional ethylene markets," Energy Economics, Elsevier, vol. 32(6), pages 1435-1444, November.
    11. Thomas C. Chiang & Jiandong Li, 2012. "Stock Returns and Risk: Evidence from Quantile," JRFM, MDPI, vol. 5(1), pages 1-39, December.
    12. Masih, A. Mansur M. & De Mello, Lurion, 2011. "Does the ‘Environmental Kuznets Curve’ Exist? An Application of Long-run Structural Modelling to Saudi Arabia - La Curva di Kuznets esiste? Un’applicazione LRSM al caso dell’Arabia Saudita," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 64(2), pages 211-235.
    13. Eduardo Rossi, 2010. "Univariate GARCH models: a survey (in Russian)," Quantile, Quantile, issue 8, pages 1-67, July.
    14. repec:uii:journl:v:6:y:2014:i:1:p:1-12 is not listed on IDEAS
    15. Michele Vodret & Iacopo Mastromatteo & Bence Tóth & Michael Benzaquen, 2023. "Microfounding GARCH models and beyond: a Kyle-inspired model with adaptive agents," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(3), pages 599-625, July.

    More about this item

    JEL classification:

    • B31 - Schools of Economic Thought and Methodology - - History of Economic Thought: Individuals - - - Individuals
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

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