Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/72632 
Title: 

The Nobel Memorial Prize for Robert F. Engle

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Year of Publication: 
2004
Series/Report no.: 
CFS Working Paper No. 2004/11
Publisher: 
Goethe University Frankfurt, Center for Financial Studies (CFS), Frankfurt a. M.
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.
Subjects: 
Econometric Theory
Finance
JEL: 
B31
C10
Document Type: 
Working Paper

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