Diebold, Francis X. (contributor); Engle, Robert F. (honouree) - 2004
stunningly influential work on common trend modeling (cointegration) and volatility modeling
(ARCH, short for AutoRegressive … theory and application of dynamic volatility
models. Moreover, I will discuss much more extensively Engle’s volatility … methods of
analyzing economic time series with time-varying volatility (ARCH),” whereas Granger’s was for “for
methods of …