Useful Links / Further Reading


The Laureates
Robert F. Engle, New York University
Clive W. J. Granger, University of California, San Diego
Engle, R.F., “GARCH101: The Use of ARCH/GARCH Models in Applied Econometrics,” Journal of Economic Perspectives, Vol. 15, No. 4, Fall 2001, pp. 157–168.
Poon, S-H., and C.W.J. Granger, “Forecasting Financial Market Volatility,” Journal of Economic Literature, Vol. 41, No. 2, June 2003, pp. 478–539.
Granger, C.W.J., “Developments in the Study of Cointegrated Variables”, Oxford Bulletin of Economics and Statistics, Vol. 48, 1986, pp. 213–228.
Murray, M.P., “A Drunk and her Dog: An Illustration of Cointegration and Error Correction”, The American Statistician, Vol. 48, No.1, Feb 1994, pp. 37–39.
Phillips, P.C.B., “ET Interview: Clive Granger”, Econometric Theory, Vol. 13, 1997, pp. 253–304.

To cite this section
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