Useful Links / Further Reading

 

The Laureates
Robert F. Engle, New York University
Clive W. J. Granger, University of California, San Diego
 
ARCH
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.
 
Cointegration
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
MLA style: Useful Links / Further Reading. NobelPrize.org. Nobel Media AB 2018. Wed. 12 Dec 2018. <https://www.nobelprize.org/prizes/economic-sciences/2003/9220-useful-links-further-reading-2003-2/>

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