Robert F. Engle

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Robert F. Engle
Robert F. Engle.jpg
Dielo
Osobné informácie
Narodenie 10. november 1942 (71 rokov)
Syracuse, New York, USA

Robert F. Engle (* 10. november 1942, Syracuse, New York) je americký ekonóm, ktorý dostal Nobelovu cenu za ekonómiu v roku 2003 spolu s Cliveom Grangerom.

Vybrané práce[upraviť | upraviť zdroj]

  • Autoregressive Conditional Heteroskedasticity With Estimates of the Variance of U.K. Inflation Econometrica 50 (1982): 987-1008.
  • Estimation of Time Varying Risk Premia in the Term Structure: the ARCH-M Model (with David Lilien and Russell Robins), Econometrica 55 (1987): 391-407.
  • Co-integration and Error Correction: Representation, Estimation and Testing (with Clive Granger), Econometrica 55 (1987): 251-276.
  • Semi-parametric estimates of the relation between weather and electricity demand (with C. Granger, J. Rice and A. Weiss), Journal of American Statistical Association 81 (1986): 310-320.
  • Exogeneity (with David F. Hendry and Jean-Francois Richard), Econometrica 51 (1983): 277-304.
  • Asset Pricing with a Factor ARCH Covariance Structure: Empirical Estimates for Treasury Bills (with V. Ng, and M. Rothschild) Journal of Econometrics 45 (1990): 213-237.
  • Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models Journal of Business and Economic Statistics (júl 2002)

Iné projekty[upraviť | upraviť zdroj]