Which Econometrics textbook did Robert Engle use?

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Nobel laureate Robert Engle, talks about his analysis of equity market volatility, quantitative finance and more in this podcast.

In an earlier interview Engle says;

“Well, it was very interesting, because Ta Chung was a real dynamo. The year when I was taking econometrics he was in Taiwan helping reform the tax system, and so I took my first econometrics class with Berndt Stigum. It was a very small class, and we went at a high level using Malinvaud’s text, which had just appeared in English. The following year when T.C. came back from Taiwan I took the course again, and that time we used Goldberger. Those two books back to back provided a great econometrics background.”

Related Link;

A profile in the Economist; Mr Engle's approach, ARCH (for autoregressive conditional heteroscedasticity, should you insist on knowing) gave researchers the power to test whether and how volatility in one period is related to volatility in earlier times. There often is a link, as casual observation suggests. After several days of stockmarket upheaval, there may be several days of calm. A 3% rise or fall in shares is often heralded by increasing volatility, much as an earthquake is preceded by tremors. Mr Engle's high-powered maths has made market risk easier to forecast. Thus banks and investors who use “value at risk” techniques to analyse their portfolios owe much to Mr Engle. So does the Basel committee which is drawing up new rules for banks' capital requirements.

Not Your Father's Nobel Prize

Risk and Volatility: Econometric Models and Financial Practice (Nobel Lecture of Engle)

GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics

What Good is a Volatility Model

Managing Volatility and Crises: A Practitioner's Guide

Team ARCH Weblog

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This page contains a single entry by Paul published on June 3, 2006 1:17 AM.

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