| 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. |
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