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.