Robert F. Engle

[2003]    罗伯特·恩格尔(Robert F. Engle)和克莱夫·格兰杰(Briton Clive WJ Granger)
          发明了处理许多经济时间序列两个关键特性的统计方法：时间变化的变更率和非平稳性。

本文含一下论从：

Bayesian Analysis of Stochastic Volatility Models
A Capital Asset Pricing Model with Time-Varying Covariances
Band Spectrum Regression
Co-Integration and Error Correction-Representation, Estimation, and Testing
Common Volatility in International Equity Markets
Estimates of the Variance of U. S. Inflation Based upon the ARCH Model
Estimating Time Varying Risk Premia in the Term Structure-The Arch-M Model
Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions
Multivariate Simultaneous Generalized Arch
Semiparametric ARCH Models
Small-Sample Properties of ARCH Estimators and Tests
Specification of the Disturbance for Efficient Estimation
Statistical Models for Financial Volatility
Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative
Testing Price Equations for Stability Across Spectral Frequency Bands
The Econometrics of Ultra-High-Frequency Data

[此贴子已经被作者于2008-12-11 3:34:58编辑过]