RESEARCH EXPOSITION

 

“Financial Econometrics - A New Discipline With New Methods,” Journal of Econometrics (Jan. 2001), V100 pp53-56 PDF        

“GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics”, Journal of Economic Perspectives (Fall 2001), V15N4, pp 157-168 Word Doc  Excel  ReadMe

 “What Good is a Volatility Model?,” (with Andrew Patton), Quantitative Finance (March 2001) V1N2, pp237-245 PDF

 “The ET Interview: Robert F. Engle,” (interviewed by Francis X. Diebold), Econometric Theory, (Jan. 2003) V19N6 PDF