Expository Papers

  • Robert Engle, Sergio M. Focardi and Frank J. Fabozzi, "ARCH/GARCH Models in Applied Financial Econometrics," in Chapter in Handbook Series in Finance by Frank J. Fabozzi (John Wiley & Sons, 2008)
  • "The ET Interview: Robert F. Engle," (interviewed by Francis X. Diebold), Econometric Theory (January 2003) v19 n6
  • "Robert F. Engle III, autobiography (2004) Les Prix Nobel 2003, Nobel Foundation, pp. 309-325
  • "Risk and Volatility: Econometric Models and Financial Practice," Nobel Lecture,(2004) American Economic Review, V94M3 pp 405-420
  • "Grappling with GARCH," (with Joseph Mezrich), RISK (1995): 112-117
  • "GARCH for Groups," (with Joseph Mezrich), RISK (1996): 36-40
  • "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics", Journal of Economic Perspectives (Fall 2001), V15N4
  • "What Good is a Volatility Model?" (with Andrew Patton), Quantitative Finance, (March 2001) V1N2 pp 237-245
  • "Financial Econometrics – A New Discipline with New Methoods," Journal of Econometrics (Jan. 2001), V100 pp53-56