NOBEL-2001
   



Read More
on the Nobel Prize:


Nobel Minds
2001 Awards
John Nash
Women Nobel Prize
Ig-Nobel Prize
Einstein's Brain
Book: Russell
Lisa Meitner
The Nobel Prize
Herbert Simon
All the winners
Prize Amounts

MINI ALMANAC


Calendar

Moon phase


Highlights:

NOBEL MEDICINE 2004

IG-NOBEL PRIZES
2004

Concerned Scientists write to Bush

Economics Nobel 2003

Chemistry Nobel 2003

Medicine Nobel 2003
Literature Nobel 2003

Physics Nobel 2003

Life on Mars ?
Rosalind Franklin and the Discovery of Double Helix

Good Bye Dolly
On Stonehenge
The Loss of Columbia
IG Nobel 2002
The invention of :-)
West Nile Virus
Asteroid Impact?
Molecule Hunt
Tuxedo Park
Ancient Trade Routes
Pop Singer to Fly In Space
Great Ideas
Baraka

The Universe in a Nutshell
Copenhagen, the Play
Count of Monte Cristo
Nobel Prize 2001
John Nash
Echelon
Kernel Methods

Ig-Nobel Prize
Einstein's Brain
Space Turism
Floating City
Mir's Blast
Origins
Great Books
Nobel Prize
In the mind of:
Serial Killers
The secret shuttle
Are we aliens?
Studying ET
Dinosaurs
Bonobo
Pattern Analysis
Early Vibrators
and Hysteria
The CYB.ORGs
among us
Book: Darwin
Book: Russell

Read also:

Nobel Prize Women
in Science :
Their Lives, Struggles, and Momentous Discoveries
by Sharon Bertsch McGrayne

 

 


Nobel Prize in Economic Sciences

The Royal Swedish Academy of Sciences has decided that the Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel, 2003, is to be shared between

Robert F. Engle
New York University, USA

“for methods of analyzing economic time series with time-varying volatility (ARCH)”

and

Clive W. J. Granger
University of California at San Diego, USA

“for methods of analyzing economic time series with common trends (cointegration)”


Statistical Methods for Economic Time Series

Researchers use data in the form of time series, i.e., chronological sequences of observations, when estimating relationships and testing hypotheses from economic theory. Such time series show the development of GDP, prices, interest rates, stock prices, etc. During the 1980s, this year’s Laureates devised new statistical methods for dealing with two key properties of many economic time series: time-varying volatility and nonstationarity.

On financial markets, random fluctuations over time – volatility – are particularly significant because the value of shares, options and other financial instruments depends on their risk. Fluctuations can vary considerably over time; turbulent periods with large fluctuations are followed by calmer periods with small fluctuations. Despite such time-varying volatility, in want of a better alternative, researchers used to work with statistical methods that presuppose constant volatility. Robert Engle’s discovery was therefore a major breakthrough. He found that the concept of autoregressive conditional heteroskedasticity (ARCH) accurately captures the properties of many time series and developed methods for statistical modeling of time-varying volatility. His ARCH models have become indispensable tools not only for researchers, but also for analysts on financial markets, who use them in asset pricing and in evaluating portfolio risk.

Most macroeconomic time series follow a stochastic trend, so that a temporary disturbance in, say, GDP has a long-lasting effect. These time series are called nonstationary; they differ from stationary series which do not grow over time, but fluctuate around a given value. Clive Granger demonstrated that the statistical methods used for stationary time series could yield wholly misleading results when applied to the analysis of nonstationary data. His significant discovery was that specific combinations of nonstationary time series may exhibit stationarity, thereby allowing for correct statistical inference. Granger called this phenomenon cointegration. He developed methods that have become invaluable in systems where short-run dynamics are affected by large random disturbances and long-run dynamics are restricted by economic equilibrium relationships. Examples include the relations between wealth and consumption, exchange rates and price levels, and short and long-term interest rates.

Robert F. Engle, born in 1942 (60 years), in Syracuse, NY, USA (American citizen); Ph.D. from Cornell University in 1969; Michael Armellino Professor of Management of Financial Services at New York University, NY, USA.

Clive W. J. Granger, born 1934 (69 years), in Swansea, Wales (British citizen); Ph.D. from University of Nottingham in 1959; emeritus Professor of Economics at University of California at San Diego, USA.

The Nobel Prize : A History of Genius, Controversy and Prestige
by Burton Feldman

Read more

 

Va Pensiero - Copyright 2004- In association with Amazon.com

 
Quotable Quote

Random Link

History of Technology

Is this Monument Telling the Truth ?



This monument in downtown Boston is at odds with a recent Congress resolution, granting to Antonio Meucci - not Alexander Bell - moral rights for the invention of the telephone .... more
 
Improbable Research

The 2002 IG Nobel Prizes were awarded in a ceremony at Harvard University. From Belly Button Lint to estimating the surface of an elephant...
... read more