voprecotestВопросы экономикиVoprosy Ekonomiki0042-8736Voprosy Ekonomiki, NP10.32609/0042-8736-2004-1-37-48voprecotest-1841Research ArticleВОПРОСЫ ТЕОРИИISSUES OF THEORYРоберт Энгл и Клайв Гренджер: новые области экономических исследований (нобелевская премия 2003 года по экономике)Robert Engle and Clive Granger: New Spheres of Economic Research (Nobel Prize in Economics 2003)КанторовичГ.KantorovichG.

кандидат физико-математических наук, профессор, проректор

ТурунцеваМ.TouruntsevaM.

научный сотрудник ИЭПП; преподаватель ГУ-ВШЭ

ГУ-ВШЭРоссияState University - Higher School of EconomicsRussian FederationИнститут экономики переходного периода; ГУ-ВШЭРоссияInstitute for the Economy in Transition; State University - Higher School of EconomicsRussian Federation200420012004013748Copyright © Voprosy Ekonomiki, NP, 20042004Voprosy Ekonomiki, NPVoprosy Ekonomiki, NPhttps://www.vopreco.ru/jour/about/submissions#copyrightNoticehttps://www.vopreco.ru/jour/article/view/1841

Статья посвящена описанию достижений Роберта Энгла и Клайва Гренджера, которые позволили преодолеть серьезный кризис в области макроэкономических исследований и анализе финансовых рынков. В первой части работы рассмотрены основные понятия теории коинтегрированных случайных процессов и методы оценки коинтеграционных соотношений; кратко описаны области применения данной теории и возможные ее расширения. Вторая часть работы посвящена моделям финансовых временных рядов: сформулированы основные предпосылки, предложенного Р. Энглом метода, описаны его наиболее распространенные расширения и области применения.

This paper is dedicated to the achievements of Robert Engle and Clive Granger which allowed to overcome a serious crisis in macroeconomics and financial market analysis. The main concepts of cointegration theory and different estimation methods of cointegration equations are considered in the first part of the paper. The areas of application of cointegration theory and possible extensions are briefly described as well. The financial time series model with conditional heteroskedastisity is analyzed in the second part of the paper. The main prerequisites of the method suggested by R. Engle are formulated and its extensions and areas of application are defined.

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The authors declare that there are no conflicts of interest present.