Engle readies new correlation model

Robert Engle was on vacation last month when he got the call saying he had been awarded the Nobel prize for economics. In fact, he was out at the time, and his wife was not able to tell the caller from the Nobel Foundation in Stockholm where he could be found.

“Fortunately I was able to get back to them before they changed their minds,” he told delegates at Risk’s Credit Risk Summit conference in London on October 22.

Engle described his laureate as “a prize for all of econometrics – and also

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