Best of Volatility Views: Volatility Discussion with Nobel Laureate Robert Engle
Mark and Don have the honor of speaking with Professor Engle on various aspects of volatility, including:
- Professor Engle’s move from physics to economics
- ARCH and GARCH models, and how the ARCH model was born
- The Volatility Institute
- Vlab
- SoFiE
- Professor Engle’s work with the SEC’s Flash Crash Advisory Committee
- The Professor’s viewpoint on Dodd-Frank, particularly as it applies to derivatives & counterparty risk.
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