This year’s Nobel prize in economics has been awarded to Robert Engle and Clive Granger for their work with statistical modelling techniques with time series.
Being somewhat familiar with time series from the Management Science standpoint, I deal with adjustments for demand volatility in supply chain models.
I understand that the compelling research factor here was that volatility was modelled at both the mean and the standard deviation level - right??
I’m wondering if anyone can share experiential narratives of volatility modelling using time series at financial institutions - e.g. in investment portfolios etc.