Risk and Volatility: Econometric Models and Financial Practice
The increased importance played by risk and uncertainty considerations in modern economic theory have necessitated the development of new econometric time series techniques that allow for the modeling of time varying variances and covariances. Particularly instrumental in this development has been the AutoRegressive Conditional Heteroskedastic (ARCH) class of models introduced by Robert Engle.
Engle, R. (2003) Risk and Volatility: Econometric Models and Financial Practice, Les Prix Nobel.