Robert F. Engle
Names
| first: |
Robert |
| middle: |
F. |
| last: |
Engle |
| suffix: |
III |
Identifer
Contact
| homepage: |
http://pages.stern.nyu.edu/~rengle/ |
|
| postal address: |
Robert Engle obtained the Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel in 2003. His entry is maintained by the RePEc team. The listed email address will not respond to inquiries |
Affiliations
-
National Bureau of Economic Research (NBER)
-
New York University (NYU)
/ Stern School of Business
/ Finance Department
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New York University (NYU)
/ Stern School of Business
/ Volatility Institute
Research profile
author of:
- And Now, The Rest of the News: Volatility and Firm Specific News Arrival (RePEc:aah:create:2012-56)
by Robert F. Engle & Martin Klint Hansen & Asger Lunde - Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks (RePEc:aea:aecrev:v:102:y:2012:i:3:p:59-64)
by Viral Acharya & Robert Engle & Matthew Richardson - An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government (RePEc:aea:aecrev:v:62:y:1972:i:2:p:87-97)
by Engle, Robert F, III, et al - Risk and Volatility: Econometric Models and Financial Practice (RePEc:aea:aecrev:v:94:y:2004:i:3:p:405-420)
by Robert Engle - GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (RePEc:aea:jecper:v:15:y:2001:i:4:p:157-168)
by Robert Engle - A General Approach To The Construction Of Model Diagnostics Based Upon The Lagrange Multiplier Principle (RePEc:ags:uwarer:269054)
by Engle, Robert F. - Exogeneity (RePEc:ags:uwarer:269060)
by Engle, Robert F. & Hendry, David F. & Richard, Jean-Francois - Testing macroprudential stress tests: The risk of regulatory risk weights (RePEc:aiz:louvar:2014022)
by Acharya, Viral & Engle, Robert & Pierret, Diane - Systemic Risk 10 Years Later (RePEc:anr:refeco:v:10:y:2018:p:125-152)
by Robert Engle - Climate Stress Testing (RePEc:anr:refeco:v:15:y:2023:p:291-326)
by Viral V. Acharya & Richard Berner & Robert Engle & Hyeyoon Jung & Johannes Stroebel & Xuran Zeng & Yihao Zhao - The Underlying Dynamics of Credit Correlations (RePEc:arx:papers:1001.0786)
by Arthur M. Berd & Robert F. Engle & Artem Voronov - Copula--based Specification of vector MEMs (RePEc:arx:papers:1604.01338)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns (RePEc:att:wimass:9121)
by Lin, W.L. & Engle, R.F. & Ito, T. - The Factor-Spline-GARCH Model for High and Low Frequency Correlations (RePEc:bdm:wpaper:2009-03)
by Rangel José Gonzalo & Engle Robert F. - High and Low Frequency Correlations in Global Equity Markets (RePEc:bdm:wpaper:2009-17)
by Engle Robert F. & Rangel José Gonzalo - Common Volatility in International Equity Markets (RePEc:bes:jnlbes:v:11:y:1993:i:2:p:167-76)
by Engle, Robert F & Susmel, Raul - Testing for Common Features (RePEc:bes:jnlbes:v:11:y:1993:i:4:p:369-80)
by Engle, Robert F & Kozicki, Sharon - Testing for Common Features: Reply (RePEc:bes:jnlbes:v:11:y:1993:i:4:p:393-95)
by Engle, Robert F & Kozicki, Sharon - Bayesian Analysis of Stochastic Volatility Models: Comment (RePEc:bes:jnlbes:v:12:y:1994:i:4:p:395-96)
by Engle, Robert F - Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models (RePEc:bes:jnlbes:v:20:y:2002:i:3:p:339-50)
by Engle, Robert - CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles (RePEc:bes:jnlbes:v:22:y:2004:p:367-381)
by Robert F. Engle & Simone Manganelli - A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model (RePEc:bes:jnlbes:v:23:y:2005:p:166-180)
by Russell, Jeffrey R. & Engle, Robert F. - Testing and Valuing Dynamic Correlations for Asset Allocation (RePEc:bes:jnlbes:v:24:y:2006:p:238-253)
by Engle, Robert & Colacito, Riccardo - Semiparametric ARCH Models (RePEc:bes:jnlbes:v:9:y:1991:i:4:p:345-59)
by Engle, Robert F & Gonzalez-Rivera, Gloria - Globalization: Contents And Discontents (RePEc:bla:coecpo:v:36:y:2018:i:1:p:29-43)
by Orley Ashenfelter & Robert F. Engle & Daniel L. McFadden & Klaus Schmidt‐Hebbel - Measuring and Testing the Impact of News on Volatility (RePEc:bla:jfinan:v:48:y:1993:i:5:p:1749-78)
by Engle, Robert F & Ng, Victor K - Time and the Price Impact of a Trade (RePEc:bla:jfinan:v:55:y:2000:i:6:p:2467-2498)
by Alfonso Dufour & Robert F. Engle - Common Seasonal Features: Global Unemployment (RePEc:bla:obuest:v:58:y:1996:i:4:p:615-30)
by Engle, Robert F & Hylleberg, Svend - Policy Pills For A Metropolitan Economy (RePEc:bla:presci:v:35:y:1975:i:1:p:191-205)
by Robert F. Engle - Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model (RePEc:cdl:ucsdec:qt00m2c5hk)
by Russell, Jeffrey & Engle, Robert F - CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles (RePEc:cdl:ucsdec:qt06m3d6nv)
by Engle, Robert F & Manganelli, Simone - Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models (RePEc:cdl:ucsdec:qt56j4143f)
by Engle, Robert F - Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH (RePEc:cdl:ucsdec:qt5s2218dp)
by Engle, Robert F & Sheppard, Kevin K - Time and the Price Impact of a Trade (RePEc:cdl:ucsdec:qt62c0h04j)
by Dufour, Alfonso & Engle, Robert F - Impacts of Trades in an Error-Correction Model of Quote Prices (RePEc:cdl:ucsdec:qt6dm6093f)
by Engle, Robert F & Patton, Andrew J - Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market (RePEc:cdl:ucsdec:qt6rp7g17q)
by Engle, Robert F - Macroeconomic Announcements and Volatility of Treasury Futures (RePEc:cdl:ucsdec:qt7rd4g3bk)
by Engle, Robert F - Trades and Quotes: A Bivariate Point Process (RePEc:cdl:ucsdec:qt8bh079sq)
by Engle, Robert F & Lunde, Asger - Stochastic Permanent Breaks (RePEc:cdl:ucsdec:qt99v0s0zx)
by Engle, Robert F & Smith, Aaron - Climate Stress Testing (RePEc:ces:ceswps:_10345)
by Viral V Acharya & Richard Berner & Robert Engle & Hyeyoon Jung & Johannes Stroebel & Xuran Zeng & Yihao Zhao - Hedging climate change news (RePEc:ces:ceswps:_7655)
by Robert Engle & Stefano Giglio & Heebum Lee & Bryan Kelly & Johannes Stroebel - A GARCH Option Pricing Model in Incomplete Markets (RePEc:chf:rpseri:rp0703)
by Giovanni Barone-Adesi & Robert F. Engle & Loriano Mancini - Systemic Risk in Europe (RePEc:chf:rpseri:rp1245)
by Robert F. Engle & Eric Jondeau & Michael Rockinger - Small-Sample Properties of ARCH Estimators and Tests (RePEc:cje:issued:v:18:y:1985:i:1:p:66-93)
by Robert F. Engle & David F. Hendry & David Trumble - The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes (RePEc:cnb:wpaper:2005/13)
by Robert F. Engle & Jose Gonzalo Rangel - Exogeneity (RePEc:cor:louvrp:516)
by ENGLE, Robert F. & HENDRY, David F. & RICHARD, Jean-François - Hedging Climate Change News (RePEc:cpr:ceprdp:13730)
by Ströbel, Johannes & Engle, Robert & Giglio, Stefano & Kelly, Bryan & Lee, Heebum - Why did bank stocks crash during COVID-19? (RePEc:cpr:ceprdp:15901)
by Acharya, Viral & Engle, Robert & Steffen, Sascha - Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights (RePEc:cpr:ceprdp:9431)
by Engle, Robert & Acharya, Viral & Pierret, Diane - Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights (RePEc:cpr:ceprdp:9800)
by Engle, Robert & Acharya, Viral & Pierret, Diane - Multivariate Simultaneous Generalized ARCH (RePEc:cup:etheor:v:11:y:1995:i:01:p:122-150_00)
by Engle, Robert F. & Kroner, Kenneth F. - Value at risk models in finance (RePEc:ecb:ecbwps:200175)
by Engle, Robert F. & Manganelli, Simone - Asymmetric dynamics in the correlations of global equity and bond returns (RePEc:ecb:ecbwps:2003204)
by Cappiello, Lorenzo & Engle, Robert F. & Sheppard, Kevin - The risk management approach to macro-prudential policy (RePEc:ecb:ecbwps:20212565)
by Chavleishvili, Sulkhan & Engle, Robert F. & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd - Estimating systemic risk for non-listed euro-area banks (RePEc:ecb:ecbwps:20232856)
by Engle, Robert F. & Emambakhsh, Tina & Manganelli, Simone & Parisi, Laura & Pizzeghello, Riccardo - Specification of the Disturbance for Efficient Estimation (RePEc:ecm:emetrp:v:42:y:1974:i:1:p:135-46)
by Engle, Robert F - Some Finite Sample Properties of Spectral Estimators of a Linear Regression (RePEc:ecm:emetrp:v:44:y:1976:i:1:p:149-65)
by Engle, Robert F & Gardner, Roy - Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment (RePEc:ecm:emetrp:v:44:y:1976:i:3:p:617-18)
by Engle, Robert F - Testing Price Equations for Stability across Spectral Frequency Bands (RePEc:ecm:emetrp:v:46:y:1978:i:4:p:869-81)
by Engle, Robert F - Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (RePEc:ecm:emetrp:v:50:y:1982:i:4:p:987-1007)
by Engle, Robert F - Exogeneity (RePEc:ecm:emetrp:v:51:y:1983:i:2:p:277-304)
by Engle, Robert F & Hendry, David F & Richard, Jean-Francois - Co-integration and Error Correction: Representation, Estimation, and Testing (RePEc:ecm:emetrp:v:55:y:1987:i:2:p:251-76)
by Engle, Robert F & Granger, Clive W J - Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (RePEc:ecm:emetrp:v:55:y:1987:i:2:p:391-407)
by Engle, Robert F & Lilien, David M & Robins, Russell P - Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market (RePEc:ecm:emetrp:v:58:y:1990:i:3:p:525-42)
by Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling - Common Persistence in Conditional Variances (RePEc:ecm:emetrp:v:61:y:1993:i:1:p:167-86)
by Bollerslev, Tim & Engle, Robert F - Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (RePEc:ecm:emetrp:v:66:y:1998:i:5:p:1127-1162)
by Robert F. Engle & Jeffrey R. Russell - The Econometrics of Ultra-High Frequency Data (RePEc:ecm:emetrp:v:68:y:2000:i:1:p:1-22)
by Robert F. Engle - CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles (RePEc:ecm:wc2000:0841)
by Robert Engle & Simone Manganelli - Combining competing forecasts of inflation using a bivariate arch model (RePEc:eee:dyncon:v:8:y:1984:i:2:p:151-165)
by Engle, Robert F. & Granger, C. W. J. & Kraft, Dennis - Wald, likelihood ratio, and Lagrange multiplier tests in econometrics (RePEc:eee:ecochp:2-13)
by Engle, Robert F. - Arch models (RePEc:eee:ecochp:4-49)
by Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B. - Handbook of Econometrics (RePEc:eee:econhb:4)
by None - Financial econometrics - A new discipline with new methods (RePEc:eee:econom:v:100:y:2001:i:1:p:53-56)
by Engle, Robert - The econometrics of macroeconomics, finance, and the interface (RePEc:eee:econom:v:131:y:2006:i:1-2:p:1-2)
by Diebold, F.X. & Engle, R.F. & Favero, C. & Gallo, G.M. & Schorfheide, F. - A multiple indicators model for volatility using intra-daily data (RePEc:eee:econom:v:131:y:2006:i:1-2:p:3-27)
by Engle, Robert F. & Gallo, Giampiero M. - A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones (RePEc:eee:econom:v:132:y:2006:i:1:p:7-42)
by Engle, Robert F. & Marcucci, Juri - A component model for dynamic correlations (RePEc:eee:econom:v:164:y:2011:i:1:p:45-59)
by Colacito, Riccardo & Engle, Robert F. & Ghysels, Eric - Priced risk and asymmetric volatility in the cross section of skewness (RePEc:eee:econom:v:182:y:2014:i:1:p:135-144)
by Engle, Robert & Mistry, Abhishek - A general approach to lagrange multiplier model diagnostics (RePEc:eee:econom:v:20:y:1982:i:1:p:83-104)
by Engle, Robert F. - Scenario generation for long run interest rate risk assessment (RePEc:eee:econom:v:201:y:2017:i:2:p:333-347)
by Engle, Robert & Roussellet, Guillaume & Siriwardane, Emil - Liquidity and volatility in the U.S. Treasury market (RePEc:eee:econom:v:217:y:2020:i:2:p:207-229)
by Nguyen, Giang & Engle, Robert & Fleming, Michael & Ghysels, Eric - Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models (RePEc:eee:econom:v:23:y:1983:i:3:p:385-400)
by Watson, Mark W. & Engle, Robert F. - A dymimic model of housing price determination (RePEc:eee:econom:v:28:y:1985:i:3:p:307-326)
by Engle, Robert F. & Lilien, David M. & Watson, Mark - Forecasting and testing in co-integrated systems (RePEc:eee:econom:v:35:y:1987:i:1:p:143-159)
by Engle, Robert F. & Yoo, Byung Sam - Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting (RePEc:eee:econom:v:40:y:1989:i:1:p:45-62)
by Engle, R. F. & Granger, C. W. J. & Hallman, J. J. - Seasonal integration and cointegration (RePEc:eee:econom:v:44:y:1990:i:1-2:p:215-238)
by Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S. - Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills (RePEc:eee:econom:v:45:y:1990:i:1-2:p:213-237)
by Engle, Robert F. & Ng, Victor K. & Rothschild, Michael - A multi-dynamic-factor model for stock returns (RePEc:eee:econom:v:52:y:1992:i:1-2:p:245-266)
by Ng, Victor & Engle, Robert F. & Rothschild, Michael - Implied ARCH models from options prices (RePEc:eee:econom:v:52:y:1992:i:1-2:p:289-311)
by Engle, Robert F. & Mustafa, Chowdhury - The Japanese consumption function (RePEc:eee:econom:v:55:y:1993:i:1-2:p:275-298)
by Engle, R. F. & Granger, C. W. J. & Hylleberg, S. & Lee, H. S. - Testing superexogeneity and invariance in regression models (RePEc:eee:econom:v:56:y:1993:i:1-2:p:119-139)
by Engle, Robert F. & Hendry, David F. - Codependent cycles (RePEc:eee:econom:v:80:y:1997:i:2:p:199-221)
by Vahid, Farshid & Engle, Robert F. - Residential load curves and time-of-day pricing : An econometric analysis (RePEc:eee:econom:v:9:y:1979:i:1-2:p:13-32)
by Granger, Clive W. J. & Engle, Robert & Ramanathan, Ramu & Andersen, Allan - A long memory property of stock market returns and a new model (RePEc:eee:empfin:v:1:y:1993:i:1:p:83-106)
by Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F. - Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model (RePEc:eee:empfin:v:4:y:1997:i:2-3:p:187-212)
by Engle, Robert F. & Russell, Jeffrey R. - The billing cycle and weather variables in models of electricity sales (RePEc:eee:energy:v:9:y:1984:i:11:p:1041-1047)
by Train, Kenneth & Ignelzi, Patrice & Engle, Robert & Granger, Clive & Ramanathan, Ramu - Predicting VNET: A model of the dynamics of market depth (RePEc:eee:finmar:v:4:y:2001:i:2:p:113-142)
by Engle, Robert F. & Lange, Joe - Impacts of trades in an error-correction model of quote prices (RePEc:eee:finmar:v:7:y:2004:i:1:p:1-25)
by Engle, Robert F. & Patton, Andrew J. - Where does the meteor shower come from? : The role of stochastic policy coordination (RePEc:eee:inecon:v:32:y:1992:i:3-4:p:221-240)
by Ito, Takatoshi & Engle, Robert F. & Lin, Wen-Ling - Shorte-run forecasts of electricity loads and peaks (RePEc:eee:intfor:v:13:y:1997:i:2:p:161-174)
by Ramanathan, Ramu & Engle, Robert & Granger, Clive W. J. & Vahid-Araghi, Farshid & Brace, Casey - Large dynamic covariance matrices: Enhancements based on intraday data (RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000267)
by De Nard, Gianluca & Engle, Robert F. & Ledoit, Olivier & Wolf, Michael - What are the events that shake our world? Measuring and hedging global COVOL (RePEc:eee:jfinec:v:147:y:2023:i:1:p:221-242)
by Engle, Robert F. & Campos-Martins, Susana - Empirical pricing kernels (RePEc:eee:jfinec:v:64:y:2002:i:3:p:341-372)
by Rosenberg, Joshua V. & Engle, Robert F. - Hourly volatility spillovers between international equity markets (RePEc:eee:jimfin:v:13:y:1994:i:1:p:3-25)
by Susmel, Raul & Engle, Robert F. - Issues in the specification of an econometric model of metropolitan growth (RePEc:eee:juecon:v:1:y:1974:i:2:p:250-267)
by Engle, Robert F. - Transportation costs and the rent gradient (RePEc:eee:juecon:v:21:y:1987:i:3:p:287-297)
by Coulson, N. Edward & Engle, Robert F. - On the theory of growth controls (RePEc:eee:juecon:v:32:y:1992:i:3:p:269-283)
by Engle, Robert & Navarro, Peter & Carson, Richard - Estimation of the price elasticity of demand facing metropolitan producers (RePEc:eee:juecon:v:6:y:1979:i:1:p:42-64)
by Engle, Robert F. - Estimating common sectoral cycles (RePEc:eee:moneco:v:35:y:1995:i:1:p:83-113)
by Engle, Robert F. & Issler, Joao Victor - The intertemporal capital asset pricing model with dynamic conditional correlations (RePEc:eee:moneco:v:57:y:2010:i:4:p:377-390)
by Bali, Turan G. & Engle, Robert F. - Testing macroprudential stress tests: The risk of regulatory risk weights (RePEc:eee:moneco:v:65:y:2014:i:c:p:36-53)
by Acharya, Viral & Engle, Robert & Pierret, Diane - On the determination of regional base and regional base multipliers (RePEc:eee:regeco:v:22:y:1992:i:4:p:619-635)
by Brown, Scott J. & Coulson, N. Edward & Engle, Robert F. - Estimating sectoral cycles using cointegration and common features (RePEc:fgv:epgewp:232)
by Engle, R. F. & Issler, João Victor - Common trends and common cycles in Latin America (RePEc:fgv:epgrbe:v:47:y:1993:i:2:a:2646)
by Engle, Robert F. & Issler, João Victor - Physical Climate Risk and Insurers (RePEc:fip:fednls:98025)
by Robert Engle & Shan Ge & Hyeyoon Jung & Xuran Zeng - Liquidity and volatility in the U.S. treasury market (RePEc:fip:fednsr:590)
by Robert Engle & Michael J. Fleming & Eric Ghysels & Giang Nguyen - CRISK: Measuring the Climate Risk Exposure of the Financial System (RePEc:fip:fednsr:93069)
by Richard Berner & Robert Engle & Hyeyoon Jung - Climate Stress Testing (RePEc:fip:fednsr:95943)
by Viral V. Acharya & Richard Berner & Robert Engle & Hyeyoon Jung & Johannes Stroebel & Xuran Zeng & Yihao Zhao - Measuring the Climate Risk Exposure of Insurers (RePEc:fip:fednsr:96484)
by Robert Engle & Shan Ge & Hyeyoon Jung & Xuran Zeng - A Multiple Indicators Model For Volatility Using Intra-Daily Data (RePEc:fir:econom:wp2003_07)
by Robert F. Engle & Giampiero M. Gallo - Vector Multiplicative Error Models: Representation and Inference (RePEc:fir:econom:wp2006_15)
by Fabrizio Cipollini & Robert F. Engle & Giampiero Gallo - A Model for Multivariate Non-negative Valued Processes in Financial Econometrics (RePEc:fir:econom:wp2007_16)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets (RePEc:fir:econom:wp2008_09)
by Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi - Semiparametric vector MEM (RePEc:fir:econom:wp2009_03)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - Copula--based Specification of vector MEMs (RePEc:fir:econom:wp2016_04)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity (RePEc:fir:econom:wp2017_02)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - Meteor Showers Or Heat Wages? Heteroskedastic Intra-Daily Volatility In A The Foreign Exchange Market (RePEc:fth:minner:246)
by Engel, R.F. & Ito, T. & Lin, W-L. - Testing the Volatility Term Structure Using Option Hedging Criteria (RePEc:fth:nystfi:96-24)
by Robert F. Engle & Joshua Rosenberg - Testing the Volatility Term Structure using Option Hedging Criteria (RePEc:fth:nystfi:98-031)
by Robert F. Engle & Joshua Rosenberg - Empirical Pricing Kernels (RePEc:fth:nystfi:99-014)
by Joshua Rosenberg & Robert F. Engle - Seasonal Integration And Cointegration (RePEc:fth:pensta:0-88-2)
by Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S. - Seasonal, Integration And Cointegration (RePEc:fth:pensta:6-88-2)
by Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S. - Cointegrated Economic Time Series: A Survey With New Results (RePEc:fth:pensta:8-89-13)
by Engle, R.F. & Yoo, B.S. - Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity (RePEc:gam:jecnmx:v:5:y:2017:i:2:p:16-:d:95642)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - GARCH Options in Incomplete Markets (RePEc:hit:hitcei:2005-12)
by Barone-Adesi, Giovanni & Engle, Robert & Mancini, Loriano - Do Bulls and Bears Move Acoross Borders: International Transimission of Stock Returns and Volatility as the World Turns (RePEc:hit:hituec:a253)
by Wen-Ling Lin & Robert F. Engle & Takatoshi Ito - Band Spectrum Regression (RePEc:ier:iecrev:v:15:y:1974:i:1:p:1-11)
by Engle, Robert F - An Asset Price Model of Aggregate Investment (RePEc:ier:iecrev:v:16:y:1975:i:3:p:625-47)
by Engle, Robert F & Foley, Duncan K - Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions (RePEc:ier:iecrev:v:21:y:1980:i:2:p:391-407)
by Engle, Robert F - Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns (RePEc:inm:ormnsc:v:63:y:2017:i:11:p:3760-3779)
by Turan G. Bali & Robert F. Engle & Yi Tang - New frontiers for arch models (RePEc:jae:japmet:v:17:y:2002:i:5:p:425-446)
by Robert Engle - Common Trends and Common Cycles (RePEc:jae:japmet:v:8:y:1993:i:4:p:341-60)
by Vahid, F & Engle, Robert F - Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns (RePEc:koc:wpaper:1305)
by Turan G. Bali & Robert F. Engle & Yi Tang - Estimates of the Variance of U.S. Inflation Based upon the ARCH Model (RePEc:mcb:jmoncb:v:15:y:1983:i:3:p:286-301)
by Engle, Robert F - Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: Reply (RePEc:mcb:jmoncb:v:20:y:1988:i:3:p:422-23)
by Engle, Robert F - Time-Varying Volatility and the Dynamic Behavior of the Term Structure (RePEc:mcb:jmoncb:v:25:y:1993:i:3:p:336-49)
by Engle, Robert F & Ng, Victor K - De Facto Discrimination in Residential Assessments: Boston (RePEc:mit:worpap:119)
by R. F. Engle - Issues in the Specification of an Econometric Model of Metropolitan Growth (RePEc:mit:worpap:120)
by R. F. Engle - A Disequilibrium Model of Regional Investment (RePEc:mit:worpap:121)
by R. F. Engle - Some Finite Sample Properties of Spectral Estimators of a Linear Regression (RePEc:mit:worpap:122)
by R. F. Engle & R. Gardner - Testing Price Equations for Stability Across Frequencies (RePEc:mit:worpap:144)
by R. F. Engle - Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area (RePEc:mit:worpap:160)
by K. Bradbury & R. Engle et al. - Estimation of the Price Elasticity of Demand Facing Metropolitan Producers (RePEc:mit:worpap:162)
by R. F. Engle - The Inconsistency of Distributed Lag Estimators Due to Misspecification by Time Aggregation (RePEc:mit:worpap:63)
by R. E. Engle - The Specification of the Disturbance for Efficient Estimation (RePEc:mit:worpap:76)
by R. F. Engle - A Supply Function Model of Aggregate Investment (RePEc:mit:worpap:89)
by R. Engle & D. Foley - Band Spectrum Regressions (RePEc:mit:worpap:96)
by R. F. Engle - Measuring the probability of a financial crisis (RePEc:nas:journl:v:116:y:2019:p:18341-18346)
by Robert F. Engle & Tianyue Ruan - Interpreting Spectral Analyses in Terms of Time-Domain Models (RePEc:nbr:nberch:10429)
by Robert F. Engle - Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic (RePEc:nbr:nberch:11707)
by Robert F. Engle - Effects of Aggregation Over Time on Dynamic Characteristics of an Econometric Model (RePEc:nbr:nberch:2787)
by Robert F. Engle & Ta-Chung Liu - Simultaneous Estimation of the Supply and Demand for Housing Location in a Multizoned Metropolitan Area (RePEc:nbr:nberch:4308)
by Katharine Bradbury & Robert Engle & Owen Irvine & Jerome Rothenberg - Estimating Structural Models of Seasonality (RePEc:nbr:nberch:4328)
by Robert F. Engle - Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills (RePEc:nbr:nberte:0065)
by Robert F. Engle & Victor Ng & Michael Rothschild - Testing For Common Features (RePEc:nbr:nberte:0091)
by Robert F. Engle & Sharon Kozicki - Vector Multiplicative Error Models: Representation and Inference (RePEc:nbr:nberte:0331)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - Interpreting Spectral Analyses in Terms of Time-Domain Models (RePEc:nbr:nberwo:0037)
by Robert F. Engle - A Multiple Indicators Model for Volatility Using Intra-Daily Data (RePEc:nbr:nberwo:10117)
by Robert F. Engle & Giampiero M. Gallo - Execution Risk (RePEc:nbr:nberwo:12165)
by Robert Engle & Robert Ferstenberg - Vector Multiplicative Error Models: Representation and Inference (RePEc:nbr:nberwo:12690)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights (RePEc:nbr:nberwo:18968)
by Viral V. Acharya & Robert Engle & Diane Pierret - Hedging Climate Change News (RePEc:nbr:nberwo:25734)
by Robert F. Engle III & Stefano Giglio & Bryan T. Kelly & Heebum Lee & Johannes Stroebel - Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (RePEc:nbr:nberwo:2609)
by Robert F. Engle & Takatoshi Ito & Wen-Ling Lin - Why Did Bank Stocks Crash During COVID-19? (RePEc:nbr:nberwo:28559)
by Viral V. Acharya & Robert F. Engle III & Maximilian Jager & Sascha Steffen - Climate Stress Testing (RePEc:nbr:nberwo:31097)
by Viral V. Acharya & Richard Berner & Robert F. Engle III & Hyeyoon Jung & Johannes Stroebel & Xuran Zeng & Yihao Zhao - Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share (RePEc:nbr:nberwo:3291)
by Scott J. Brown & N. Edward Coulson & Robert F. Engle - Valuation of Variance Forecast with Simulated Option Markets (RePEc:nbr:nberwo:3350)
by Robert F. Engle & Che-Hsiung Hong & Alex Kane - Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination (RePEc:nbr:nberwo:3504)
by Takatoshi Ito & Robert F. Engle & Wen-Ling Lin - Measuring Risk Aversion From Excess Returns on a Stock Index (RePEc:nbr:nberwo:3643)
by Ray Chou & Robert F. Engle & Alex Kane - Measuring and Testing the Impact of News on Volatility (RePEc:nbr:nberwo:3681)
by Robert F. Engle & Victor K. Ng - Time-Varying Volatility and the Dynamic Behavior of the Term Structure (RePEc:nbr:nberwo:3682)
by Robert F. Engle & Victor K. Ng - Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns (RePEc:nbr:nberwo:3911)
by Wen-Ling Lin & Robert F. Engle & Takatoshi Ito - Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts (RePEc:nbr:nberwo:4519)
by Robert F. Engle & Alex Kane & Jaesun Noh - A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts (RePEc:nbr:nberwo:4520)
by Jaesun Noh & Robert F. Engle & Alex Kane - Estimating Sectoral Cycles Using Cointegration and Common Features (RePEc:nbr:nberwo:4529)
by Robert F. Engle & Joao Victor Issler - Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models (RePEc:nbr:nberwo:4958)
by Robert F. Engle & Joshua Rosenberg - Forecasting Transaction Rates: The Autoregressive Conditional Duration Model (RePEc:nbr:nberwo:4966)
by Robert F. Engle & Jeffrey R. Russell - GARCH Gamma (RePEc:nbr:nberwo:5128)
by Robert F. Engle & Joshua V. Rosenberg - The Econometrics of Ultra-High Frequency Data (RePEc:nbr:nberwo:5816)
by Robert F. Engle - Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market (RePEc:nbr:nberwo:6129)
by Robert F. Engle & Joe Lange - Option Hedging Using Empirical Pricing Kernels (RePEc:nbr:nberwo:6222)
by Joshua V. Rosenberg & Robert F. Engle - Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks (RePEc:nbr:nberwo:7330)
by Young-Hye Cho & Robert F. Engle - Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market (RePEc:nbr:nberwo:7331)
by Young-Hye Cho & Robert F. Engle - CAViaR: Conditional Value at Risk by Quantile Regression (RePEc:nbr:nberwo:7341)
by Robert F. Engle & Simone Manganelli - Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (RePEc:nbr:nberwo:8554)
by Robert F. Engle & Kevin Sheppard - Measuring and Hedging Geopolitical Risk (RePEc:nip:nipewp:08/2020)
by Robert F. Engle & Susana Campos-Martins - Structural GARCH: The Volatility-Leverage Connection (RePEc:ofr:wpaper:14-07)
by Robert Engle & Emil Siriwardane - Trades and Quotes: A Bivariate Point Process (RePEc:oup:jfinec:v:1:y:2003:i:2:p:159-188)
by Robert F. Engle & Asger Lunde - Forecasting intraday volatility in the US equity market. Multiplicative component GARCH (RePEc:oup:jfinec:v:10:y::i:1:p:54-83)
by Robert F. Engle & Magdalena E. Sokalska - Dynamic Conditional Beta (RePEc:oup:jfinec:v:14:y:2016:i:4:p:643-667.)
by Robert F. Engle - News and Idiosyncratic Volatility: The Public Information Processing Hypothesis
[A Theory of Intraday Patterns: Volume and Price Variability] (RePEc:oup:jfinec:v:19:y:2021:i:1:p:1-38.)
by Robert F Engle & Martin Klint Hansen & Ahmet K Karagozoglu & Asger Lunde - Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (RePEc:oup:jfinec:v:4:y:2006:i:4:p:537-572)
by Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard - Time-Varying Arrival Rates of Informed and Uninformed Trades (RePEc:oup:jfinec:v:6:y:2008:i:2:p:171-207)
by David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu - Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis (RePEc:oup:jfinec:v:8:y:2010:i:2:p:158-159)
by Robert F. Engle - Long-Term Skewness and Systemic Risk (RePEc:oup:jfinec:v:9:y:2011:i:3:p:437-468)
by Robert F. Engle - Systemic Risk in Europe (RePEc:oup:revfin:v:19:y:2015:i:1:p:145-190.)
by Robert Engle & Eric Jondeau & Michael Rockinger - Modeling the Dynamics of Correlations among Implied Volatilities (RePEc:oup:revfin:v:19:y:2015:i:3:p:991-1018.)
by Robert Engle & Stephen Figlewski - The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (RePEc:oup:rfinst:v:21:y:2008:i:3:p:1187-1222)
by Robert F. Engle & Jose Gonzalo Rangel - A GARCH Option Pricing Model with Filtered Historical Simulation (RePEc:oup:rfinst:v:21:y:2008:i:3:p:1223-1258)
by Giovanni Barone-Adesi & Robert F. Engle & Loriano Mancini - Stock Volatility and the Crash of '87: Discussion (RePEc:oup:rfinst:v:3:y:1990:i:1:p:103-06)
by Engle, Robert F - SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (RePEc:oup:rfinst:v:30:y:2017:i:1:p:48-79.)
by Christian Brownlees & Robert F. Engle - Structural GARCH: The Volatility-Leverage Connection (RePEc:oup:rfinst:v:31:y:2018:i:2:p:449-492.)
by Robert F. Engle & Emil N. Siriwardane - Hedging Climate Change News (RePEc:oup:rfinst:v:33:y:2020:i:3:p:1184-1216.)
by Robert F Engle & Stefano Giglio & Bryan Kelly & Heebum Lee & Johannes Stroebel - Why Did Bank Stocks Crash during COVID-19? (RePEc:oup:rfinst:v:37:y:2024:i:9:p:2627-2684.)
by Viral V Acharya & Robert Engle & Maximilian Jager & Sascha Steffen - Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility (RePEc:oup:rfinst:v:7:y:1994:i:3:p:507-38)
by Lin, Wen-Ling & Engle, Robert F & Ito, Takatoshi - Fitting vast dimensional time-varying covariance models (RePEc:oxf:wpaper:403)
by Neil Shephard & Kevin Sheppard & Robert F. Engle - Testing Super Exogeneity And Invariance In Regression Models (RePEc:oxf:wpaper:99100)
by Engle, R. & Hendry, D. - Long-Run Economic Relationships: Readings in Cointegration (RePEc:oxp:obooks:9780198283393)
by None - Cointegration, Causality, and Forecasting: Festschrift in Honour of Clive W. J. Granger (RePEc:oxp:obooks:9780198296836)
by None - ARCH: Selected Readings (RePEc:oxp:obooks:9780198774327)
by None - A GARCH Option Pricing Model with Filtered Historical Simulation (RePEc:pal:palchp:978-1-137-46555-9_4)
by Giovanni Barone Adesi & Robert F. Engle & Loriano Mancini - The ACD Model: Predictability of the Time Between Concecutive Trades (RePEc:rdg:icmadp:icma-dp2000-05)
by Alfonso Dufour & Robert F Engle - Modelling Volatility Cycles: The (MF)2 GARCH Model (RePEc:rim:rimwps:21-05)
by Christian Conrad & Robert F. Engle - Co-integration and error correction: Representation, estimation, and testing (RePEc:ris:apltrx:0274)
by Engle, Robert & Granger, Clive - Autobiography (RePEc:ris:nobelp:2003_003)
by Engle III, Robert F. - Risk and Volatility: Econometric Models and Financial Practice (RePEc:ris:nobelp:2003_004)
by Engle III, Robert F. - Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III (RePEc:ris:nobelp:2003_005)
by Engle III, Robert F. & Granger, Clive W. J. - Fitting vast dimensional time-varying covariance models (RePEc:sbs:wpsefe:2008fe30)
by Robert Engle & Neil Shephard & Kevin Shepphard - High Frequency Multiplicative Component Garch (RePEc:sce:scecf5:409)
by Magdalena E. Sokalska & Ananda Chanda & Robert F. Engle - Modeling a Time-Varying Order Statistic (RePEc:sce:scecf9:952)
by Simone Manganelli & Robert F. Engle - SRISK: a conditional capital shortfall measure of systemic risk (RePEc:srk:srkwps:201737)
by Brownlees, Christian & Engle, Robert F. - The Factor--Spline--GARCH Model for High and Low Frequency Correlations (RePEc:taf:jnlbes:v:30:y:2011:i:1:p:109-124)
by José Gonzalo Rangel & Robert F. Engle - Dynamic Equicorrelation (RePEc:taf:jnlbes:v:30:y:2011:i:2:p:212-228)
by Robert Engle & Bryan Kelly - The Factor–Spline–GARCH Model for High and Low Frequency Correlations (RePEc:taf:jnlbes:v:30:y:2012:i:1:p:109-124)
by José Rangel & Robert Engle - Large Dynamic Covariance Matrices (RePEc:taf:jnlbes:v:37:y:2019:i:2:p:363-375)
by Robert F. Engle & Olivier Ledoit & Michael Wolf - Fitting Vast Dimensional Time-Varying Covariance Models (RePEc:taf:jnlbes:v:39:y:2021:i:3:p:652-668)
by Cavit Pakel & Neil Shephard & Kevin Sheppard & Robert F. Engle - What good is a volatility model? (RePEc:taf:quantf:v:1:y:2001:i:2:p:237-245)
by R. F. Engle & A. J. Patton - Robert F Engle: Understanding volatility as a process (RePEc:taf:quantf:v:4:y:2004:i:2:p:19-20)
by Robert Engle - Factor-Mimicking Portfolios for Climate Risk (RePEc:taf:ufajxx:v:80:y:2024:i:3:p:37-58)
by Gianluca De Nard & Robert F. Engle & Bryan Kelly - Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative (RePEc:tpr:restat:v:67:y:1985:i:2:p:341-46)
by Watson, Mark W & Engle, Robert F - Stochastic Permanent Breaks (RePEc:tpr:restat:v:81:y:1999:i:4:p:553-574)
by Robert F. Engle & Aaron D. Smith - Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach (RePEc:tpr:restat:v:94:y:2012:i:1:p:222-223)
by Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi - Stock Market Volatility and Macroeconomic Fundamentals (RePEc:tpr:restat:v:95:y:2013:i:3:p:776-797)
by Robert F. Engle & Eric Ghysels & Bumjean Sohn - A Capital Asset Pricing Model with Time-Varying Covariances (RePEc:ucp:jpolec:v:96:y:1988:i:1:p:116-31)
by Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M - Environmental, social, governance: Implications for businesses and effects for stakeholders (RePEc:wly:corsem:v:26:y:2019:i:6:p:1627-1628)
by Robert Engle & Marina Brogi & Nicola Cucari & Valentina Lagasio - Environmental, Social, Governance: Implications for businesses and effects for stakeholders (RePEc:wly:corsem:v:28:y:2021:i:5:p:1423-1425)
by Robert Engle & Marina Brogi & Nicola Cucari & Valentina Lagasio - Derivatives ‐ The Ultimate Financial Innovation (RePEc:wly:finmar:v:18:y:2009:i:2:p:166-167)
by Viral V. Acharya & Menachem Brenner & Robert Engle & Anthony Lynch & Matthew Richardson - Centralized Clearing for Credit Derivatives (RePEc:wly:finmar:v:18:y:2009:i:2:p:168-170)
by Viral V. Acharya & Robert Engle & Stephen Figlewski & Anthony Lynch & Marti Subrahmanyam - Semiparametric Vector Mem (RePEc:wly:japmet:v:28:y:2013:i:7:p:1067-1086)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model (RePEc:wop:chispw:470)
by Jeffrey R. Russell & Robert F. Engle - Time-Varying Arrival Rates of Informed and Uninformed Trades (RePEc:wpa:wuwpfi:0207017)
by David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu - A general Approach to the Construction of Model Diagnostics based upon the Lagrange Multiplier Principle (RePEc:wrk:warwec:156)
by Engle, Robert F - Exogeneity (RePEc:wrk:warwec:162)
by Engle, Robert F & Hendry, David F & Richard, Jean-Francois - Measuring Systemic Risk (RePEc:wsi:wschap:9789814417501_0003)
by Viral V. Acharya & Christian Brownlees & Robert Engle & Farhang Farazmand & Matthew Richardson - Large dynamic covariance matrices (RePEc:zur:econwp:231)
by Robert F. Engle & Olivier Ledoit & Michael Wolf - Large dynamic covariance matrices: enhancements based on intraday data (RePEc:zur:econwp:356)
by Gianluca De Nard & Robert F. Engle & Olivier Ledoit & Michael Wolf - Factor mimicking portfolios for climate risk (RePEc:zur:econwp:429)
by Gianluca De Nard & Robert F. Engle & Bryan Kelly