Robert F. Engle
Names
first:  Robert 
middle:  F. 
last:  Engle 
suffix:  III 
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

New York University (NYU)
→ Stern School of Business
→ Finance Department
 website
 location: New York City, New York (United States)

National Bureau of Economic Research (NBER)
 website
 location: Cambridge, Massachusetts (United States)

New York University (NYU)
→ Stern School of Business
→ Volatility Institute
 website
 location: New York City, New York (United States)
Research profile
author of:

Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns.
by Lin, W. L. & Engle, R. F. & Ito, T. 
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles
by Robert Engle & Simone Manganelli 
METEOR SHOWERS OR HEAT WAGES? HETEROSKEDASTIC INTRADAILY VOLATILITY IN A THE FOREIGN EXCHANGE MARKET.
by ENGEL, R. F. & ITO, T. & LIN, W.L. 
Testing the Volatility Term Structure Using Option Hedging Criteria
by Robert F. Engle & Joshua Rosenberg 
Testing the Volatility Term Structure using Option Hedging Criteria
by Robert F. Engle & Joshua Rosenberg 
Empirical Pricing Kernels
by Joshua Rosenberg & Robert F. Engle 
SEASONAL INTEGRATION AND COINTEGRATION
by HYLLERBERG, S. & ENGLE, R. F. & GRANGER, C. W. J. & YOO, B. S. 
SEASONAL, INTEGRATION AND COINTEGRATION.
by HYLLEBERG, S. & ENGLE, R. F. & GRANGER, C. W. J. & YOO, B. S. 
COINTEGRATED ECONOMIC TIME SERIES: A SURVEY WITH NEW RESULTS.
by ENGLE, R. F. & YOO, B. S. 
Do Bulls and Bears Move Acoross Borders: International Transimission of Stock Returns and Volatility as the World Turns
by WenLing Lin & Robert F. Engle & Takatoshi Ito 
De Facto Discrimination in Residential Assessments: Boston
by R. F. Engle 
Issues in the Specification of an Econometric Model of Metropolitan Growth
by R. F. Engle 
A Disequilibrium Model of Regional Investment
by R. F. Engle 
Some Finite Sample Properties of Spectral Estimators of a Linear Regression
by R. F. Engle & R. Gardner 
Testing Price Equations for Stability Across Frequencies
by R. F. Engle 
Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area
by K. Bradbury & R. Engle. & et al 
Estimation of the Price Elasticity of Demand Facing Metropolitan Producers
by R. F. Engle 
The Inconsistency of Distributed Lag Estimators Due to Misspecification by Time Aggregation
by R. E. Engle 
The Specification of the Disturbance for Efficient Estimation
by R. F. Engle 
A Supply Function Model of Aggregate Investment
by R. Engle & D. Foley 
Band Spectrum Regressions
by R. F. Engle 
Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills
by Robert F. Engle & Victor Ng & Michael Rothschild 
Testing For Common Features
by Robert F. Engle & Sharon Kozicki 
Interpreting Spectral Analyses in Terms of TimeDomain Models
by Robert F. Engle 
A Multiple Indicators Model for Volatility Using IntraDaily Data
by Robert F. Engle & Giampiero M. Gallo 
NonCointegration and Econometric Evaluation of Models of Regional Shift and Share
by Scott J. Brown & N. Edward Coulson & Robert F. Engle 
Valuation of Variance Forecast with Simulated Option Markets
by Robert F. Engle & CheHsiung Hong & Alex Kane 
Measuring Risk Aversion From Excess Returns on a Stock Index
by Ray Chou & Robert F. Engle & Alex Kane 
Measuring and Testing the Impact of News on Volatility
by Robert F. Engle & Victor K. Ng 
TimeVarying Volatility and the Dynamic Behavior of the Term Structure
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
by WenLing Lin & Robert F. Engle & Takatoshi Ito 
IndexOption Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts
by Robert F. Engle & Alex Kane & Jaesun Noh 
A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts
by Jaesun Noh & Robert F. Engle & Alex Kane 
Estimating Sectoral Cycles Using Cointegration and Common Features
by Robert F. Engle & Joao Victor Issler 
Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models
by Robert F. Engle & Joshua Rosenberg 
Forecasting Transaction Rates: The Autoregressive Conditional Duration Model
by Robert F. Engle & Jeffrey R. Russell 
GARCH Gamma
by Robert F. Engle & Joshua V. Rosenberg 
The Econometrics of UltraHigh Frequency Data
by Robert F. Engle 
Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market
by Robert F. Engle & Joe Lange 
Option Hedging Using Empirical Pricing Kernels
by Joshua V. Rosenberg & Robert F. Engle 
TimeVarying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks
by YoungHye Cho & Robert F. Engle 
Modeling the Impacts of Market Activity on BidAsk Spreads in the Option Market
by YoungHye Cho & Robert F. Engle 
CAViaR: Conditional Value at Risk by Quantile Regression
by Robert F. Engle & Simone Manganelli 
Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH
by Robert F. Engle & Kevin Sheppard 
Modeling a TimeVarying Order Statistic
by Simone Manganelli & Robert F. Engle 
Econometric Analysis of Discretevalued Irregularlyspaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model
by JEFFREY R. RUSSELL & ROBERT F. ENGLE 
TimeVarying Arrival Rates of Informed and Uninformed Trades
by David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu 
An Econometric Simulation Model of IntraMetropolitan Housing Location: Housing, Business, Transportation and Local Government.
by Engle, Robert F., III & et al 
GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics
by Robert Engle 
Common Volatility in International Equity Markets.
by Engle, Robert F. & Susmel, Raul 
Testing for Common Features.
by Engle, Robert F. & Kozicki, Sharon 
Testing for Common Features: Reply.
by Engle, Robert F. & Kozicki, Sharon 
Bayesian Analysis of Stochastic Volatility Models: Comment.
by Engle, Robert F. 
Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models.
by Engle, Robert 
Semiparametric ARCH Models.
by Engle, Robert F. & GonzalezRivera, Gloria 
Common Seasonal Features: Global Unemployment.
by Engle, Robert F. & Hylleberg, Svend 
SmallSample Properties of ARCH Estimators and Tests.
by Robert F. Engle & David F. Hendry & David Trumble 
Specification of the Disturbance for Efficient Estimation.
by Engle, Robert F. 
Some Finite Sample Properties of Spectral Estimators of a Linear Regression.
by Engle, Robert F. & Gardner, Roy 
Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment.
by Engle, Robert F. 
Testing Price Equations for Stability across Spectral Frequency Bands.
by Engle, Robert F. 
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation.
by Engle, Robert F. 
Exogeneity.
by Engle, Robert F. & Hendry, David F. & Richard, JeanFrancois 
Cointegration and Error Correction: Representation, Estimation, and Testing.
by Engle, Robert F. & Granger, Clive W. J. 
Estimating Time Varying Risk Premia in the Term Structure: The ArchM Model.
by Engle, Robert F. & Lilien, David M. & Robins, Russell P. 
Meteor Showers or Heat Waves? Heteroskedastic Intradaily Volatility in the Foreign Exchange Market.
by Engle, Robert F. & Ito, Takatoshi & Lin, WenLing 
Common Persistence in Conditional Variances.
by Bollerslev, Tim & Engle, Robert F. 
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
by Robert F. Engle & Jeffrey R. Russell 
The Econometrics of UltraHigh Frequency Data
by Robert F. Engle 
Band Spectrum Regression.
by Engle, Robert F. 
An Asset Price Model of Aggregate Investment.
by Engle, Robert F. & Foley, Duncan K. 
Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions.
by Engle, Robert F. 
New frontiers for arch models
by Robert Engle 
Common Trends and Common Cycles.
by Vahid, F. & Engle, Robert F. 
Estimates of the Variance of U.S. Inflation Based upon the ARCH Model.
by Engle, Robert F. 
Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: Reply.
by Engle, Robert F. 
TimeVarying Volatility and the Dynamic Behavior of the Term Structure.
by Engle, Robert F. & Ng, Victor K. 
Stock Volatility and the Crash of '87: Discussion.
by Engle, Robert F. 
Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility.
by Lin, WenLing & Engle, Robert F. & Ito, Takatoshi 
Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative.
by Watson, Mark W. & Engle, Robert F. 
Stochastic Permanent Breaks
by Robert F. Engle & Aaron D. Smith 
A Capital Asset Pricing Model with TimeVarying Covariances.
by Bollerslev, Tim & Engle, Robert F. & Wooldridge, Jeffrey M. 
Empirical pricing kernels
by Rosenberg, Joshua V. & Engle, Robert F. 
Where does the meteor shower come from? : The role of stochastic policy coordination
by Ito, Takatoshi & Engle, Robert F. & Lin, WenLing 
Codependent cycles
by Vahid, Farshid & Engle, Robert F. 
Hourly volatility spillovers between international equity markets
by Susmel, Raul & Engle, Robert F. 
Implied ARCH models from options prices
by Engle, Robert F. & Mustafa, Chowdhury 
On the determination of regional base and regional base multipliers
by Brown, Scott J. & Coulson, N. Edward & Engle, Robert F. 
Shorterun forecasts of electricity loads and peaks
by Ramanathan, Ramu & Engle, Robert & Granger, Clive W. J. & VahidAraghi, Farshid & Brace, Casey 
Testing superexogeneity and invariance in regression models
by Engle, Robert F. & Hendry, David F. 
A long memory property of stock market returns and a new model
by Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F. 
Asset pricing with a factorarch covariance structure : Empirical estimates for treasury bills
by Engle, Robert F. & Ng, Victor K. & Rothschild, Michael 
A multidynamicfactor model for stock returns
by Ng, Victor & Engle, Robert F. & Rothschild, Michael 
Seasonal integration and cointegration
by Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S. 
Predicting VNET: A model of the dynamics of market depth
by Engle, Robert F. & Lange, Joe 
The Japanese consumption function
by Engle, R. F. & Granger, C. W. J. & Hylleberg, S. & Lee, H. S. 
Estimating common sectoral cycles
by Engle, Robert F. & Issler, Joao Victor 
Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
by Engle, Robert F. & Russell, Jeffrey R. 
Estimating sectoral cycles using cointegration and common features
by Engle, R. F. & Issler, João Victor 
Impacts of trades in an errorcorrection model of quote prices
by Engle, Robert F. & Patton, Andrew J. 
Meteor Showers or Heat Waves? Heteroskedastic IntraDaily Volatility in the Foreign Exchange Market
by Robert F. Engle & Takatoshi Ito & WenLing Lin 
Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination
by Takatoshi Ito & Robert F. Engle & WenLing Lin 
Risk and Volatility: Econometric Models and Financial Practice
by Robert Engle 
A Multiple Indicators Model For Volatility Using IntraDaily Data.
by Robert F. Engle & Giampiero M. Gallo 
On the theory of growth controls
by Engle, Robert & Navarro, Peter & Carson, Richard 
Financial econometrics  A new discipline with new methods
by Engle, Robert 
Measuring and Testing the Impact of News on Volatility.
by Engle, Robert F. & Ng, Victor K. 
Arch models
by Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B.
edited by 
A multiple indicators model for volatility using intradaily data
by Engle, Robert F. & Gallo, Giampiero M. 
TESTING SUPER EXOGENEITY AND INVARIANCE IN REGRESSION MODELS.
by ENGLE, R. & HENDRY, D. 
HIGH FREQUENCY MULTIPLICATIVE COMPONENT GARCH
by Magdalena E. Sokalska & Ananda Chanda & Robert F. Engle 
The econometrics of macroeconomics, finance, and the interface
by Diebold, F. X. & Engle, R. F. & Favero, C. & Gallo, G. M. & Schorfheide, F. 
Wald, likelihood ratio, and Lagrange multiplier tests in econometrics
by Engle, Robert F.
edited by 
Execution Risk
by Robert Engle & Robert Ferstenberg 
Trades and Quotes: A Bivariate Point Process
by Robert F. Engle & Asger Lunde 
A longrun Pure Variance Common Features model for the common volatilities of the Dow Jones
by Engle, Robert F. & Marcucci, Juri 
Forecasting and testing in cointegrated systems
by Engle, Robert F. & Yoo, Byung Sam 
A general approach to lagrange multiplier model diagnostics
by Engle, Robert F. 
Merging shortand longrun forecasts : An application of seasonal cointegration to monthly electricity sales forecasting
by Engle, R. F. & Granger, C. W. J. & Hallman, J. J. 
Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
by Watson, Mark W. & Engle, Robert F. 
A dymimic model of housing price determination
by Engle, Robert F. & Lilien, David M. & Watson, Mark 
The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes
by Robert F. Engle & Jose Gonzalo Rangel 
Combining competing forecasts of inflation using a bivariate arch model
by Engle, Robert F. & Granger, C. W. J. & Kraft, Dennis 
Residential load curves and timeofday pricing : An econometric analysis
by Granger, Clive W. J. & Engle, Robert & Ramanathan, Ramu & Andersen, Allan 
Transportation costs and the rent gradient
by Coulson, N. Edward & Engle, Robert F. 
Issues in the specification of an econometric model of metropolitan growth,
by Engle, Robert F. 
Estimation of the price elasticity of demand facing metropolitan producers
by Engle, Robert F. 
Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
by Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard 
Vector Multiplicative Error Models: Representation and Inference
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo 
Vector Multiplicative Error Models: Representation and Inference
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo 
A DiscreteState ContinuousTime Model of Financial Transactions Prices and Times: The Autoregressive Conditional MultinomialAutoregressive Conditional Duration Model
by Russell, Jeffrey R. & Engle, Robert F. 
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles
by Robert F. Engle & Simone Manganelli 
Testing and Valuing Dynamic Correlations for Asset Allocation
by Engle, Robert & Colacito, Riccardo 
Vector Multiplicative Error Models: Representation and Inference
by Fabrizio Cipollini & Robert F. Engle & Giampiero Gallo 
A GARCH Option Pricing Model in Incomplete Markets
by Giovanni BaroneAdesi & Robert F. Engle & Loriano Mancini 
GARCH Options in Incomplete Markets
by BaroneAdesi, Giovanni & Engle, Robert & Mancini, Loriano 
A Model for Multivariate Nonnegative Valued Processes in Financial Econometrics
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo 
A general Approach to the Construction of Model Diagnostics based upon the Lagrange Multiplier Principle
by Engle, Robert F. 
Autobiography
by Engle III, Robert F. 
Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III
by Engle III, Robert F. & Granger, Clive W. J. 
Exogeneity
by Engle, Robert F. & Hendry, David F. & Richard, JeanFrancois 
Risk and Volatility: Econometric Models and Financial Practice
by Engle III, Robert F. 
The ACD Model: Predictability of the Time Between Concecutive Trades
by Alfonso Dufour & Robert F. Engle 
A MEMbased Analysis of Volatility Spillovers in East Asian Financial Markets
by Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi 
Fitting vast dimensional timevarying covariance models
by Neil Shephard & Kevin Sheppard & Robert F. Engle 
Fitting vast dimensional timevarying covariance models
by Robert Engle & Neil Shephard & Kevin Shepphard 
A GARCH Option Pricing Model with Filtered Historical Simulation
by Giovanni BaroneAdesi & Robert F. Engle & Loriano Mancini 
The FactorSplineGARCH Model for High and Low Frequency Correlations
by Jose Gonzalo Rangel & Robert F. Engle 
The SplineGARCH Model for LowFrequency Volatility and Its Global Macroeconomic Causes
by Robert F. Engle & Jose Gonzalo Rangel 
Multivariate Simultaneous Generalized ARCH
by Engle, Robert F. & Kroner, Kenneth F. 
Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic
by Robert F. Engle
edited by 
Semiparametric vector MEM
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo 
Effects of Aggregation Over Time on Dynamic Characteristics of an Econometric Model
by Robert F. Engle & TaChung Liu
edited by 
Simultaneous Estimation of the Supply and Demand for Housing Location in a Multizoned Metropolitan Area
by Katharine Bradbury & Robert Engle & Owen Irvine & Jerome Rothenberg
edited by 
Estimating Structural Models of Seasonality
by Robert F. Engle
edited by 
TimeVarying Arrival Rates of Informed and Uninformed Trades
by David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu 
Interpreting Spectral Analyses in Terms of TimeDomain Models
by Robert F. Engle
edited by 
The Underlying Dynamics of Credit Correlations
by Arthur M. Berd & Robert F. Engle & Artem Voronov 
High and Low Frequency Correlations in Global Equity Markets
by Robert F. Engle & José Gonzalo Rangel 
Reminiscing on the 1984 NSFNBER Time Series Meeting at UC Davis
by Robert F. Engle 
The intertemporal capital asset pricing model with dynamic conditional correlations
by Bali, Turan G. & Engle, Robert F. 
LongTerm Skewness and Systemic Risk
by Robert F. Engle 
A component model for dynamic correlations
by Colacito, Riccardo & Engle, Robert F. & Ghysels, Eric 
Robert F Engle: Understanding volatility as a process
by Robert Engle 
What good is a volatility model?
by R. F. Engle & A. J. Patton 
Volatility Spillovers in East Asian Financial Markets: A MemBased Approach
by Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi 
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles
by Engle, Robert F. & Manganelli, Simone 
Econometric Analysis of DiscreteValued IrregularlySpaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model
by Russell, Jeffrey & Engle, Robert F. 
Dynamic Conditional Correlation  A Simple Class of Multivariate GARCH Models
by Engle, Robert F. 
Modeling the Impacts of Market Activity on BidAsk Spreads in the Option Market
by Engle, Robert F. 
Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks
by Viral Acharya & Robert Engle & Matthew Richardson 
Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH
by Engle, Robert F. & Sheppard, Kevin K. 
Time and the Price Impact of a Trade
by Dufour, Alfonso & Engle, Robert F. 
Stochastic Permanent Breaks
by Engle, Robert F. & Smith, Aaron 
Macroeconomic Announcements and Volatility of Treasury Futures
by Engle, Robert F. 
Trades and Quotes: A Bivariate Point Process
by Engle, Robert F. & Lunde, Asger 
Impacts of Trades in an ErrorCorrection Model of Quote Prices
by Engle, Robert F. & Patton, Andrew J. 
And Now, The Rest of the News: Volatility and Firm Specific News Arrival
by Robert F. Engle & Martin Klint Hansen & Asger Lunde 
Liquidity and volatility in the U.S. treasury market
by Robert Engle & Michael J. Fleming & Eric Ghysels & Giang Nguyen 
Dynamic Conditional Beta is Alive and Well in the CrossSection of Daily Stock Returns
by Turan G. Bali & Robert F. Engle & Yi Tang 
Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights
by Viral V. Acharya & Robert Engle & Diane Pierret 
Forecasting intraday volatility in the US equity market. Multiplicative component GARCH
by Robert F. Engle & Magdalena E. Sokalska 
Stock Market Volatility and Macroeconomic Fundamentals
by Robert F. Engle & Eric Ghysels & Bumjean Sohn 
Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights
by Acharya, Viral V. & Engle III, Robert F. & Pierret, Diane 
The FactorSplineGARCH Model for High and Low Frequency Correlations
by JosÃ Gonzalo Rangel & Robert F. Engle 
Dynamic Equicorrelation
by Robert Engle & Bryan Kelly 
SEMIPARAMETRIC VECTOR MEM
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo 
Priced risk and asymmetric volatility in the cross section of skewness
by Engle, Robert & Mistry, Abhishek 
Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights
by Acharya, Viral V. & Engle III, Robert F. & Pierret, Diane 
The billing cycle and weather variables in models of electricity sales
by Train, Kenneth & Ignelzi, Patrice & Engle, Robert & Granger, Clive & Ramanathan, Ramu 
Common trends and common cycles in Latin America
by Engle, Robert F. & Issler, João Victor 
Testing macroprudential stress tests: The risk of regulatory risk weights
by Acharya, Viral & Engle, Robert & Pierret, Diane 
Systemic Risk in Europe
by Robert Engle & Eric Jondeau & Michael Rockinger 
Structural GARCH: The VolatilityLeverage Connection
by Robert Engle & Emil Siriwardane 
MEASURING SYSTEMIC RISK
by Viral V. Acharya & Christian Brownlees & Robert Engle & Farhang Farazmand & Matthew Richardson
edited by 
Modeling the Dynamics of Correlations among Implied Volatilities
by Robert Engle & Stephen Figlewski 
Exogeneity
by ENGLE, Robert F. & HENDRY, David F. & RICHARD, JeanFrançois 
Cointegration and error correction: Representation, estimation, and testing
by Engle, Robert & Granger, Clive 
Copulabased Specification of vector MEMs
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo 
Copulabased Specification of vector MEMs
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo 
Large dynamic covariance matrices
by Robert F. Engle & Olivier Ledoit & Michael Wolf 
Dynamic Conditional Beta
by Robert F. Engle 
Systemic Risk in Europe
by Robert F. Engle & Eric Jondeau & Michael Rockinger 
SRISK: a conditional capital shortfall measure of systemic risk
by Brownlees, Christian & Engle, Robert F. 
Copulabased vMEM Specifications versus Alternatives: The Case of Trading Activity
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo 
SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
by Christian Brownlees & Robert F. Engle 
Asymmetric dynamics in the correlations of global equity and bond returns
by Cappiello, Lorenzo & Engle, Robert F. & Sheppard, Kevin 
Scenario generation for long run interest rate risk assessment
by Engle, Robert & Roussellet, Guillaume & Siriwardane, Emil 
GLOBALIZATION: CONTENTS AND DISCONTENTS
by Orley Ashenfelter & Robert F. Engle & Daniel L. McFadden & Klaus SchmidtHebbel 
Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo 
EXOGENEITY
by Engle, Robert F. & Hendry, David F. & Richard, JeanFrancois 
A GENERAL APPROACH TO THE CONSTRUCTION OF MODEL DIAGNOSTICS BASED UPON THE LAGRANGE MULTIPLIER PRINCIPLE
by Engle, Robert F. 
Structural GARCH: The VolatilityLeverage Connection
by Robert F. Engle & Emil N. Siriwardane 
Value at risk models in finance
by Engle, Robert F. & Manganelli, Simone 
POLICY PILLS FOR A METROPOLITAN ECONOMY
by ROBERT F. ENGLE 
Systemic Risk 10 Years Later
by Robert Engle 
Hedging Climate Change News
by Robert F. Engle III & Stefano Giglio & Bryan T. Kelly & Heebum Lee & Johannes Stroebel 
Hedging Climate Change News
by Engle III, Robert F. & Giglio, Stefano W. & Kelly, Bryan & Lee, Heebum & Ströbel, Johannes 
Large Dynamic Covariance Matrices
by Robert F. Engle & Olivier Ledoit & Michael Wolf 
Hedging climate change news
by Robert Engle & Stefano Giglio & Heebum Lee & Bryan Kelly & Johannes Stroebel 
Time and the Price Impact of a Trade
by Alfonso Dufour & Robert F. Engle 
Hedging Climate Change News
by Robert F. Engle & Stefano Giglio & Bryan Kelly & Heebum Lee & Johannes Stroebel & Andrew Karolyi
editor of:

Handbook of Econometrics
edited by R. F. Engle & D. McFadden 
ARCH: Selected Readings
edited by Engle, Robert F. 
Cointegration, Causality, and Forecasting: Festschrift in Honour of Clive W. J. Granger
edited by Engle, Robert F. & White (the late), Halbert 
LongRun Economic Relationships: Readings in Cointegration
edited by Engle, R. F. & Granger, C. W. J.