Robert F. Engle : Citation Profile


Are you Robert F. Engle?

New York University (NYU)
National Bureau of Economic Research (NBER)
New York University (NYU)

59

H index

109

i10 index

30765

Citations

RESEARCH PRODUCTION:

107

Articles

104

Papers

9

Chapters

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   53 years (1966 - 2019). See details.
   Cites by year: 580
   Journals where Robert F. Engle has often published
   Relations with other researchers
   Recent citing documents: 2308.    Total self citations: 68 (0.22 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pen9
   Updated: 2019-10-15    RAS profile: 2019-06-08    
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Relations with other researchers


Works with:

Gallo, Giampiero (4)

Cipollini, Fabrizio (3)

Brownlees, Christian (2)

Pierret, Diane (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Robert F. Engle.

Is cited by:

McAleer, Michael (880)

Chang, Chia-Lin (330)

Caporin, Massimiliano (259)

Diebold, Francis (198)

Bollerslev, Tim (188)

Issler, João (172)

Christoffersen, Peter (154)

Guillén, Osmani (148)

Shahbaz, Muhammad (137)

GUPTA, RANGAN (133)

Hafner, Christian (128)

Cites to:

Bollerslev, Tim (83)

Campbell, John (37)

Diebold, Francis (36)

French, Kenneth (23)

Gallo, Giampiero (23)

Schwert, G. (23)

Andersen, Torben (19)

Shephard, Neil (19)

Bekaert, Geert (18)

Jagannathan, Ravi (18)

Chou, Ray (17)

Main data


Where Robert F. Engle has published?


Journals with more than one article published# docs
Journal of Econometrics20
Econometrica12
Journal of Business & Economic Statistics9
Journal of Financial Econometrics7
Review of Financial Studies6
Journal of Urban Economics4
The Review of Economics and Statistics4
International Economic Review3
Journal of Monetary Economics3
American Economic Review3
Journal of Money, Credit and Banking3
Journal of Financial Markets2
Journal of Empirical Finance2
Review of Finance2
Quantitative Finance2
Journal of Finance2
Journal of Business & Economic Statistics2
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego10
Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"7
Papers / arXiv.org2
The Warwick Economics Research Paper Series (TWERPS) / University of Warwick, Department of Economics2
Economic Research Papers / University of Warwick - Department of Economics2
Economics Series Working Papers / University of Oxford, Department of Economics2
Working Papers / Banco de Mxico2
Working Paper Series / European Central Bank2
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2

Recent works citing Robert F. Engle (2019 and 2018)


YearTitle of citing document
2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2017Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Christiansen, Charlotte ; Asgharian, Hossein ; Wang, Weining ; Jun, AI. In: CREATES Research Papers. RePEc:aah:create:2017-34.

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2017Identification and estimation of heterogeneous agent models: A likelihood approach. (2017). Wang, Mu-Chun ; Posch, Olaf ; Parra-Alvarez, Juan Carlos. In: CREATES Research Papers. RePEc:aah:create:2017-35.

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2017Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation. (2017). Christiansen, Charlotte ; Jun, AI ; Asgharian, Hossein. In: CREATES Research Papers. RePEc:aah:create:2018-12.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2018State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko ; Morariu-Patrichi, Maxime . In: CREATES Research Papers. RePEc:aah:create:2018-26.

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2018Transition from the Taylor rule to the zero lower bound. (2018). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina ; Johnson, Nicholas ; Hurn, Stan. In: CREATES Research Papers. RePEc:aah:create:2018-31.

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2018Realizing Correlations Across Asset Classes. (2018). Elst, Harry Vander ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-37.

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2019Resuscitating the co-fractional model of Granger (1986). (2019). de Magistris, Paolo Santucci ; Carlini, Federico. In: CREATES Research Papers. RePEc:aah:create:2019-02.

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2017The Relationship between Conventional Deposit and Islamic Profit Share Rates: An Analysis of the Turkish Banking Sector العلاقة بين الإيداعات التقليدية ومعدلات ال. (2017). Ertugrul, Hasan ; Atasoy, Burak ; Tekin, Husnu. In: Journal of King Abdulaziz University: Islamic Economics. RePEc:abd:kauiea:v:30:y:2017:i:4:no:7:p:103-117.

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2017The Relationship between Conventional Deposit and Islamic Profit Share Rates: An Analysis of the Turkish Banking Sector العلاقة بين الإيداعات التقليدية ومعدلات ال. (2017). Atasoy, Burak ; Tekin, Husnu. In: Articles published in the Journal of King Abdulaziz University: Islamic Economics.. RePEc:abd:kauiea:v:30:y:2017:i:4:p:103-117.

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2018Volatility Spillover among Equity Indices and Crude Oil Prices: Evidence from Islamic Markets امتداد التقلب بين مؤشرات الأسهم وأسعار النفط الخام: شواهد . (2018). Arrak, Islem ; Mansour, Walid ; Majdoub, Jihed. In: Articles published in the Journal of King Abdulaziz University: Islamic Economics.. RePEc:abd:kauiea:v:31:y:2018:i:1:no:2:p:27-45.

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2018Volatility Spillover among Equity Indices and Crude Oil Prices: Evidence from Islamic Markets امتداد التقلب بين مؤشرات الأسهم وأسعار النفط الخام: شواهد . (2018). Arrak, Islem ; Mansour, Walid ; Majdoub, Jihed. In: Articles published in the Journal of King Abdulaziz University: Islamic Economics.. RePEc:abd:kauiea:v:31:y:2018:i:1:p:27-45.

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2018Working Paper 306 - Asymmetric Price Transmission of Rice in Togo. (2018). Afdb, Afdb. In: Working Paper Series. RePEc:adb:adbwps:2427.

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2019The Performances of insurance industry and the Nigerian economic growth. (2019). Nwantah, Chidinma Mary ; Ikue-John, Nenubari ; Nkoro, Emeka . In: Bussecon Review of Social Sciences (2687-2285). RePEc:adi:bsrsss:v:1:y:2019:i:1:p:06-12.

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2019Studying the Volatility of Pakistan Stock Exchange and Shanghai Stock Exchange Markets in the Light of CPEC: An Application of GARCH and EGARCH Modelling. (2019). Fatima, Samreen ; Fraz, Tayyab Raza ; Ahsanuddin, Muhammad. In: International Journal of Sciences. RePEc:adm:journl:v:8:y:2019:i:3:p:125-132.

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2017Managing Energy Price Risk using Futures Contracts: A Comparative Analysis. (2017). Hanly, Jim. In: The Energy Journal. RePEc:aen:journl:ej38-3-hanly.

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2018Asian Spot Prices for LNG and other Energy Commodities. (2018). Hartley, Peter ; Lan, Yihui ; Alim, Abdullahi . In: The Energy Journal. RePEc:aen:journl:ej39-1-hartley.

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2017Export Instability and Economic Growth in Nigeria: A Time Series Analysis. (2017). Oladipo, Olajide S. In: Research Papers. RePEc:aer:rpaper:rp_322.

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2018The Complex Relationship between International Tourism Demand and Economic Growth: An Analysis on Central and Eastern European Economies. (2018). Badulescu, Alina ; Simu, Ramona. In: The AMFITEATRU ECONOMIC journal. RePEc:aes:amfeco:v:20:y:2018:i:s12:p:935.

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2019Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors. (2019). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:03-19.

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2019Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model. (2019). Mishra, Tapas ; DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:07-19.

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2017Prix du blé, régulations et croissance économique : L’analyse cliométrique permet-elle de trancher le débat sur les bleds des années 1750 ?. (2017). Rivot, Sylvie ; Jaoul-Grammare, Magali ; Boyer, Jean-Daniel. In: Working Papers. RePEc:afc:wpaper:11-17.

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2019Does Agricultural Value Added Induce Environmental Degradation? Empirical Evidence from an Agrarian Country. (2019). Bekun, Festus ; Agboola, Mary O. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:19/040.

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2018Macroeconomic uncertainty and FDI in developing countries. (2018). Das, Pradeep Kumar . In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(614):y:2018:i:1(614):p:15-30.

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2018Macroprudential stability indicators of financial systems: Analysis of Bosnia and Herzegovina and Croatia. (2018). Mei, Mirna ; Kasumovi, Merim. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(614):y:2018:i:1(614):p:41-54.

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2018The effects of microeconomic factors on the stock market: A panel for the stock exchange in Istanbul ARDL analysis. (2018). Sadeghzadeh, Khatereh. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(616):y:2018:i:3(616):p:113-134.

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2018Return, shock and volatility spillovers between the bond markets of Turkey and developed countries. (2018). Bayraci, Seluk. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(616):y:2018:i:3(616):p:135-144.

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2018Macroeconomic determinants of the labour share of income: Evidence from OECD economies. (2018). Firdaus, Muhammad Khairil ; Trofimov, Ivan D. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(616):y:2018:i:3(616):p:25-48.

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2018Price transmission for natural rubber: India integration with world markets. (2018). Saji, T G. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(617):y:2018:i:4(617):p:155-168.

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2019Co-integration with regime shift between government expenditure and poverty reduction in Algeria. (2019). Ayad, Hicham . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:2(619):p:205-216.

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2018GE Labeling Laws and Segmentation of the Sugar Market. (2018). Carter, Colin Andre ; Schaefer, Aleks K. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:273855.

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2018Identifying the price determinants of animal products in the presence of structural breaks. (2018). MacLachlan, Matthew J ; Boussios, David. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:273974.

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2018Does Economic Policy Uncertainty Affect Energy Market Volatility and Vice-Versa?. (2018). Scarcioffolo, Alexandre Ribeiro ; Etienne, Xiaoli L. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:273976.

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2018The Relationship between Biomaterial and Agricultural Commodity Markets. (2018). Marsh, Thomas ; Chen, Kuan-Ju. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274111.

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2018Determinants of land value volatility in the Corn Belt. (2018). Sant'Anna, Ana Claudia ; Katchova, Ani. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274115.

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2018Heterogeneous supply response: Does high price expectation attenuate the inverse farm size-productivity relationship in China?. (2018). Chen, Qihui ; Wu, Laping ; Yao, Ling. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274363.

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2018Domestic Resource Mobilization and Long Term Economic Growth in Tanzania. (2018). Cyril, Chimilila. In: African Journal of Economic Review. RePEc:ags:afjecr:274748.

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2018Price Transmission Analysis: the Case of Milk Products in Russia. (2018). Kharin, S. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:276092.

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2017SYSTEMATIC RISK FACTORS AND STOCK RETURN VOLATILITY. (2017). Ali, Syed Kamran ; Ahmed, Ishtiaq ; Hashmi, Shujahat Haider. In: APSTRACT: Applied Studies in Agribusiness and Commerce. RePEc:ags:apstra:265587.

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2018EGYPT’S WHEAT TENDERS – A PUBLIC NOTICE BOARD FOR BLACK SEA GRAIN NOTATIONS?. (2018). Heigermoser, Maximilian ; Svanidze, Miranda ; Gotz, Linde. In: 58th Annual Conference, Kiel, Germany, September 12-14, 2018. RePEc:ags:gewi18:275853.

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2018FOOD PRICE SENSITIVITY TO CHANGES IN PETROLEUM PRICE AND EXCHANGE RATE IN GHANA: A COINTEGRATION ANALYSIS. (2018). Ebenezer, Appiah Collins ; Mensa-Bonsu, Akwasi ; Baptist, John. In: 2018 Conference (2nd), August 8-11, Kumasi, Ghana. RePEc:ags:ghaaae:277791.

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2018Price Transmission in the Beef Value Chain – The Case of Bloemfontein, South Africa. (2018). Ogundeji, A ; Mare, F A. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:275930.

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2018European Market for Mercosur Agricultural Exports: An econometric study of commodity trade flows. (2018). Niemi, J. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:275934.

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2018The Bayesian MS-GARCH model and Value-at-Risk in South African agricultural commodity price markets. (2018). Shiferaw, Y. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:275991.

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2018Price Transmission within the Citrus Sector in Brazil: Evidence of Market Inefficiency. (2018). Alam, MJ ; Patino, M ; Gomez, M I. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:276976.

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2018Analysis of Price Transmission along the Cambodian Rice Value Chain. (2018). Bairagi, S ; Mohanty, S. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277022.

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2018Agricultural intensification and land use change: A panel cointegration approach to test induced intensification, land sparing and rebound-effect.. (2018). Garcia, Rodriguez V ; Gaspart, F ; Meyfroidt, P. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277206.

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2018Decontrolling, Price Transmission and Market Integration of Sugar Sector in India vis-a-vis Global market - A cointegration Analysis. (2018). Ramadas, Sendhil ; Bakshi, B R ; Venkatasubrmanian, V ; Prathap, Puthira D ; Murali, P ; Sendhil, R. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277212.

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2018Vertical and Spatial Price Transmissi n in the Mexican and International Milk Market. (2018). Jaramillo-Villanueva, J L ; Portilla-Duran, L ; Cabas-Monje, J ; Sarker, R. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277283.

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2018Examination of the international market power for Iranian pistachios. (2018). Farajzadeh, Z ; Amiraslany, A. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277345.

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2018International interdependence between cash crop and staple food futures price indices: A wavelet-BEKK-GARCH assessment. (2018). Heckelei, T ; Grosche, S ; Amrouk, E M. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277376.

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2018Pork price transmission and efficiency in China. (2018). Mu, Y. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277387.

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2018Asymmetric Price Volatility Transmission between U.S. Biofuel, Corn, and Oil Markets. (2018). Saghaian, Sayed ; Chen, BO ; Walters, Cory ; Nemati, Mehdi . In: Journal of Agricultural and Resource Economics. RePEc:ags:jlaare:267609.

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2017Wave after Wave: Contagion Risk from Commodity Markets. (2017). Algieri, Bernardina ; Leccadito, Arturo. In: Discussion Papers. RePEc:ags:ubzefd:257801.

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2019Transitory and Permanent Shocks in the Global Market for Crude Oil. (2019). Rebei, Nooman ; Sbia, Rashid. In: AMSE Working Papers. RePEc:aim:wpaimx:1918.

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2018Central Bank’s Role in Ensuring Financial Stability and An Efficient Pass-Through of Monetary Policy Measures. (2018). Latea, Gabriela . In: Finante - provocarile viitorului (Finance - Challenges of the Future). RePEc:aio:fpvfcf:v:1:y:2018:i:20:p:156-167.

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2018BRICS EXPORT PERFORMANCE: AN ARDL BOUNDS TESTING EMPIRICAL INVESTIGATION. (2018). Vieira, Flavio Vilela ; da Silva, Cleomar Gomes. In: Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting]. RePEc:anp:en2016:101.

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2018INFLATION AND INFLATION UNCERTAINTY IN LATIN AMERICA: A TIME-VARYING STOCHASTIC VOLATILITY IN MEAN APPROACH. (2018). Ferreira, Diego ; Palma, Andreza Aparecida. In: Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting]. RePEc:anp:en2016:125.

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2019Oil Consumption and Economic Growth in Turkey: An ARDL Bounds Test Approach in the Presence of Structural Breaks. (2019). Gzel, Alper H ; Zaydan, Zgr. In: Business, Management and Economics Research. RePEc:arp:bmerar:2019:p:77-85.

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2018Real Exchange Returns and Real Stock Price Returns in Nigeria: An Econometrics Analysis of the Direction of Causality. (2018). Otonne, Adewumi ; Adereni, Adebayo ; Usar, Terzungwe. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2018:p:131-144.

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2018Modeling the Volatility and Forecasting the Stock Price of the German Stock Index (DAX30). (2018). Nguyen, Tristan ; Mai, Thi Thanh. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2018:p:72-92.

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2018Bank Capital and Credit Supply in Ivory Coast: Evidence from an ARDLBounds Testing Approach. (2018). Seraphin, Prao Yao ; Eugne, Kamalan. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2018:p:99-106.

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2019The Influence of Price and Non-Price Factors on Acreage Response of Maize in Eswatini. (2019). Jele, Q ; Akelrele, D ; Dlamini, S G. In: Journal of Agriculture and Crops. RePEc:arp:jacarp:2019:p:38-42.

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2019An Analysis of Factors Influencing Rice Export in Egypt Based on Vector Autoregressive Model. (2019). Sayed, Hanan Mahmoud. In: The Journal of Social Sciences Research. RePEc:arp:tjssrr:2019:p:876-887.

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2017Measuring the frequency dynamics of financial connectedness and systemic risk. (2017). Krehlik, Tomas ; Baruník, Jozef. In: Papers. RePEc:arx:papers:1507.01729.

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2017Multivariate Shortfall Risk Allocation and Systemic Risk. (2017). Armenti, Yannick ; Papapantoleon, Antonis ; Drapeau, Samuel ; Crepey, Stephane. In: Papers. RePEc:arx:papers:1507.05351.

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2018Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction. (2018). Pirino, Davide ; di Gangi, Domenico ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1509.00607.

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2018Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables. (2018). Baruník, Jozef ; Kley, Tobias. In: Papers. RePEc:arx:papers:1510.06946.

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2018Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2018). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159.

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2018Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2019Combining Dimension Reduction, Distance Measures and Covariance. (2017). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1603.09060.

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2017Quantile Graphical Models: Prediction and Conditional Independence with Applications to Systemic Risk. (2017). Chernozhukov, Victor ; Chen, Mingli ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1607.00286.

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2017Elicitability and backtesting: Perspectives for banking regulation. (2017). Nolde, Natalia ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1608.05498.

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2018A String Model of Liquidity in Financial Markets. (2018). Schellhorn, Henry ; Zhao, Ran . In: Papers. RePEc:arx:papers:1608.05900.

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2019Multivariate Garch with dynamic beta. (2018). Raddant, Matthias ; Wagner, Friedrich . In: Papers. RePEc:arx:papers:1609.07051.

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2017Volatility Smile as Relativistic Effect. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1610.02456.

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2018Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1701.01185.

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2017Time Series Copulas for Heteroskedastic Data. (2017). Loaiza-Maya, Rub'En ; Maneesoonthorn, Worapree ; Smith, Michael S. In: Papers. RePEc:arx:papers:1701.07152.

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2017Day of the Week Effect in biotechnology stocks: An Application of the GARCH processes. (2017). Chatterjee, Swarnankur. In: Papers. RePEc:arx:papers:1701.07175.

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2017Interconnectedness in the Global Financial Market. (2017). Raddant, Matthias ; Kenett, Dror Y. In: Papers. RePEc:arx:papers:1704.01028.

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2017A Joint Quantile and Expected Shortfall Regression Framework. (2017). Dimitriadis, Timo ; Bayer, Sebastian. In: Papers. RePEc:arx:papers:1704.02213.

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2018Optimal Portfolio under Fast Mean-reverting Fractional Stochastic Environment. (2018). Fouque, Jean-Pierre ; Hu, Ruimeng. In: Papers. RePEc:arx:papers:1706.03139.

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2017General Compound Hawkes Processes in Limit Order Books. (2017). Swishchuk, Anatoliy. In: Papers. RePEc:arx:papers:1706.07459.

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2017Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Wang, Chao ; Gerlach, Richard ; Chen, Qian. In: Papers. RePEc:arx:papers:1707.03715.

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2017Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk). (2017). Patton, Andrew J ; Chen, Rui ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1707.05108.

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2019Spectral backtests of forecast distributions with application to risk management. (2018). Gordy, Michael ; McNeil, Alexander J ; Lok, Hsiao Yen . In: Papers. RePEc:arx:papers:1708.01489.

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2017Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece. (2017). Papaioannou, Panagiotis G ; Dikaiakos, Christos ; Stratigakos, Akylas ; Siettos, Kostas . In: Papers. RePEc:arx:papers:1708.07063.

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2017Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587.

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2017Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. (2017). Baruník, Jozef ; Cech, Frantisek . In: Papers. RePEc:arx:papers:1708.08622.

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2019Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1709.02502.

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2018Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2018). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296.

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2019A Justification of Conditional Confidence Intervals. (2017). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1710.00643.

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2019Forecasting dynamic return distributions based on ordered binary choice. (2019). Baruník, Jozef ; Anatolyev, Stanislav. In: Papers. RePEc:arx:papers:1711.05681.

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2018A Neural Stochastic Volatility Model. (2018). Luo, Rui ; Wang, Jun ; Xu, Xiaojun ; Zhang, Weinan. In: Papers. RePEc:arx:papers:1712.00504.

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2017A nonparametric copula approach to conditional Value-at-Risk. (2017). Geenens, Gery ; Dunn, Richard . In: Papers. RePEc:arx:papers:1712.05527.

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2018Is there a housing bubble in China. (2018). Zhi, Tianhao ; Sornette, Didier ; Wei, Lijian ; Jiang, Zhiqiang ; Li, Zhongfei. In: Papers. RePEc:arx:papers:1801.03678.

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2018Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2018). Crisóstomo, Ricardo ; Couso, Lorena. In: Papers. RePEc:arx:papers:1801.08007.

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2018The Power of Trading Polarity: Evidence from China Stock Market Crash. (2018). Lu, Shan ; Wang, Huiwen ; Zhao, Jichang. In: Papers. RePEc:arx:papers:1802.01143.

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2018Matching distributions: Recovery of implied physical densities from option prices. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1803.03996.

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More than 100 citations found, this list is not complete...

Robert F. Engle has edited the books:


YearTitleTypeCited

Works by Robert F. Engle:


YearTitleTypeCited
2012And Now, The Rest of the News: Volatility and Firm Specific News Arrival In: CREATES Research Papers.
[Full Text][Citation analysis]
paper1
2012Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks In: American Economic Review.
[Full Text][Citation analysis]
article214
1972An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government. In: American Economic Review.
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article1
2004Risk and Volatility: Econometric Models and Financial Practice In: American Economic Review.
[Full Text][Citation analysis]
article119
2003Risk and Volatility: Econometric Models and Financial Practice.(2003) In: Nobel Prize in Economics documents.
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This paper has another version. Agregated cites: 119
paper
2001GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics In: Journal of Economic Perspectives.
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article190
1979A GENERAL APPROACH TO THE CONSTRUCTION OF MODEL DIAGNOSTICS BASED UPON THE LAGRANGE MULTIPLIER PRINCIPLE In: Economic Research Papers.
[Full Text][Citation analysis]
paper2
1979A general Approach to the Construction of Model Diagnostics based upon the Lagrange Multiplier Principle.(1979) In: The Warwick Economics Research Paper Series (TWERPS).
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paper
1979EXOGENEITY In: Economic Research Papers.
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paper49
1983Exogeneity.(1983) In: CORE Discussion Papers RP.
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This paper has another version. Agregated cites: 49
paper
1983Exogeneity..(1983) In: Econometrica.
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This paper has another version. Agregated cites: 49
article
1979Exogeneity.(1979) In: The Warwick Economics Research Paper Series (TWERPS).
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This paper has another version. Agregated cites: 49
paper
2018Systemic Risk 10 Years Later In: Annual Review of Financial Economics.
[Full Text][Citation analysis]
article0
2010The Underlying Dynamics of Credit Correlations In: Papers.
[Full Text][Citation analysis]
paper0
2016Copula--based Specification of vector MEMs In: Papers.
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paper1
2016Copula--based Specification of vector MEMs.(2016) In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
1991Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns. In: Working papers.
[Citation analysis]
paper8
1992Do Bulls and Bears Move Acoross Borders: International Transimission of Stock Returns and Volatility as the World Turns.(1992) In: Discussion Paper Series.
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This paper has another version. Agregated cites: 8
paper
1991Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns.(1991) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2009The Factor-Spline-GARCH Model for High and Low Frequency Correlations In: Working Papers.
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paper13
2011The Factor--Spline--GARCH Model for High and Low Frequency Correlations.(2011) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 13
article
2009High and Low Frequency Correlations in Global Equity Markets In: Working Papers.
[Full Text][Citation analysis]
paper7
1993Common Volatility in International Equity Markets. In: Journal of Business & Economic Statistics.
[Citation analysis]
article139
1993Testing for Common Features. In: Journal of Business & Economic Statistics.
[Citation analysis]
article332
1990Testing For Common Features.(1990) In: NBER Technical Working Papers.
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This paper has another version. Agregated cites: 332
paper
1993Testing for Common Features: Reply. In: Journal of Business & Economic Statistics.
[Citation analysis]
article299
1994Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]
article0
2002Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models. In: Journal of Business & Economic Statistics.
[Citation analysis]
article1464
2004CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article596
1999CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles.(1999) In: University of California at San Diego, Economics Working Paper Series.
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This paper has another version. Agregated cites: 596
paper
2000CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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This paper has another version. Agregated cites: 596
paper
2005A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article32
2006Testing and Valuing Dynamic Correlations for Asset Allocation In: Journal of Business & Economic Statistics.
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article101
1991Semiparametric ARCH Models. In: Journal of Business & Economic Statistics.
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article199
2018GLOBALIZATION: CONTENTS AND DISCONTENTS In: Contemporary Economic Policy.
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article0
1993 Measuring and Testing the Impact of News on Volatility. In: Journal of Finance.
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article1260
1991Measuring and Testing the Impact of News on Volatility.(1991) In: NBER Working Papers.
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This paper has another version. Agregated cites: 1260
paper
2000Time and the Price Impact of a Trade In: Journal of Finance.
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article222
1999Time and the Price Impact of a Trade.(1999) In: University of California at San Diego, Economics Working Paper Series.
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paper
1996Common Seasonal Features: Global Unemployment. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
article13
1975POLICY PILLS FOR A METROPOLITAN ECONOMY In: Papers in Regional Science.
[Full Text][Citation analysis]
article0
1998Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]
paper14
1998Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model.(1998) In: CRSP working papers.
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This paper has another version. Agregated cites: 14
paper
2000Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models In: University of California at San Diego, Economics Working Paper Series.
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paper31
2001Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH In: University of California at San Diego, Economics Working Paper Series.
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paper459
2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH.(2001) In: NBER Working Papers.
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paper
2000Impacts of Trades in an Error-Correction Model of Quote Prices In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]
paper64
2004Impacts of trades in an error-correction model of quote prices.(2004) In: Journal of Financial Markets.
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This paper has another version. Agregated cites: 64
article
1999Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market In: University of California at San Diego, Economics Working Paper Series.
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paper22
1999Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market.(1999) In: NBER Working Papers.
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This paper has another version. Agregated cites: 22
paper
1998Macroeconomic Announcements and Volatility of Treasury Futures In: University of California at San Diego, Economics Working Paper Series.
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paper48
1998Trades and Quotes: A Bivariate Point Process In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]
paper48
2003Trades and Quotes: A Bivariate Point Process.(2003) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 48
article
1998Stochastic Permanent Breaks In: University of California at San Diego, Economics Working Paper Series.
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paper119
1999Stochastic Permanent Breaks.(1999) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 119
article
2007A GARCH Option Pricing Model in Incomplete Markets In: Swiss Finance Institute Research Paper Series.
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paper1
2012Systemic Risk in Europe In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper31
2015Systemic Risk in Europe.(2015) In: Review of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31
article
1985Small-Sample Properties of ARCH Estimators and Tests. In: Canadian Journal of Economics.
[Full Text][Citation analysis]
article37
2005The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes In: Working Papers.
[Full Text][Citation analysis]
paper30
2019Hedging Climate Change News In: CEPR Discussion Papers.
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paper0
2019Hedging Climate Change News.(2019) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2013Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights In: CEPR Discussion Papers.
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paper96
2014Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2014) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 96
paper
2014Testing macroprudential stress tests: The risk of regulatory risk weights.(2014) In: Journal of Monetary Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 96
article
2013Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2013) In: NBER Working Papers.
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This paper has another version. Agregated cites: 96
paper
1995Multivariate Simultaneous Generalized ARCH In: Econometric Theory.
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article1491
2001Value at risk models in finance In: Working Paper Series.
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paper38
2003Asymmetric dynamics in the correlations of global equity and bond returns In: Working Paper Series.
[Full Text][Citation analysis]
paper651
2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns.(2006) In: Journal of Financial Econometrics.
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article
1974Specification of the Disturbance for Efficient Estimation. In: Econometrica.
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article0
1976Some Finite Sample Properties of Spectral Estimators of a Linear Regression. In: Econometrica.
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article6
1973Some Finite Sample Properties of Spectral Estimators of a Linear Regression.(1973) In: Working papers.
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1976Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment. In: Econometrica.
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article0
1978Testing Price Equations for Stability across Spectral Frequency Bands. In: Econometrica.
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article33
1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. In: Econometrica.
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article4579
1987Co-integration and Error Correction: Representation, Estimation, and Testing. In: Econometrica.
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article6932
2015Co-integration and error correction: Representation, estimation, and testing.(2015) In: Applied Econometrics.
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1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model. In: Econometrica.
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article673
1990Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market. In: Econometrica.
[Full Text][Citation analysis]
article400
1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market.(1988) In: NBER Working Papers.
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This paper has another version. Agregated cites: 400
paper
1993Common Persistence in Conditional Variances. In: Econometrica.
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article113
1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data In: Econometrica.
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article573
2000The Econometrics of Ultra-High Frequency Data In: Econometrica.
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article184
1996The Econometrics of Ultra-High Frequency Data.(1996) In: NBER Working Papers.
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This paper has another version. Agregated cites: 184
paper
1984Combining competing forecasts of inflation using a bivariate arch model In: Journal of Economic Dynamics and Control.
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article49
1984Wald, likelihood ratio, and Lagrange multiplier tests in econometrics In: Handbook of Econometrics.
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chapter78
1986Arch models In: Handbook of Econometrics.
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chapter118
2001Financial econometrics - A new discipline with new methods In: Journal of Econometrics.
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article10
2006The econometrics of macroeconomics, finance, and the interface In: Journal of Econometrics.
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article0
2006A multiple indicators model for volatility using intra-daily data In: Journal of Econometrics.
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article240
2003A Multiple Indicators Model For Volatility Using Intra-Daily Data..(2003) In: Econometrics Working Papers Archive.
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This paper has another version. Agregated cites: 240
paper
2003A Multiple Indicators Model for Volatility Using Intra-Daily Data.(2003) In: NBER Working Papers.
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This paper has another version. Agregated cites: 240
paper
2006A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones In: Journal of Econometrics.
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article29
2011A component model for dynamic correlations In: Journal of Econometrics.
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article106
2014Priced risk and asymmetric volatility in the cross section of skewness In: Journal of Econometrics.
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article2
2017Scenario generation for long run interest rate risk assessment In: Journal of Econometrics.
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article0
1982A general approach to lagrange multiplier model diagnostics In: Journal of Econometrics.
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article84
1983Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models In: Journal of Econometrics.
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article144
1985A dymimic model of housing price determination In: Journal of Econometrics.
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article14
1987Forecasting and testing in co-integrated systems In: Journal of Econometrics.
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article638
1989Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting In: Journal of Econometrics.
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article63
1990Seasonal integration and cointegration In: Journal of Econometrics.
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1988SEASONAL INTEGRATION AND COINTEGRATION.(1988) In: Pennsylvania State - Department of Economics.
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1988SEASONAL, INTEGRATION AND COINTEGRATION..(1988) In: Pennsylvania State - Department of Economics.
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1990Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills In: Journal of Econometrics.
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1988Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills.(1988) In: NBER Technical Working Papers.
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1992A multi-dynamic-factor model for stock returns In: Journal of Econometrics.
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1992Implied ARCH models from options prices In: Journal of Econometrics.
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1993The Japanese consumption function In: Journal of Econometrics.
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1993Testing superexogeneity and invariance in regression models In: Journal of Econometrics.
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1990TESTING SUPER EXOGENEITY AND INVARIANCE IN REGRESSION MODELS..(1990) In: Economics Series Working Papers.
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1997Codependent cycles In: Journal of Econometrics.
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1979Residential load curves and time-of-day pricing : An econometric analysis In: Journal of Econometrics.
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1993A long memory property of stock market returns and a new model In: Journal of Empirical Finance.
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1997Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model In: Journal of Empirical Finance.
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1984The billing cycle and weather variables in models of electricity sales In: Energy.
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2001Predicting VNET: A model of the dynamics of market depth In: Journal of Financial Markets.
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1992Where does the meteor shower come from? : The role of stochastic policy coordination In: Journal of International Economics.
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1990Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination.(1990) In: NBER Working Papers.
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1997Shorte-run forecasts of electricity loads and peaks In: International Journal of Forecasting.
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2002Empirical pricing kernels In: Journal of Financial Economics.
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2000Empirical Pricing Kernels.(2000) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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1994Hourly volatility spillovers between international equity markets In: Journal of International Money and Finance.
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1974Issues in the specification of an econometric model of metropolitan growth, In: Journal of Urban Economics.
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1973Issues in the Specification of an Econometric Model of Metropolitan Growth.(1973) In: Working papers.
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1987Transportation costs and the rent gradient In: Journal of Urban Economics.
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1992On the theory of growth controls In: Journal of Urban Economics.
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1979Estimation of the price elasticity of demand facing metropolitan producers In: Journal of Urban Economics.
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1975Estimation of the Price Elasticity of Demand Facing Metropolitan Producers.(1975) In: Working papers.
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1995Estimating common sectoral cycles In: Journal of Monetary Economics.
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1992On the determination of regional base and regional base multipliers In: Regional Science and Urban Economics.
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1994Estimating sectoral cycles using cointegration and common features In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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1993Estimating Sectoral Cycles Using Cointegration and Common Features.(1993) In: NBER Working Papers.
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1993Common trends and common cycles in Latin America In: Revista Brasileira de Economia - RBE.
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2006Vector Multiplicative Error Models: Representation and Inference.(2006) In: NBER Working Papers.
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2007A Model for Multivariate Non-negative Valued Processes in Financial Econometrics In: Econometrics Working Papers Archive.
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2008A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets In: Econometrics Working Papers Archive.
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1989COINTEGRATED ECONOMIC TIME SERIES: A SURVEY WITH NEW RESULTS. In: Pennsylvania State - Department of Economics.
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2013Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns In: Koç University-TUSIAD Economic Research Forum Working Papers.
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1988Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: Reply. In: Journal of Money, Credit and Banking.
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1993Time-Varying Volatility and the Dynamic Behavior of the Term Structure. In: Journal of Money, Credit and Banking.
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1991Time-Varying Volatility and the Dynamic Behavior of the Term Structure.(1991) In: NBER Working Papers.
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1973De Facto Discrimination in Residential Assessments: Boston In: Working papers.
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1973A Disequilibrium Model of Regional Investment In: Working papers.
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1974Testing Price Equations for Stability Across Frequencies In: Working papers.
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1972A Supply Function Model of Aggregate Investment In: Working papers.
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1974Interpreting Spectral Analyses in Terms of Time-Domain Models.(1974) In: NBER Working Papers.
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1980Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic In: NBER Chapters.
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1972Effects of Aggregation Over Time on Dynamic Characteristics of an Econometric Model In: NBER Chapters.
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1979Estimating Structural Models of Seasonality In: NBER Chapters.
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1978Estimating Structural Models of Seasonality.(1978) In: NBER Chapters.
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1977Simultaneous Estimation of the Supply and Demand for Housing Location in a Multizoned Metropolitan Area In: NBER Chapters.
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2006Execution Risk In: NBER Working Papers.
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1990Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share In: NBER Working Papers.
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