Robert F. Engle : Citation Profile

Are you Robert F. Engle?

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

62

H index

111

i10 index

35548

Citations

RESEARCH PRODUCTION:

113

Articles

109

Papers

8

Chapters

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   55 years (1966 - 2021). See details.
   Cites by year: 646
   Journals where Robert F. Engle has often published
   Relations with other researchers
   Recent citing documents: 1730.    Total self citations: 75 (0.21 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pen9
   Updated: 2021-04-17    RAS profile: 2021-03-31    
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Relations with other researchers

Works with:

Stroebel, Johannes (4)

Gallo, Giampiero (4)

Giglio, Stefano (4)

Ledoit, Olivier (3)

Cipollini, Fabrizio (3)

Wolf, Michael (2)

Brownlees, Christian (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 (892)

Chang, Chia-Lin (330)

Caporin, Massimiliano (271)

Guillén, Osmani (222)

Bollerslev, Tim (209)

Diebold, Francis (204)

Gallo, Giampiero (177)

GUPTA, RANGAN (177)

Issler, João (172)

Shahbaz, Muhammad (160)

Christoffersen, Peter (156)

Cites to:

Bollerslev, Tim (89)

Campbell, John (37)

Diebold, Francis (34)

Gallo, Giampiero (27)

French, Kenneth (24)

Schwert, G. (23)

Shephard, Neil (21)

Jagannathan, Ravi (20)

Chou, Ray (17)

Andersen, Torben (17)

Bekaert, Geert (17)

Main data

Where Robert F. Engle has published?

Journals with more than one article published# docs
Journal of Econometrics21
Econometrica12
Journal of Business & Economic Statistics9
Review of Financial Studies7
Journal of Financial Econometrics7
Journal of Urban Economics4
The Review of Economics and Statistics4
Journal of Business & Economic Statistics3
Journal of Money, Credit and Banking3
International Economic Review3
American Economic Review3
Journal of Monetary Economics3
Journal of Empirical Finance2
Quantitative Finance2
Review of Finance2
Journal of Applied Econometrics2
Journal of Financial Markets2
Journal of Finance2

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
Economics Series Working Papers / University of Oxford, Department of Economics2
Economic Research Papers / University of Warwick - Department of Economics2
Papers / arXiv.org2
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2
Working Papers / Banco de México2
Working Paper Series / European Central Bank2
The Warwick Economics Research Paper Series (TWERPS) / University of Warwick, Department of Economics2

Recent works citing Robert F. Engle (2021 and 2020)

YearTitle of citing document
2020Time-Varying Spillovers between Currency and Stock Markets in the USA: Historical Evidence From More than Two Centuries. (2020). Hkiri, Besma ; Gupta, Rangan ; Coronado, Semei ; Rojas, Omar. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:4:p:44-76.

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2020Designing a sequential testing procedure for verifying global CO2 emissions. (2020). Bennedsen, Mikkel. In: CREATES Research Papers. RePEc:aah:create:2020-01.

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2020Estimation of heterogeneous agent models: A likelihood approach. (2020). Posch, Olaf ; Parra-Alvarez, Juan ; Wang, Mu-Chun. In: CREATES Research Papers. RePEc:aah:create:2020-05.

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2021A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Christensen, Kim ; Siggaard, Mathias. In: CREATES Research Papers. RePEc:aah:create:2021-03.

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2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2021-05.

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2020Estimation of Consumption Function for Developing Economies: China, Turkey, Vietnam and Bangladesh. (2020). Khan, Khalid ; Wotto, Marguerite ; Liaqat, Saima. In: Global Economics Review. RePEc:aaw:journl:v:5:y:2020:i:1:p:1-11.

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2020Emerging Markets and Volatility Spillover Effects: Empirical Evidence from Regional Emerging Economies of Pakistan, China, India, and Bangladesh. (2020). Saeed, Muhammad Yasir ; Ghafoor, Muhammad Mudasar ; Hamid, Kashif. In: Global Economics Review. RePEc:aaw:journl:v:5:y:2020:i:1:p:102-116.

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2020Trivariate Modelling of the Nexus between Electricity Consumption, Urbanization and Economic Growth in Nigeria: Fresh Insights from Maki Cointegration and Causality Tests. (2020). Nathaniel, Solomon P ; Ali, Hamisu S ; Sarkodie, Samuel A ; Bekun, Festus V ; Uzuner, Gizem. In: Research Africa Network Working Papers. RePEc:abh:wpaper:20/010.

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2020Electricity Consumption, Urbanization and Economic Growth in Nigeria: New Insights from Combined Cointegration amidst Structural Breaks. (2020). Bekun, Festus ; Nathaniel, Solomon P. In: Research Africa Network Working Papers. RePEc:abh:wpaper:20/013.

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2020Leveraging Foreign Direct Investment for Sustainability: An Approach to Sustainable Human Development in Nigeria. (2020). Osinubi, Tolulope ; Fagbemi, Fisayo. In: Research Africa Network Working Papers. RePEc:abh:wpaper:20/090.

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2020Technological novelty and productivity growth: a cliometric approach. (2020). Plunket, Anne ; Epicoco, Marianna ; Jaoul-Grammare, Magali. In: Working Papers. RePEc:afc:wpaper:04-20.

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2020Trivariate Modelling of the Nexus between Electricity Consumption, Urbanization and Economic Growth in Nigeria: Fresh Insights from Maki Cointegration and Causality Tests. (2020). Nathaniel, Solomon P ; Ali, Hamisu S ; Sarkodie, Samuel A ; Bekun, Festus V ; Uzuner, Gizem. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:20/010.

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2020Electricity Consumption, Urbanization and Economic Growth in Nigeria: New Insights from Combined Cointegration amidst Structural Breaks. (2020). Bekun, Festus V ; Nathaniel, Solomon P. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:20/013.

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2020Leveraging Foreign Direct Investment for Sustainability: An Approach to Sustainable Human Development in Nigeria. (2020). Osinubi, Tolulope ; Fagbemi, Fisayo. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:20/090.

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2021Energy and economic growth. An empirical analysis. (2021). Adamopoulos, Antonios. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(626):y:2021:i:1(626):p:151-166.

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2021A pragmatic evaluation of the interconnection between currency futures return volatility, open interest and volume. (2021). Johnson, Johney ; Devan, Karthika P. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(626):y:2021:i:1(626):p:289-296.

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2020An approach to measuring credit risk in a banking institution from Romania. (2020). Nica, Ionu ; Chiri, Nora. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(623):y:2020:i:2(623):p:65-78.

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2020The dependence and dynamic correlation between Islamic and conventional insurances and stock market: A multivariate short memory approach. (2020). el Abed, Riadh ; el Ansari, Rym Charef. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(624):y:2020:i:3(624):p:213-222.

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2020Testing Wagner’s Law for sub-Saharan Africa: A panel cointegration and causality approach. (2020). Jobarteh, Mustapha. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvii:y:2020:i:1(622):p:125-136.

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2020Quantifying consumers’ love for marine biodiversity. (2020). Bronmann, Julia ; Lancker, Kira. In: 2020 Annual Meeting, July 26-28, Kansas City, Missouri. RePEc:ags:aaea20:304214.

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2020The Impacts of African Swine Fever on Vertical and Spatial Hog Pricing and Market Integration in China. (2020). Chavas, Jean-Paul ; Li, Jian. In: 2020 Annual Meeting, July 26-28, Kansas City, Missouri. RePEc:ags:aaea20:304516.

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2020Determinants of Economic Growth in ECOWAS Countries: An Empirical Investigation. (2020). Sissoko, Yaya ; Sloboda, Brian W. In: African Journal of Economic Review. RePEc:ags:afjecr:304715.

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2020Exchange Rate Volatility and Domestic Investment: Evidence from Twelve ECOWAS Countries. (2020). Akinlo, Anthony ; Onatunji, Olufemi G. In: African Journal of Economic Review. RePEc:ags:afjecr:304721.

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2020Export-Led Growth Hypothesis in ECOWAS: A Panel Data Analysis. (2020). Kollie, Genesis B. In: African Journal of Economic Review. RePEc:ags:afjecr:304725.

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2020LIVESTOCK MARKET INTEGRATION AND PRICE DYNAMICS IN THE UNITED STATES. (2020). Palash, Salauddin M ; Monayem, M A ; Akter, Morsalina ; Rahman, Kazi Tamim. In: Bangladesh Journal of Agricultural Economics. RePEc:ags:bdbjaf:304092.

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2020Food Price Volatility in Nigeria and Its Driving Factors: Evidence from Garch Estimates. (2020). Abdoulaye, Tahirou ; Ayinde, Opeyemi Eyitayo ; Ajibade, Toyin Benedict. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:307655.

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2020The Impact of the Real Effective Exchange Rate on Poland’s Food and Live Animal Exports. (2020). Parliska, Agnieszka ; Tokta, Yilmaz. In: Problems of World Agriculture / Problemy Rolnictwa ?wiatowego. RePEc:ags:polpwa:308625.

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2020Time-Varying Spillovers between Currency and Stock Markets in the USA: Historical Evidence From More than Two Centuries. (2020). Gupta, Rangan ; Coronado, Semei ; Rojas, Omar ; Hkiri, Besma. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:4:p:44-76.

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2020Systemic Risk: a Network Approach. (2020). Hasse, Jean-Baptiste. In: AMSE Working Papers. RePEc:aim:wpaimx:2025.

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2021Long-run stability of money demand and monetary policy: the case of Algeria. (2021). Boucekkine, Raouf ; Laksaci, Mohammed ; Touati-Tliba, Mohamed. In: AMSE Working Papers. RePEc:aim:wpaimx:2104.

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2020Dynamic score driven independent component analysis. (2020). Hafner, Christian ; Herwartz, Helmut. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020031.

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2020Dynamic portfolio selection with sector-specific regularization. (2020). Hafner, Christian ; Wang, Linqi. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020032.

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2020Bank capital and the European recovery from the COVID-19 crisis. (2020). Tröger, Tobias ; Schularick, Moritz ; Troger, Tobias H ; Steffen, Sascha. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:017.

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2021Loss Sharing in Central Clearinghouses: Winners and Losers. (2021). Sherman, Mila Getmansky ; Pelizzon, Loriana ; Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:066.

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2020DOES PRIVATE SAVING OFFSET PUBLIC SAVING IN PAKISTAN AN EMPRICAL EVIDENCE. (2020). Khan, Aamir ; Javed, Asif ; Ali, Wajid. In: Review of Socio - Economic Perspectives. RePEc:aly:journl:202066.

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2020THE IMPACT OF FDI AND EXCHANGE RATE ON GDP IN MENA COUNTRIES : EVIDENCE FROM THE PANEL APPROACH. (2020). Djaballah, Mustapha. In: Review of Socio - Economic Perspectives. RePEc:aly:journl:202073.

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2020Is Tourism a Key Factor for Economic Growth? Fresh Evidence from South Europe Using Panel Cointegration and PVAR Analyses. (2020). Kostakis, Ioannis. In: World Journal of Applied Economics. RePEc:ana:journl:v:6:y:2020:i:2:p:123-138.

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2020Impact of Public Debt, Deficit and Debt Financing on Private Investment in a Large Country: Evidence from the United States. (2020). Kia, Amir. In: World Journal of Applied Economics. RePEc:ana:journl:v:6:y:2020:i:2:p:139-161.

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2020LONG SWINGS IN THE GROWTH OF GOVERNMENT EXPENDITURE: AN INTERNATIONAL HISTORICAL PERSPECTIVE. (2020). Tamberi, Massimo ; Gallegati, Marco. In: Working Papers. RePEc:anc:wpaper:447.

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2020Factors Affecting Economic Growth: A Comparative Analysis of Democratic and Non-Democratic Eras of Pakistan. (2020). Khan, Farman Ullah ; Urooj, Amena . In: iRASD Journal of Economics. RePEc:ani:irdjoe:v:2:y:2020:i:2:p:61-71.

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2020Investigation of Causality Relationships among COVID-19 Cases, ISE100 Index, Dollar, Euro, Gram Gold Prices and 2 Years Bond Rates: The Case of Turkey. (2020). UNVAN, Yuksel Akay . In: Alphanumeric Journal. RePEc:anm:alpnmr:v:8:y:2020:i:1:p:29-42.

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2020The Impact Population Growth on Disaggregate Energy Generation Source from (Hydro Power, Natural Gas, Oil and Coal Source) in Nigeria. (2020). Yusuf, Ayatu ; Bala, Umar ; Maijama, Rabiu. In: Asian Bulletin of Energy Economics and Technology. RePEc:aoj:abeeat:2018:p:1-8.

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2020Assessing the Stability of Money Demand Function in Saudi Arabia. (2020). Al Rasasi, Moayad. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2020:p:22-28.

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2020Interconnectedness in the Global Financial Market. (2017). Raddant, Matthias ; Kenett, Dror Y. In: Papers. RePEc:arx:papers:1704.01028.

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2020Improving Value-at-Risk prediction under model uncertainty. (2018). Yao, Jianfeng ; Yang, Shuzhen. In: Papers. RePEc:arx:papers:1805.03890.

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2020LASSO-Driven Inference in Time and Space. (2019). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen ; Hardle, Wolfgang K. In: Papers. RePEc:arx:papers:1806.05081.

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2020Tail Risks, Asset prices, and Investment Horizons. (2018). Baruník, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148.

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2021A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422.

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2020A Residual Bootstrap for Conditional Value-at-Risk. (2018). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1808.09125.

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2020Asymmetric Connectedness of Fears in the U.S. Financial Sector. (2018). Baruník, Jozef ; Tunaru, Radu ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:1810.12022.

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2020Distribution Regression with Sample Selection, with an Application to Wage Decompositions in the UK. (2019). Chernozhukov, Victor ; Luo, Siyi ; Fern, Iv'An. In: Papers. RePEc:arx:papers:1811.11603.

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2020Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2020Approximate State Space Modelling of Unobserved Fractional Components. (2019). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09142.

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2020A Nonparametric Dynamic Causal Model for Macroeconometrics. (2019). Shephard, Neil ; Rambachan, Ashesh. In: Papers. RePEc:arx:papers:1903.01637.

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2020Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

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2020Common Decomposition of Correlated Brownian Motions and its Financial Applications. (2019). Yang, Jingping ; Cheng, Xue. In: Papers. RePEc:arx:papers:1907.03295.

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2020Adaptive inference for a semiparametric generalized autoregressive conditional heteroscedastic model. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1907.04147.

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2020Efficient Estimation by Fully Modified GLS with an Application to the Environmental Kuznets Curve. (2019). Reuvers, Hanno ; Lin, Yicong. In: Papers. RePEc:arx:papers:1908.02552.

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2020Anomalous diffusions in option prices: connecting trade duration and the volatility term structure. (2019). Torricelli, Lorenzo ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:1908.03007.

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2020Forecast Encompassing Tests for the Expected Shortfall. (2019). Schnaitmann, Julie ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1908.04569.

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2020Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2019). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:1909.11794.

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2020A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics. (2019). Lillo, Fabrizio ; Bormetti, Giacomo ; Vassallo, Danilo. In: Papers. RePEc:arx:papers:1910.01407.

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2020Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144.

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2020Data-driven covariance estimators for high-dimensional minimum-variance portfolios. (2019). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven . In: Papers. RePEc:arx:papers:1910.13960.

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2020Artificial intelligence approach to momentum risk-taking. (2019). Cherednik, Ivan. In: Papers. RePEc:arx:papers:1911.08448.

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2021Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916.

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2020On the uniqueness of solutions of stochastic Volterra equations. (2019). Jacquier, Antoine ; Pannier, Alexandre. In: Papers. RePEc:arx:papers:1912.05917.

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2020Conditional Correlations and Principal Regression Analysis for Futures. (2019). Bouchaud, Jean-Philippe ; Benzaquen, Michael ; Benichou, Raphael ; Karami, Armine. In: Papers. RePEc:arx:papers:1912.12354.

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2020Bayesian Median Autoregression for Robust Time Series Forecasting. (2020). Li, Meng ; Zeng, Zijian. In: Papers. RePEc:arx:papers:2001.01116.

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2020Path-dependent volatility models. (2020). Lacombe, Chloe ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2001.05248.

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2020A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting. (2020). Gao, Junbin ; Gerlach, Richard ; Wang, Chao ; Tran, Minh-Ngoc ; Li, Zhengkun. In: Papers. RePEc:arx:papers:2001.08374.

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2020Refined model of the covariance/correlation matrix between securities. (2020). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2001.08911.

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2020Risk Fluctuation Characteristics of Internet Finance: Combining Industry Characteristics with Ecological Value. (2020). Shuai, Hefan ; Xiao, Yadong ; Marshall, Tom ; Ye, Nan ; Mi, Chuanmin ; Xu, Runjie. In: Papers. RePEc:arx:papers:2001.09798.

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2020Detecting Changes in Asset Co-Movement Using the Autoencoder Reconstruction Ratio. (2020). Roberts, Stephen ; Zohren, Stefan ; Lim, Bryan. In: Papers. RePEc:arx:papers:2002.02008.

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2020A study on the leverage effect on financial series using a TAR model: a Bayesian approach. (2020). Nieto, Fabio ; Espinosa, Oscar. In: Papers. RePEc:arx:papers:2002.05319.

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2020TPLVM: Portfolio Construction by Students $t$-process Latent Variable Model. (2020). Nakagawa, Kei ; Uchiyama, Yusuke. In: Papers. RePEc:arx:papers:2002.06243.

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2020Cross-sectional Stock Price Prediction using Deep Learning for Actual Investment Management. (2020). Nakagawa, Kei ; Abe, Masaya. In: Papers. RePEc:arx:papers:2002.06975.

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2020Forecasting Realized Volatility Matrix With Copula-Based Models. (2020). Tao, Minjing ; Wang, Wenjing. In: Papers. RePEc:arx:papers:2002.08849.

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2020Scoring Functions for Multivariate Distributions and Level Sets. (2020). Li, Siran ; Ben Taieb, Souhaib ; Taylor, James W ; Meng, Xiaochun. In: Papers. RePEc:arx:papers:2002.09578.

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2021Modelling volatility with v-transforms. (2020). McNeil, Alexander J. In: Papers. RePEc:arx:papers:2002.10135.

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2020SHIFT: A Highly Realistic Financial Market Simulation Platform. (2020). BOZDOG, DRAGOS ; Calhoun, George ; Florescu, Ionut ; Alves, Thiago W. In: Papers. RePEc:arx:papers:2002.11158.

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2020Machine Learning Portfolio Allocation. (2020). Ruppert, David ; Pinelis, Michael. In: Papers. RePEc:arx:papers:2003.00656.

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2020Copula-based local dependence between energy, agriculture and metal commodity markets. (2020). Tiwari, Aviral ; Albulescu, Claudiu ; Ji, Qiang. In: Papers. RePEc:arx:papers:2003.04007.

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2020Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723.

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2021Cryptocurrency Trading: A Comprehensive Survey. (2020). Wu, Fan ; Martinez-Regoband, David ; Li, Lingbo ; Kanthan, Leslie ; Kong, Hoiliong ; Basios, Michail ; Ventre, Carmine ; Fang, Fan. In: Papers. RePEc:arx:papers:2003.11352.

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2020Streaming Perspective in Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2020). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2003.13062.

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2020A wavelet analysis of inter-dependence, contagion and long memory among global equity markets. (2020). Bhandari, Avishek. In: Papers. RePEc:arx:papers:2003.14110.

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2020Financial Market Trend Forecasting and Performance Analysis Using LSTM. (2020). Min, Jonghyeon. In: Papers. RePEc:arx:papers:2004.01502.

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2020Predicting tail events in a RIA-EVT-Copula framework. (2020). Zhou, Wei-Xing ; Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhai, Jin-Rui ; Li, Wei-Zhen. In: Papers. RePEc:arx:papers:2004.03190.

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2020Stress testing and systemic risk measures using multivariate conditional probability. (2020). Aste, Tomaso. In: Papers. RePEc:arx:papers:2004.06420.

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2020The interdependency structure in the Mexican stock exchange: A network approach. (2020). Aguilar, Erick Trevino . In: Papers. RePEc:arx:papers:2004.06676.

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2020Long memory in select stock returns using an alternative wavelet log-scale alignment approach. (2020). Kamaiah, Bandi ; Bhandari, Avishek. In: Papers. RePEc:arx:papers:2004.08550.

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2020Consistent Calibration of Economic Scenario Generators: The Case for Conditional Simulation. (2020). van Beek, Misha. In: Papers. RePEc:arx:papers:2004.09042.

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2021Clustering volatility regimes for dynamic trading strategies. (2020). Prakash, Arjun ; Menzies, Max ; James, Nick ; Francis, Gilad. In: Papers. RePEc:arx:papers:2004.09963.

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2020Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. (2020). Cerqueti, Roy ; Mattera, Raffaele ; Giacalone, Massimiliano. In: Papers. RePEc:arx:papers:2004.11674.

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2020The What, When and Where of Limit Order Books. (2020). Dimpfl, Thomas ; Bleher, Michael. In: Papers. RePEc:arx:papers:2004.11953.

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2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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2020Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2005.01160.

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2020Defining an intrinsic stickiness parameter of stock price returns. (2020). Andersen, Jorgen Vitting ; Massad, Naji. In: Papers. RePEc:arx:papers:2005.02351.

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2020Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

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2020Modeling High-Dimensional Unit-Root Time Series. (2020). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2005.03496.

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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]		paper4
2012Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks In: American Economic Review.
[Full Text][Citation analysis]		article307
1972An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government. In: American Economic Review.
[Citation analysis]		article1
2004Risk and Volatility: Econometric Models and Financial Practice In: American Economic Review.
[Full Text][Citation analysis]		article133
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: 133		paper
2001GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics In: Journal of Economic Perspectives.
[Full Text][Citation analysis]		article221
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).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
1979EXOGENEITY In: Economic Research Papers.
[Full Text][Citation analysis]		paper49
1983Exogeneity.(1983) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has another version. Agregated cites: 49		paper
1983Exogeneity..(1983) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49		article
1979Exogeneity.(1979) In: The Warwick Economics Research Paper Series (TWERPS).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49		paper
2014Testing macroprudential stress tests: The risk of regulatory risk weights In: LIDAM Reprints ISBA.
[Citation analysis]		paper121
2013Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2013) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
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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: 121		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: 121		article
2013Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2013) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 121		paper
2018Systemic Risk 10 Years Later In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article3
2010The Underlying Dynamics of Credit Correlations In: Papers.
[Full Text][Citation analysis]		paper0
2016Copula--based Specification of vector MEMs In: Papers.
[Full Text][Citation analysis]		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.
[Citation analysis]
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.
[Full Text][Citation analysis]		paper17
2011The Factor--Spline--GARCH Model for High and Low Frequency Correlations.(2011) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17		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]		article147
1993Testing for Common Features. In: Journal of Business & Economic Statistics.
[Citation analysis]		article347
1990Testing For Common Features.(1990) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 347		paper
1993Testing for Common Features: Reply. In: Journal of Business & Economic Statistics.
[Citation analysis]		article314
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]		article1849
2004CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article727
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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2000CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 727		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]		article36
2006Testing and Valuing Dynamic Correlations for Asset Allocation In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article111
1991Semiparametric ARCH Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article212
2018GLOBALIZATION: CONTENTS AND DISCONTENTS In: Contemporary Economic Policy.
[Full Text][Citation analysis]		article1
1993 Measuring and Testing the Impact of News on Volatility. In: Journal of Finance.
[Full Text][Citation analysis]		article1386
1991Measuring and Testing the Impact of News on Volatility.(1991) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1386		paper
2000Time and the Price Impact of a Trade In: Journal of Finance.
[Full Text][Citation analysis]		article243
1999Time and the Price Impact of a Trade.(1999) In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 243		paper
1996Common Seasonal Features: Global Unemployment. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]		article14
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]		paper15
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: 15		paper
2000Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper32
2001Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper515
2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH.(2001) In: NBER Working Papers.
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This paper has another version. Agregated cites: 515		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]		paper69
2004Impacts of trades in an error-correction model of quote prices.(2004) In: Journal of Financial Markets.
[Full Text][Citation analysis]
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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.
[Full Text][Citation analysis]		paper25
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: 25		paper
1998Macroeconomic Announcements and Volatility of Treasury Futures In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper50
1998Trades and Quotes: A Bivariate Point Process In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper52
2003Trades and Quotes: A Bivariate Point Process.(2003) In: Journal of Financial Econometrics.
[Citation analysis]
This paper has another version. Agregated cites: 52		article
1998Stochastic Permanent Breaks In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper123
1999Stochastic Permanent Breaks.(1999) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 123		article
2019Hedging climate change news In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper14
2019Hedging Climate Change News.(2019) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		paper
2019Hedging Climate Change News.(2019) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		paper
2020Hedging Climate Change News.(2020) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		article
2007A GARCH Option Pricing Model in Incomplete Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper1
2012Systemic Risk in Europe In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper47
2015Systemic Risk in Europe.(2015) In: Review of Finance.
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This paper has another version. Agregated cites: 47		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.
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1995Multivariate Simultaneous Generalized ARCH In: Econometric Theory.
[Full Text][Citation analysis]		article1687
2001Value at risk models in finance In: Working Paper Series.
[Full Text][Citation analysis]		paper63
2003Asymmetric dynamics in the correlations of global equity and bond returns In: Working Paper Series.
[Full Text][Citation analysis]		paper772
2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns.(2006) In: Journal of Financial Econometrics.
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1974Specification of the Disturbance for Efficient Estimation. In: Econometrica.
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1971The Specification of the Disturbance for Efficient Estimation.(1971) In: Working papers.
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1976Some Finite Sample Properties of Spectral Estimators of a Linear Regression. In: Econometrica.
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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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1978Testing Price Equations for Stability across Spectral Frequency Bands. In: Econometrica.
[Full Text][Citation analysis]		article33
1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. In: Econometrica.
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1987Co-integration and Error Correction: Representation, Estimation, and Testing. In: Econometrica.
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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.
[Full Text][Citation analysis]		article733
1990Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market. In: Econometrica.
[Full Text][Citation analysis]		article444
1988METEOR SHOWERS OR HEAT WAGES? HETEROSKEDASTIC INTRA-DAILY VOLATILITY IN A THE FOREIGN EXCHANGE MARKET..(1988) In: Minnesota - Center for Economic Research.
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This paper has another version. Agregated cites: 444		paper
1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market.(1988) In: NBER Working Papers.
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1993Common Persistence in Conditional Variances. In: Econometrica.
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1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data In: Econometrica.
[Citation analysis]		article645
2000The Econometrics of Ultra-High Frequency Data In: Econometrica.
[Citation analysis]		article201
1996The Econometrics of Ultra-High Frequency Data.(1996) In: NBER Working Papers.
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This paper has another version. Agregated cites: 201		paper
1984Combining competing forecasts of inflation using a bivariate arch model In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article54
1984Wald, likelihood ratio, and Lagrange multiplier tests in econometrics In: Handbook of Econometrics.
[Full Text][Citation analysis]		chapter88
1986Arch models In: Handbook of Econometrics.
[Full Text][Citation analysis]		chapter117
2001Financial econometrics - A new discipline with new methods In: Journal of Econometrics.
[Full Text][Citation analysis]		article11
2006The econometrics of macroeconomics, finance, and the interface In: Journal of Econometrics.
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2006A multiple indicators model for volatility using intra-daily data In: Journal of Econometrics.
[Full Text][Citation analysis]		article268
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: 268		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: 268		paper
2006A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones In: Journal of Econometrics.
[Full Text][Citation analysis]		article30
2011A component model for dynamic correlations In: Journal of Econometrics.
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2014Priced risk and asymmetric volatility in the cross section of skewness In: Journal of Econometrics.
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2017Scenario generation for long run interest rate risk assessment In: Journal of Econometrics.
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1982A general approach to lagrange multiplier model diagnostics In: Journal of Econometrics.
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2020Liquidity and volatility in the U.S. Treasury market In: Journal of Econometrics.
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2012Liquidity and volatility in the U.S. treasury market.(2012) In: Staff Reports.
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1983Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models In: Journal of Econometrics.
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1985A dymimic model of housing price determination In: Journal of Econometrics.
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1987Forecasting and testing in co-integrated systems In: Journal of Econometrics.
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1989Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting In: Journal of Econometrics.
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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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2010The intertemporal capital asset pricing model with dynamic conditional correlations 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.
[Full Text][Citation analysis]		article22
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 In: Econometrics Working Papers Archive.
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2006Vector Multiplicative Error Models: Representation and Inference.(2006) In: NBER Technical Working Papers.
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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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2009Semiparametric vector MEM In: Econometrics Working Papers Archive.
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2013SEMIPARAMETRIC VECTOR MEM.(2013) In: Journal of Applied Econometrics.
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2017Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity In: Econometrics Working Papers Archive.
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2017Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity.(2017) In: Econometrics.
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1966Testing the Volatility Term Structure Using Option Hedging Criteria In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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1998Testing the Volatility Term Structure using Option Hedging Criteria.(1998) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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1989COINTEGRATED ECONOMIC TIME SERIES: A SURVEY WITH NEW RESULTS. In: Pennsylvania State - Department of Economics.
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1972Band Spectrum Regressions.(1972) In: Working papers.
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1975An Asset Price Model of Aggregate Investment. In: International Economic Review.
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1980Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions. In: International Economic Review.
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2017Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns In: Management Science.
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2013Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns.(2013) In: Koç University-TUSIAD Economic Research Forum Working Papers.
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2002New frontiers for arch models In: Journal of Applied Econometrics.
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1993Common Trends and Common Cycles. In: Journal of Applied Econometrics.
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1983Estimates of the Variance of U.S. Inflation Based upon the ARCH Model. In: Journal of Money, Credit and Banking.
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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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1975Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area In: Working papers.
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1970The Inconsistency of Distributed Lag Estimators Due to Misspecification by Time Aggregation In: Working papers.
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1972A Supply Function Model of Aggregate Investment In: Working papers.
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2019Measuring the probability of a financial crisis In: Proceedings of the National Academy of Sciences.
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1976Interpreting Spectral Analyses in Terms of Time-Domain Models In: NBER Chapters.
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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.
[Full Text][Citation analysis]		chapter12
1977Simultaneous Estimation of the Supply and Demand for Housing Location in a Multizoned Metropolitan Area In: NBER Chapters.
[Full Text][Citation analysis]		chapter1
1978Estimating Structural Models of Seasonality In: NBER Chapters.
[Full Text][Citation analysis]		chapter12
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.
[Full Text][Citation analysis]		paper12
1990Valuation of Variance Forecast with Simulated Option Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper45
1991Measuring Risk Aversion From Excess Returns on a Stock Index In: NBER Working Papers.
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1993Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts In: NBER Working Papers.
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1993A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts In: NBER Working Papers.
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1994Forecasting Transaction Rates: The Autoregressive Conditional Duration Model In: NBER Working Papers.
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1997Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market In: NBER Working Papers.
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1997Option Hedging Using Empirical Pricing Kernels In: NBER Working Papers.
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1999Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks In: NBER Working Papers.
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1999CAViaR: Conditional Value at Risk by Quantile Regression In: NBER Working Papers.
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2010Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis In: Journal of Financial Econometrics.
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2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes In: Review of Financial Studies.
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2017SRISK: A Conditional Capital Shortfall Measure of Systemic Risk In: Review of Financial Studies.
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