69
H index
121
i10 index
47942
Citations
National Bureau of Economic Research (NBER) | 69 H index 121 i10 index 47942 Citations RESEARCH PRODUCTION: 119 Articles 119 Papers 9 Chapters EDITOR: Books edited RESEARCH ACTIVITY: 57 years (1966 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pen9 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Robert F. Engle. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2023 | Impact of Financial Liberalization on Firm Risk. (2023). Hsu, Oshamah Kun-Zhan ; Chang, Oshamah Yu-Cheng ; Lin, Oshamah Lin. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:27:y:2023:i:3:p:14-45. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | The Relative Effectiveness of Monetary Policy Transmission Channels in Tanzania: Empirical Lesson for Post COVID-19 Recovery. (2023). Mwamkonko, Mussa Ally. In: African Journal of Economic Review. RePEc:ags:afjecr:330411. Full description at Econpapers || Download paper | |
2023 | Factors Influencing the Prices of Rice, Maize and Wheat Prices in Nigeria. (2023). Obayelu, Abiodun Elijah ; Verter, Nahanga ; Ogunmola, Omotoso Oluseye. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:334664. Full description at Econpapers || Download paper | |
2023 | Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps. (2023). Ugolini, Andrea ; Ojea-Ferreiro, Javier ; Reboredo, Juan Carlos. In: FEEM Working Papers. RePEc:ags:feemwp:330720. Full description at Econpapers || Download paper | |
2023 | Analyzing Food Import Demand in Indonesia: An ARDL Bounds Testing Approach. (2023). Khoiriyah, Nikmatul ; Forgenie, David. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:330861. Full description at Econpapers || Download paper | |
2023 | Price Transmission in the Wheat Market in Algeria: Threshold Cointegration Approach. (2023). Kaci, Ahcene ; Benmehaia, Mohamed Amine ; Bekkis, Soumeya. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:330862. Full description at Econpapers || Download paper | |
2023 | Volatility Transmissionin Agricultural Markets: Evidence from the Russia-Ukraine Conflict. (2023). Gaio, Luiz Eduardo ; Dario, Daniel Henrique. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:334707. Full description at Econpapers || Download paper | |
2023 | THE EFFECT OF MARKET SHOCKS ON THE VOLATILITY OF CORN PRICE. (2023). Nies, Greg ; Tenkorang, Frank ; Bridges, Deborah. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2023:j:31:bridgesd. Full description at Econpapers || Download paper | |
2023 | The Impact of Trade Openness on Economic Growth in Landlocked Developing Countries. (2023). Yan, Wenshou ; Cao, Liang ; Khurelchuluun, Bolor. In: International Journal of Science and Business. RePEc:aif:journl:v:28:y:2023:i:1:p:84-97. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Analysis of Dynamic Connectedness among Sovereign CDS Premia. (2023). Ceylan, Ozcan. In: World Journal of Applied Economics. RePEc:ana:journl:v:9:y:2023:i:1:p:33-47. Full description at Econpapers || Download paper | |
2023 | Financial Stability and Economic Growth in the Cemac Zone: A Panel Cointegration Approach. (2023). Mungong, Wilfred Kem ; Wabo, Vivien Narcisse. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2023:p:1-8. Full description at Econpapers || Download paper | |
2023 | Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542. Full description at Econpapers || Download paper | |
2023 | Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308. Full description at Econpapers || Download paper | |
2023 | A Residual Bootstrap for Conditional Value-at-Risk. (2018). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1808.09125. Full description at Econpapers || Download paper | |
2023 | Distribution 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. Full description at Econpapers || Download paper | |
2023 | Scoring 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. Full description at Econpapers || Download paper | |
2023 | Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning. (2020). Challet, Damien ; Bongiorno, Christian. In: Papers. RePEc:arx:papers:2005.08703. Full description at Econpapers || Download paper | |
2023 | New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191. Full description at Econpapers || Download paper | |
2023 | New Approaches to Robust Inference on Market (Non-)Efficiency, Volatility Clustering and Nonlinear Dependence. (2020). Skrobotov, Anton ; Pedersen, Rasmus ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01212. Full description at Econpapers || Download paper | |
2023 | Deep Dynamic Factor Models. (2020). Ricco, Giovanni ; Izzo, Cosimo ; Andreini, Paolo. In: Papers. RePEc:arx:papers:2007.11887. Full description at Econpapers || Download paper | |
2023 | Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552. Full description at Econpapers || Download paper | |
2023 | Large Non-Stationary Noisy Covariance Matrices: A Cross-Validation Approach. (2020). , Vincent ; Vincent, ; Zohren, Stefan. In: Papers. RePEc:arx:papers:2012.05757. Full description at Econpapers || Download paper | |
2023 | Nonparametric Test for Volatility in Clustered Multiple Time Series. (2021). Barrios, Erniel B ; Victor, Paolo. In: Papers. RePEc:arx:papers:2104.14412. Full description at Econpapers || Download paper | |
2023 | A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208. Full description at Econpapers || Download paper | |
2023 | Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2021). Poon, Ser-Huang ; Zohren, Stefan ; Rahimikia, Eghbal. In: Papers. RePEc:arx:papers:2108.00480. Full description at Econpapers || Download paper | |
2023 | Option Pricing under Bayesian MS-VAR Process. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2109.05998. Full description at Econpapers || Download paper | |
2023 | Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes. (2021). Rachev, Svetlozar T ; Lindquist, Brent W ; Mittnik, Stefan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2109.15051. Full description at Econpapers || Download paper | |
2023 | Factor-augmented tree ensembles. (2021). Pellegrino, Filippo. In: Papers. RePEc:arx:papers:2111.14000. Full description at Econpapers || Download paper | |
2023 | Spread Option Pricing in a Copula Affine GARCH(p,q) Model. (2021). Mercuri, Lorenzo ; Berton, Edoardo. In: Papers. RePEc:arx:papers:2112.11968. Full description at Econpapers || Download paper | |
2023 | Location-Scale and Compensated Effects in Unconditional Quantile Regressions. (2022). Montes-Rojas, Gabriel ; Martinez-Iriarte, Julian ; Sun, Yixiao. In: Papers. RePEc:arx:papers:2201.02292. Full description at Econpapers || Download paper | |
2023 | Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434. Full description at Econpapers || Download paper | |
2023 | Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962. Full description at Econpapers || Download paper | |
2023 | Canonical Portfolios: Optimal Asset and Signal Combination. (2022). Tan, Vincent ; Zohren, Stefan ; Firoozye, Nick. In: Papers. RePEc:arx:papers:2202.10817. Full description at Econpapers || Download paper | |
2023 | Does non-linear factorization of financial returns help build better and stabler portfolios?. (2022). Hardle, Wolfgang Karl ; Spilak, Bruno. In: Papers. RePEc:arx:papers:2204.02757. Full description at Econpapers || Download paper | |
2023 | Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity. (2022). Saikkonen, Pentti ; Meitz, Mika. In: Papers. RePEc:arx:papers:2205.11953. Full description at Econpapers || Download paper | |
2023 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper | |
2023 | A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595. Full description at Econpapers || Download paper | |
2023 | Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market. (2022). Grzeszkiewicz, Karolina ; Koziell, Warrick Poklewski ; de Iorio, Maria ; Beskos, Alexandros ; Franzolini, Beatrice. In: Papers. RePEc:arx:papers:2208.00952. Full description at Econpapers || Download paper | |
2023 | Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2022). Ortega, Juan-Pablo ; van Huellen, Sophie ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Dellaportas, Petros ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363. Full description at Econpapers || Download paper | |
2023 | Distortion risk measures in random environments: construction and axiomatic characterization. (2022). Wei, Linxiao ; Hu, Yijun ; Gong, Shuo. In: Papers. RePEc:arx:papers:2211.00520. Full description at Econpapers || Download paper | |
2023 | On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness. (2022). Yilmaz, Kamil ; Diebold, Francis X. In: Papers. RePEc:arx:papers:2211.04184. Full description at Econpapers || Download paper | |
2023 | An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376. Full description at Econpapers || Download paper | |
2023 | Systemic robustness: a mean-field particle system approach. (2022). Bayraktar, Erhan ; Zhang, Yuming Paul ; Tang, Wenpin ; Guo, Gaoyue. In: Papers. RePEc:arx:papers:2212.08518. Full description at Econpapers || Download paper | |
2023 | Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors. (2023). Trapin, Luca ; Sun, LI ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2301.01362. Full description at Econpapers || Download paper | |
2023 | A GRU-Based Dynamic Generative Factor Model for CVaR Portfolio Optimization. (2023). Yan, Xing ; Ma, Wenxuan ; Sun, Chuting. In: Papers. RePEc:arx:papers:2301.07318. Full description at Econpapers || Download paper | |
2023 | Decarbonization of financial markets: a mean-field game approach. (2023). Tankov, Peter ; Lavigne, Pierre. In: Papers. RePEc:arx:papers:2301.09163. Full description at Econpapers || Download paper | |
2023 | Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592. Full description at Econpapers || Download paper | |
2023 | A Deep Neural Network Algorithm for Linear-Quadratic Portfolio Optimization with MGARCH and Small Transaction Costs. (2023). Khorrami, Farshad ; Krishnamurthy, Prashanth ; Fu, Hao ; Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:2301.10869. Full description at Econpapers || Download paper | |
2023 | Factor Model of Mixtures. (2023). Uryasev, Stanislav ; Peng, Cheng. In: Papers. RePEc:arx:papers:2301.13843. Full description at Econpapers || Download paper | |
2023 | Risk Budgeting Portfolios from Simulations. (2023). Targino, Rodrigo S ; Pesenti, Silvana M ; Paulo, Bernardo Freitas. In: Papers. RePEc:arx:papers:2302.01196. Full description at Econpapers || Download paper | |
2023 | Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747. Full description at Econpapers || Download paper | |
2023 | Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002. Full description at Econpapers || Download paper | |
2023 | A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208. Full description at Econpapers || Download paper | |
2023 | Forecasting the Turkish Lira Exchange Rates through Univariate Techniques: Can the Simple Models Outperform the Sophisticated Ones?. (2023). Sarkandiz, Mostafa R. In: Papers. RePEc:arx:papers:2302.08897. Full description at Econpapers || Download paper | |
2023 | Exploring the Advantages of Transformers for High-Frequency Trading. (2023). Lisitsyn, Nikita ; Gervais, Arthur ; Bilokon, Paul ; Barez, Fazl. In: Papers. RePEc:arx:papers:2302.13850. Full description at Econpapers || Download paper | |
2023 | A Comparative Analysis of Forecasting Models Using Moroccan Economic Data: The Factor-Augmented Error Correction Model in Perspective. (2023). Marouane, Daoui. In: Papers. RePEc:arx:papers:2302.14180. Full description at Econpapers || Download paper | |
2023 | Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651. Full description at Econpapers || Download paper | |
2023 | Constructing High Frequency Economic Indicators by Imputation. (2023). Scanlan, Susannah ; Ng, Serena. In: Papers. RePEc:arx:papers:2303.01863. Full description at Econpapers || Download paper | |
2023 | The Financial Market of Indices of Socioeconomic Wellbeing. (2023). Rachev, Svetlozar ; Shirvani, Abootaleb ; Mahanama, Thilini V. In: Papers. RePEc:arx:papers:2303.05654. Full description at Econpapers || Download paper | |
2023 | Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models. (2023). Choi, Jae Hyung ; Kim, Hyangju. In: Papers. RePEc:arx:papers:2303.08760. Full description at Econpapers || Download paper | |
2023 | Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage. (2023). Ribeiro, Ruy M ; Medeiros, Marcelo C ; de Brito, Diego S ; Alves, Rafael. In: Papers. RePEc:arx:papers:2303.16151. Full description at Econpapers || Download paper | |
2023 | Mastering Pair Trading with Risk-Aware Recurrent Reinforcement Learning. (2023). Peng, Min ; Lai, Yanzhao ; Zhang, Boyi ; Xie, Qianqian ; Huang, Jimin. In: Papers. RePEc:arx:papers:2304.00364. Full description at Econpapers || Download paper | |
2023 | Short-Term Volatility Prediction Using Deep CNNs Trained on Order Flow. (2023). Lenskiy, Artem ; Hao, Mingyu. In: Papers. RePEc:arx:papers:2304.02472. Full description at Econpapers || Download paper | |
2023 | Adjust factor with volatility model using MAXFLAT low-pass filter and construct portfolio in China A share market. (2023). Zhang, KE. In: Papers. RePEc:arx:papers:2304.04676. Full description at Econpapers || Download paper | |
2023 | Collective dynamics, diversification and optimal portfolio construction for cryptocurrencies. (2023). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2304.08902. Full description at Econpapers || Download paper | |
2023 | The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349. Full description at Econpapers || Download paper | |
2023 | Estimating the impact of supply chain network contagion on financial stability. (2023). Burger, Csaba ; Borsos, Andr'As ; Diem, Christian ; Tabachov, Zlata ; Thurner, Stefan. In: Papers. RePEc:arx:papers:2305.04865. Full description at Econpapers || Download paper | |
2023 | What is mature and what is still emerging in the cryptocurrency market?. (2023). Wkatorek, Marcin ; Kwapie, Jaroslaw ; Zd, Stanislaw Dro. In: Papers. RePEc:arx:papers:2305.05751. Full description at Econpapers || Download paper | |
2023 | Band-Pass Filtering with High-Dimensional Time Series. (2023). Proietti, Tommaso ; Lippi, Marco ; Giovannelli, Alessandro. In: Papers. RePEc:arx:papers:2305.06618. Full description at Econpapers || Download paper | |
2023 | Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488. Full description at Econpapers || Download paper | |
2023 | Copula Variational LSTM for High-dimensional Cross-market Multivariate Dependence Modeling. (2023). Cao, Longbing ; Xu, Jia. In: Papers. RePEc:arx:papers:2305.08778. Full description at Econpapers || Download paper | |
2023 | Semiparametrically Optimal Cointegration Test. (2023). Zhou, BO. In: Papers. RePEc:arx:papers:2305.08880. Full description at Econpapers || Download paper | |
2023 | Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, Edoardo ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2305.12192. Full description at Econpapers || Download paper | |
2023 | Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991. Full description at Econpapers || Download paper | |
2023 | A Simple Method for Predicting Covariance Matrices of Financial Returns. (2023). Boyd, Stephen ; Schmelzer, Thomas ; Pelger, Markus ; Ogut, Mehmet Giray ; Johansson, Kasper. In: Papers. RePEc:arx:papers:2305.19484. Full description at Econpapers || Download paper | |
2023 | Modeling and evaluating conditional quantile dynamics in VaR forecasts. (2023). Gallo, Giampiero ; Palandri, Alessandro ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2305.20067. Full description at Econpapers || Download paper | |
2023 | Discrete $q$-exponential limit order cancellation time distribution. (2023). Gontis, Vygintas. In: Papers. RePEc:arx:papers:2306.00093. Full description at Econpapers || Download paper | |
2023 | Inference in Predictive Quantile Regressions. (2023). Kuriyama, Nina ; Shimotsu, Katsumi ; Maynard, Alex. In: Papers. RePEc:arx:papers:2306.00296. Full description at Econpapers || Download paper | |
2023 | HireVAE: An Online and Adaptive Factor Model Based on Hierarchical and Regime-Switch VAE. (2023). Lin, Dahua ; Dai, BO ; Rao, Anyi ; Wei, Zikai. In: Papers. RePEc:arx:papers:2306.02848. Full description at Econpapers || Download paper | |
2023 | Matrix GARCH Model: Inference and Application. (2023). Zhu, KE ; Jiang, Feiyu ; Li, Dong ; Yu, Cheng. In: Papers. RePEc:arx:papers:2306.05169. Full description at Econpapers || Download paper | |
2023 | Maximally Machine-Learnable Portfolios. (2023). Goebel, Maximilian ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2306.05568. Full description at Econpapers || Download paper | |
2023 | Comparing Deep Learning Models for the Task of Volatility Prediction Using Multivariate Data. (2023). Suominen, Hanna ; Lensky, Artem ; Isai, Leigh ; Lalbakhsh, Pooia ; Ge, Wenbo. In: Papers. RePEc:arx:papers:2306.12446. Full description at Econpapers || Download paper | |
2023 | Latent Factor Analysis in Short Panels. (2023). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004. Full description at Econpapers || Download paper | |
2023 | Liquidity Premium, Liquidity-Adjusted Return and Volatility, and a Unified Modern Portfolio Theory: illustrated with Crypto Assets. (2023). Deng, QI. In: Papers. RePEc:arx:papers:2306.15807. Full description at Econpapers || Download paper | |
2023 | A Classical Model of Speculative Asset Price Dynamics. (2023). Smith, Vernon ; Inoua, Sabiou. In: Papers. RePEc:arx:papers:2307.00410. Full description at Econpapers || Download paper | |
2023 | Asymptotics for the Generalized Autoregressive Conditional Duration Model. (2023). Cavaliere, Giuseppe ; Vilandt, Frederik ; Rahbek, Anders ; Mikosch, Thomas. In: Papers. RePEc:arx:papers:2307.01779. Full description at Econpapers || Download paper | |
2023 | Systemic risk indicator based on implied and realized volatility. (2023). Åšlepaczuk, Robert ; Sieradzki, Rafal ; Sakowski, Pawel. In: Papers. RePEc:arx:papers:2307.05719. Full description at Econpapers || Download paper | |
2023 | Estimation of an Order Book Dependent Hawkes Process for Large Datasets. (2023). Sancetta, Alessio ; Mucciante, Luca. In: Papers. RePEc:arx:papers:2307.09077. Full description at Econpapers || Download paper | |
2023 | The Effect of COVID-19 on Cryptocurrencies and the Stock Market Volatility -- A Two-Stage DCC-EGARCH Model Analysis. (2023). Ampountolas, Apostolos. In: Papers. RePEc:arx:papers:2307.09137. Full description at Econpapers || Download paper | |
2023 | VolTS: A Volatility-based Trading System to forecast Stock Markets Trend using Statistics and Machine Learning. (2023). Letteri, Ivan. In: Papers. RePEc:arx:papers:2307.13422. Full description at Econpapers || Download paper | |
2023 | The Bayesian Context Trees State Space Model for time series modelling and forecasting. (2023). Kontoyiannis, Ioannis ; Papageorgiou, Ioannis. In: Papers. RePEc:arx:papers:2308.00913. Full description at Econpapers || Download paper | |
2023 | Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418. Full description at Econpapers || Download paper | |
2023 | Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419. Full description at Econpapers || Download paper | |
2023 | LOB-Based Deep Learning Models for Stock Price Trend Prediction: A Benchmark Study. (2023). Cannistraci, Irene ; Coletta, Andrea ; Arrigoni, Viviana ; Berti, Leonardo ; Masi, Giuseppe ; Prata, Matteo ; Bartolini, Novella ; Velardi, Paola ; Vyetrenko, Svitlana. In: Papers. RePEc:arx:papers:2308.01915. Full description at Econpapers || Download paper | |
2023 | Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617. Full description at Econpapers || Download paper | |
2023 | Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061. Full description at Econpapers || Download paper | |
2023 | GARHCX-NoVaS: A Model-free Approach to Incorporate Exogenous Variables. (2023). Karmakar, Sayar ; Wu, Kejin. In: Papers. RePEc:arx:papers:2308.13346. Full description at Econpapers || Download paper | |
2023 | Signature Trading: A Path-Dependent Extension of the Mean-Variance Framework with Exogenous Signals. (2023). Wiese, Magnus ; Horvath, Blanka ; Futter, Owen. In: Papers. RePEc:arx:papers:2308.15135. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2014 | Testing macroprudential stress tests: The risk of regulatory risk weights.(2014) In: Journal of Monetary Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 177 | article | |
2013 | Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2013) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 177 | paper | |
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1991 | Do 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 nother version. Agregated cites: 11 | paper | |
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1998 | Macroeconomic Announcements and Volatility of Treasury Futures In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 57 |
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1988 | Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market.(1988) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 595 | paper | |
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2018 | Structural GARCH: The Volatility-Leverage Connection.(2018) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
Forecasting intraday volatility in the US equity market. Multiplicative component GARCH In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 48 | |
2016 | Dynamic Conditional Beta In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 47 |
2021 | News and Idiosyncratic Volatility: The Public Information Processing Hypothesis* In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 4 |
2008 | Time-Varying Arrival Rates of Informed and Uninformed Trades In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 90 |
2002 | Time-Varying Arrival Rates of Informed and Uninformed Trades.(2002) In: Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 90 | paper | |
2010 | Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
2011 | Long-Term Skewness and Systemic Risk In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 31 |
2015 | Modeling the Dynamics of Correlations among Implied Volatilities In: Review of Finance. [Full Text][Citation analysis] | article | 14 |
2008 | The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes In: Review of Financial Studies. [Full Text][Citation analysis] | article | 458 |
2008 | A GARCH Option Pricing Model with Filtered Historical Simulation In: Review of Financial Studies. [Full Text][Citation analysis] | article | 100 |
2014 | A GARCH Option Pricing Model with Filtered Historical Simulation.(2014) In: Palgrave Macmillan Books. [Citation analysis] This paper has nother version. Agregated cites: 100 | chapter | |
2017 | SRISK: A Conditional Capital Shortfall Measure of Systemic Risk In: Review of Financial Studies. [Full Text][Citation analysis] | article | 351 |
2017 | SRISK: a conditional capital shortfall measure of systemic risk.(2017) In: ESRB Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 351 | paper | |
1990 | Stock Volatility and the Crash of 87: Discussion. In: Review of Financial Studies. [Full Text][Citation analysis] | article | 119 |
1994 | Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility. In: Review of Financial Studies. [Full Text][Citation analysis] | article | 468 |
2008 | Fitting vast dimensional time-varying covariance models In: Economics Series Working Papers. [Full Text][Citation analysis] | paper | 154 |
2008 | Fitting vast dimensional time-varying covariance models.(2008) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 154 | paper | |
2021 | Fitting Vast Dimensional Time-Varying Covariance Models.(2021) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 154 | article | |
2000 | The ACD Model: Predictability of the Time Between Concecutive Trades In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 20 |
2021 | Modelling Volatility Cycles: The (MF)2 GARCH Model In: Working Paper series. [Full Text][Citation analysis] | paper | 0 |
2004 | Autobiography In: Nobel Prize in Economics documents. [Full Text][Citation analysis] | paper | 0 |
2003 | Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III In: Nobel Prize in Economics documents. [Full Text][Citation analysis] | paper | 0 |
2005 | HIGH FREQUENCY MULTIPLICATIVE COMPONENT GARCH In: Computing in Economics and Finance 2005. [Full Text][Citation analysis] | paper | 7 |
1999 | Modeling a Time-Varying Order Statistic In: Computing in Economics and Finance 1999. [Full Text][Citation analysis] | paper | 0 |
2011 | Dynamic Equicorrelation In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
2019 | Large Dynamic Covariance Matrices In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 101 |
2017 | Large dynamic covariance matrices.(2017) In: ECON - Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 101 | paper | |
2001 | What good is a volatility model? In: Quantitative Finance. [Full Text][Citation analysis] | article | 225 |
2004 | Robert F Engle: Understanding volatility as a process In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
1985 | Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative. In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 19 |
2012 | Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 74 |
2013 | Stock Market Volatility and Macroeconomic Fundamentals In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 442 |
1988 | A Capital Asset Pricing Model with Time-Varying Covariances. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 1411 |
2019 | Environmental, social, governance: Implications for businesses and effects for stakeholders In: Corporate Social Responsibility and Environmental Management. [Full Text][Citation analysis] | article | 6 |
2021 | Environmental, Social, Governance: Implications for businesses and effects for stakeholders.(2021) In: Corporate Social Responsibility and Environmental Management. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2013 | MEASURING SYSTEMIC RISK In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 939 |
2023 | Factor mimicking portfolios for climate risk In: ECON - Working Papers. [Full Text][Citation analysis] | paper | 0 |
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