58
H index
108
i10 index
29662
Citations
New York University (NYU) | 58 H index 108 i10 index 29662 Citations RESEARCH PRODUCTION: 106 Articles 103 Papers 9 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
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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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2017 | The role of cointegration for optimal hedging with heteroscedastic error term. (2017). Johansen, Soren ; Gatarek, Lukasz . In: CREATES Research Papers. RePEc:aah:create:2017-12. Full description at Econpapers || Download paper | |
2017 | Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19. Full description at Econpapers || Download paper | |
2017 | The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment. (2017). Tabor, Morten ; Johansen, Soren ; Rahbek, Anders ; Frydman, Roman . In: CREATES Research Papers. RePEc:aah:create:2017-23. Full description at Econpapers || Download paper | |
2017 | Consistency 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. Full description at Econpapers || Download paper | |
2017 | Modelling and forecasting WIG20 daily returns. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-29. Full description at Econpapers || Download paper | |
2017 | Long- 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. Full description at Econpapers || Download paper | |
2017 | Identification 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. Full description at Econpapers || Download paper | |
2018 | Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation. (2018). Christiansen, Charlotte ; Jun, AI ; Asgharian, Hossein. In: CREATES Research Papers. RePEc:aah:create:2018-12. Full description at Econpapers || Download paper | |
2018 | Models 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. Full description at Econpapers || Download paper | |
2018 | State-dependent Hawkes processes and their application to limit order book modelling. (2018). Morariu-Patrichi, Maxime ; Pakkanen, Mikko. In: CREATES Research Papers. RePEc:aah:create:2018-26. Full description at Econpapers || Download paper | |
2018 | Transition 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. Full description at Econpapers || Download paper | |
2018 | Realizing Correlations Across Asset Classes. (2018). Gronborg, Niels S ; Elst, Harry Vander ; Olesen, Kasper V ; Lunde, Asger. In: CREATES Research Papers. RePEc:aah:create:2018-37. Full description at Econpapers || Download paper | |
2017 | The 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: Articles published in the Journal of King Abdulaziz University: Islamic Economics.. RePEc:abd:kauiea:v:30:y:2017:i:4:no:7:p:103-117. Full description at Econpapers || Download paper | |
2017 | The 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. Full description at Econpapers || Download paper | |
2018 | Volatility Spillover among Equity Indices and Crude Oil Prices: Evidence from Islamic Markets امتداد التقلب بين مؤشرات الأسهم وأسعار النفط الخام: شواهد . (2018). Majdoub, Jihed ; Arrak, Islem ; Mansour, Walid. 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. Full description at Econpapers || Download paper | |
2018 | Volatility Spillover among Equity Indices and Crude Oil Prices: Evidence from Islamic Markets امتداد التقلب بين مؤشرات الأسهم وأسعار النفط الخام: شواهد . (2018). Majdoub, Jihed ; Arrak, Islem ; Mansour, Walid. In: Articles published in the Journal of King Abdulaziz University: Islamic Economics.. RePEc:abd:kauiea:v:31:y:2018:i:1:p:27-45. Full description at Econpapers || Download paper | |
2018 | Working Paper 306 - Asymmetric Price Transmission of Rice in Togo. (2018). Afdb, Afdb. In: Working Paper Series. RePEc:adb:adbwps:2427. Full description at Econpapers || Download paper | |
2017 | Microeconomic Origins of Macroeconomic Tail Risks. (2017). Tahbaz-Salehi, Alireza ; Acemoglu, Daron ; Ozdaglar, Asuman. In: American Economic Review. RePEc:aea:aecrev:v:107:y:2017:i:1:p:54-108. Full description at Econpapers || Download paper | |
2017 | The Substitution Elasticity, Factor Shares, and the Low-Frequency Panel Model. (2017). Mallick, Debdulal ; Chirinko, Bob. In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:9:y:2017:i:4:p:225-53. Full description at Econpapers || Download paper | |
2017 | Managing Energy Price Risk using Futures Contracts: A Comparative Analysis. (2017). Hanly, Jim. In: The Energy Journal. RePEc:aen:journl:ej38-3-hanly. Full description at Econpapers || Download paper | |
2018 | Asian 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. Full description at Econpapers || Download paper | |
2017 | Export Instability and Economic Growth in Nigeria: A Time Series Analysis. (2017). Oladipo, Olajide S. In: Research Papers. RePEc:aer:rpaper:rp_322. Full description at Econpapers || Download paper | |
2017 | Prix du blé, régulations et croissance économique : L’analyse cliométrique permet-elle de trancher le débat sur les bleds des années 1750 ?. (2017). Boyer, Jean-Daniel ; Rivot, Sylvie ; Jaoul-Grammare, Magali. In: Working Papers. RePEc:afc:wpaper:11-17. Full description at Econpapers || Download paper | |
2017 | Spatial contagion between stock markets in Central Europe. (2017). Wójtowicz, Tomasz ; Wojtowicz, Tomasz ; Czapkiewicz, Anna. In: Managerial Economics. RePEc:agh:journl:v:18:y:2017:i:1:p:23-46. Full description at Econpapers || Download paper | |
2017 | MIDAS models in banking sector – systemic risk comparison. (2017). Mestel, Roland ; Gurgul, Henryk ; Syrek, Robert. In: Managerial Economics. RePEc:agh:journl:v:18:y:2017:i:2:p:165-181. Full description at Econpapers || Download paper | |
2018 | Macroeconomic 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. Full description at Econpapers || Download paper | |
2018 | Macroprudential stability indicators of financial systems: Analysis of Bosnia and Herzegovina and Croatia. (2018). Kasumovi, Merim ; Mei, Mirna. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(614):y:2018:i:1(614):p:41-54. Full description at Econpapers || Download paper | |
2018 | The 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. Full description at Econpapers || Download paper | |
2018 | Return, 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. Full description at Econpapers || Download paper | |
2018 | Macroeconomic determinants of the labour share of income: Evidence from OECD economies. (2018). Trofimov, Ivan D ; Firdaus, Muhammad Khairil. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(616):y:2018:i:3(616):p:25-48. Full description at Econpapers || Download paper | |
2018 | Price 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. Full description at Econpapers || Download paper | |
2017 | Asymmetric Price Volatility Interaction between U.S. Food and Energy Markets. (2017). Saghaian, Sayed H ; Chen, BO ; Walters, Cory G ; Nemati, Mehdi . In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258240. Full description at Econpapers || Download paper | |
2017 | What Drives Volatility Expectations in Grain and Oilseed Markets?. (2017). Robe, Michel ; Adjemian, Michael ; Wallen, Jonathan ; Bruno, Valentina. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258452. Full description at Econpapers || Download paper | |
2018 | GE 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. Full description at Econpapers || Download paper | |
2018 | Identifying 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. Full description at Econpapers || Download paper | |
2018 | Does 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. Full description at Econpapers || Download paper | |
2018 | The 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. Full description at Econpapers || Download paper | |
2018 | Determinants 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. Full description at Econpapers || Download paper | |
2018 | Heterogeneous 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. Full description at Econpapers || Download paper | |
2017 | The Swiss market for construction wood : estimating elasticities with time series simultaneous equations. (2017). Borzykowski, Nicolas. In: 91st Annual Conference, April 24-26, 2017, Royal Dublin Society, Dublin, Ireland. RePEc:ags:aesc17:258659. Full description at Econpapers || Download paper | |
2017 | Foreign Direct Investment, Economic Growth and Environmental Quality in SubSaharan Africa: A Dynamic Model Analysis. (2017). Akinlo, Anthony ; Ojewumi, Sunday Johnson. In: African Journal of Economic Review. RePEc:ags:afjecr:264471. Full description at Econpapers || Download paper | |
2017 | Forecasting Tax Revenue and its Volatility in Tanzania. (2017). Chimilila, Cyril. In: African Journal of Economic Review. RePEc:ags:afjecr:264561. Full description at Econpapers || Download paper | |
2017 | The Impact of Informal Economy on the Interest Rate Pass-through: Evidence from an ARDL model. (2017). Patrick, Chileshe M ; Akanabi, Olusegun Ayodele. In: African Journal of Economic Review. RePEc:ags:afjecr:264569. Full description at Econpapers || Download paper | |
2018 | Domestic Resource Mobilization and Long Term Economic Growth in Tanzania. (2018). Cyril, Chimilila. In: African Journal of Economic Review. RePEc:ags:afjecr:274748. Full description at Econpapers || Download paper | |
2017 | Vertical Price Transmission in Milk Supply Chain: Market Changes and Asymmetric Dynamics. (2017). Santeramo, Fabio ; Antonioli, Federico. In: 2017 Sixth AIEAA Conference, June 15-16, Piacenza, Italy. RePEc:ags:aiea17:261256. Full description at Econpapers || Download paper | |
2017 | Price Volatility Modelling – Wheat: GARCH Model Application. (2017). Ermak, M ; Maitah, M ; Malec, K. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:276061. Full description at Econpapers || Download paper | |
2018 | Price 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. Full description at Econpapers || Download paper | |
2017 | SYSTEMATIC 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. Full description at Econpapers || Download paper | |
2017 | Price Discovery in Agricultural Futures Markets: Should We Look Beyond the Best Bid-Ask Spread?. (2017). Arzandeh, Mehdi ; Frank, Julieta . In: Annual Meeting, 2017, June 18-21, Montreal, Canada. RePEc:ags:caes17:259344. Full description at Econpapers || Download paper | |
2017 | COST PASS-THROUGH AND PRODUCT DIFFERENTIATION. (2017). Anders, Sven ; Loy, Jens-Peter ; Bittmann, Thomas. In: 2017 International Congress, August 28-September 1, 2017, Parma, Italy. RePEc:ags:eaae17:261145. Full description at Econpapers || Download paper | |
2017 | Estimating oligopsony power on two vertically integrated markets. (2017). Alexander, Aaron Stephan ; Hockmann, Heinrich. In: 2017 International Congress, August 28-September 1, 2017, Parma, Italy. RePEc:ags:eaae17:261277. Full description at Econpapers || Download paper | |
2017 | Statistical and Economic Evaluation of Time Series Models for Forecasting Arrivals at Call Centers. (2017). Galeotti, Marzio ; Bastianin, Andrea ; Manera, Matteo. In: Economic Theory and Applications Working Papers. RePEc:ags:feemet:253725. Full description at Econpapers || Download paper | |
2017 | Impacts of Export Restrictions on Food Price Volatility: Evidence from VAR-X and EGARCH-X Models. (2017). Dalheimer, Bernhard ; Jaghdani, Tinoush Jamali ; Brummer, Bernhard. In: 57th Annual Conference, Weihenstephan, Germany, September 13-15, 2017. RePEc:ags:gewi17:262151. Full description at Econpapers || Download paper | |
2018 | EGYPT’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. Full description at Econpapers || Download paper | |
2018 | FOOD 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. Full description at Econpapers || Download paper | |
2018 | Price 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. Full description at Econpapers || Download paper | |
2018 | European 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. Full description at Econpapers || Download paper | |
2018 | The 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. Full description at Econpapers || Download paper | |
2018 | Price 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. Full description at Econpapers || Download paper | |
2018 | Analysis 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. Full description at Econpapers || Download paper | |
2018 | Agricultural 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. Full description at Econpapers || Download paper | |
2018 | Decontrolling, 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. Full description at Econpapers || Download paper | |
2018 | Vertical 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. Full description at Econpapers || Download paper | |
2018 | Examination 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. Full description at Econpapers || Download paper | |
2018 | International 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. Full description at Econpapers || Download paper | |
2018 | Pork price transmission and efficiency in China. (2018). Mu, Y. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277387. Full description at Econpapers || Download paper | |
2017 | DOES FEAR (VIX INDEX) INCITE VOLATILITY IN FOOD PRICES?. (2017). Inar, Gokhan ; Uzmay, Ayse. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:266472. Full description at Econpapers || Download paper | |
2018 | Asymmetric 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. Full description at Econpapers || Download paper | |
2017 | Public and private investment and economic growth in Zimbabwe: An empirical test. (2017). Makuyana, Garikai ; Odhiambo, Nicholas M. In: Business and Economic Horizons (BEH). RePEc:ags:pdcbeh:264626. Full description at Econpapers || Download paper | |
2017 | Analysis of the impact of select macroeconomic variables on the Indian stock market: A heteroscedastic cointegration approach. (2017). Alam, Naushad. In: Business and Economic Horizons (BEH). RePEc:ags:pdcbeh:264630. Full description at Econpapers || Download paper | |
2017 | Testing of the Seasonal Unit Root Hypothesis in the Price Indices of Agricultural Commodities in India. (2017). Tiwari, Aviral ; Dash, Aruna Kumar ; Aviral, Subhendu Dutta. In: Asian Journal of Agriculture and Development. RePEc:ags:phajad:265766. Full description at Econpapers || Download paper | |
2017 | Examination of asymmetric supply response in the U.S. livestock industry. (2017). Yoon, Jongyeol ; Brown, Scott. In: 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama. RePEc:ags:saea17:252779. Full description at Econpapers || Download paper | |
2017 | Wave after Wave: Contagion Risk from Commodity Markets. (2017). Algieri, Bernardina ; Leccadito, Arturo. In: Discussion Papers. RePEc:ags:ubzefd:257801. Full description at Econpapers || Download paper | |
2018 | Central 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. Full description at Econpapers || Download paper | |
2018 | BRICS 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. Full description at Econpapers || Download paper | |
2018 | INFLATION 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. Full description at Econpapers || Download paper | |
2017 | Modelling and forecasting money demand: divide and conquer. (2017). Carrera, Cesar ; Flores, Jairo. In: Working Papers. RePEc:apc:wpaper:2017-091. Full description at Econpapers || Download paper | |
2017 | Impact of Monetary Policy on Capital Inflows in Nigeria. (2017). Nwokoye, Ebele S ; Oniore, Jonathan O. In: Business, Management and Economics Research. RePEc:arp:bmerar:2017:p:192-200. Full description at Econpapers || Download paper | |
2017 | Impact of Index Options on Emerging Market Volatility: The Case of the Malaysian Equity Market. (2017). Mohibul, MD ; Islam, Anisul M. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2017:p:157--172. Full description at Econpapers || Download paper | |
2017 | Tests of Efficiency in the Foreign Exchange Market. (2017). Kallianiotis, Ioannis N. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2017:p:218-239. Full description at Econpapers || Download paper | |
2017 | How Stable is the Money Demand in Taiwan?. (2017). Shieh, Chen-Huan ; Lee, Chung-Ching ; Liu, Shou-Hsiang . In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2017:p:54-64. Full description at Econpapers || Download paper | |
2018 | Real 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. Full description at Econpapers || Download paper | |
2018 | Modeling 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. Full description at Econpapers || Download paper | |
2018 | Bank 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. Full description at Econpapers || Download paper | |
2017 | Russian-Doll Risk Models. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1412.4342. Full description at Econpapers || Download paper | |
2017 | Nonparametric estimates of pricing functionals. (2017). d'Addona, Stefano ; Marinelli, Carlo . In: Papers. RePEc:arx:papers:1506.06568. Full description at Econpapers || Download paper | |
2017 | Measuring the frequency dynamics of financial connectedness and systemic risk. (2017). Krehlik, Tomas ; BarunÃk, Jozef. In: Papers. RePEc:arx:papers:1507.01729. Full description at Econpapers || Download paper | |
2017 | Multivariate Shortfall Risk Allocation and Systemic Risk. (2017). Armenti, Yannick ; Papapantoleon, Antonis ; Drapeau, Samuel ; Crepey, Stephane. In: Papers. RePEc:arx:papers:1507.05351. Full description at Econpapers || Download paper | |
2017 | Detecting intraday financial market states using temporal clustering. (2017). Hendricks, Dieter ; Wilcox, Diane ; Gebbie, Tim. In: Papers. RePEc:arx:papers:1508.04900. Full description at Econpapers || Download paper | |
2018 | Assessing 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. Full description at Econpapers || Download paper | |
2017 | Correction to Black-Scholes formula due to fractional stochastic volatility. (2017). Garnier, Josselin ; Solna, Knut. In: Papers. RePEc:arx:papers:1509.01175. Full description at Econpapers || Download paper | |
2018 | Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables. (2018). BarunÃk, Jozef ; Kley, Tobias. In: Papers. RePEc:arx:papers:1510.06946. Full description at Econpapers || Download paper | |
2018 | Model-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. Full description at Econpapers || Download paper | |
2017 | Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070. Full description at Econpapers || Download paper | |
2018 | Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700. Full description at Econpapers || Download paper | |
2017 | Combining Dimension Reduction, Distance Measures and Covariance. (2017). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1603.09060. Full description at Econpapers || Download paper | |
2017 | Evidence of Self-Organization in Time Series of Capital Markets. (2017). , Leopoldo ; Garc, Alba Lucero ; Morales-Matamoros, Oswaldo ; Soto-Campos, Carlos Arturo . In: Papers. RePEc:arx:papers:1604.03996. Full description at Econpapers || Download paper | |
2017 | Quantile 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. Full description at Econpapers || Download paper | |
2017 | Statistical inference for the doubly stochastic self-exciting process. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1607.05831. Full description at Econpapers || Download paper | |
2017 | Elicitability and backtesting: Perspectives for banking regulation. (2017). Nolde, Natalia ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1608.05498. Full description at Econpapers || Download paper | |
2018 | A String Model of Liquidity in Financial Markets. (2018). Schellhorn, Henry ; Zhao, Ran . In: Papers. RePEc:arx:papers:1608.05900. Full description at Econpapers || Download paper | |
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2011 | Long-Term Skewness and Systemic Risk In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 19 |
2015 | Modeling the Dynamics of Correlations among Implied Volatilities In: Review of Finance. [Full Text][Citation analysis] | article | 8 |
2008 | The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes In: Review of Financial Studies. [Full Text][Citation analysis] | article | 263 |
2008 | A GARCH Option Pricing Model with Filtered Historical Simulation In: Review of Financial Studies. [Full Text][Citation analysis] | article | 53 |
2017 | SRISK: A Conditional Capital Shortfall Measure of Systemic Risk In: Review of Financial Studies. [Full Text][Citation analysis] | article | 41 |
2017 | SRISK: a conditional capital shortfall measure of systemic risk.(2017) In: ESRB Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | paper | |
2018 | Structural GARCH: The Volatility-Leverage Connection In: Review of Financial Studies. [Full Text][Citation analysis] | article | 0 |
1990 | Stock Volatility and the Crash of 87: Discussion. In: Review of Financial Studies. [Full Text][Citation analysis] | article | 24 |
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 | 297 |
2008 | Fitting vast dimensional time-varying covariance models In: Economics Series Working Papers. [Full Text][Citation analysis] | paper | 88 |
2008 | Fitting vast dimensional time-varying covariance models.(2008) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 88 | paper | |
2000 | The ACD Model: Predictability of the Time Between Concecutive Trades In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 16 |
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 | 4 |
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 |
2001 | What good is a volatility model? In: Quantitative Finance. [Full Text][Citation analysis] | article | 146 |
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 | 16 |
2012 | Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 44 |
2013 | Stock Market Volatility and Macroeconomic Fundamentals In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 100 |
1988 | A Capital Asset Pricing Model with Time-Varying Covariances. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 1063 |
2013 | MEASURING SYSTEMIC RISK In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Large dynamic covariance matrices In: ECON - Working Papers. [Full Text][Citation analysis] | paper | 13 |
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