Robert F. Engle : Citation Profile


Are you Robert F. Engle?

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

55

H index

100

i10 index

24285

Citations

RESEARCH PRODUCTION:

100

Articles

97

Papers

9

Chapters

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   51 years (1966 - 2017). See details.
   Cites by year: 476
   Journals where Robert F. Engle has often published
   Relations with other researchers
   Recent citing documents: 1858.    Total self citations: 62 (0.25 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pen9
   Updated: 2017-08-05    RAS profile: 2017-04-03    
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Relations with other researchers


Works with:

Gallo, Giampiero (4)

Pierret, Diane (4)

Cipollini, Fabrizio (3)

Acharya, Viral (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 (740)

Chang, Chia-Lin (250)

Caporin, Massimiliano (247)

Diebold, Francis (197)

Bollerslev, Tim (184)

Issler, João (167)

Christoffersen, Peter (153)

Guillén, Osmani (148)

Hautsch, Nikolaus (124)

Hafner, Christian (119)

Hecq, Alain (119)

Cites to:

Bollerslev, Tim (77)

Campbell, John (38)

Diebold, Francis (34)

Schwert, G. (28)

French, Kenneth (22)

Jagannathan, Ravi (19)

Andersen, Torben (18)

pagan, adrian (17)

Gallo, Giampiero (15)

merton, robert (15)

Harvey, Campbell (15)

Main data


Where Robert F. Engle has published?


Journals with more than one article published# docs
Journal of Econometrics19
Econometrica12
Journal of Business & Economic Statistics9
Journal of Financial Econometrics7
Journal of Urban Economics4
Review of Financial Studies4
The Review of Economics and Statistics4
Journal of Monetary Economics3
American Economic Review3
Journal of Money, Credit and Banking3
International Economic Review3
Journal of Business & Economic Statistics2
Quantitative Finance2
Journal of Financial Markets2
Journal of Empirical Finance2
Journal of Applied Econometrics2
Review of Finance2
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"6
The Warwick Economics Research Paper Series (TWERPS) / University of Warwick, Department of Economics2
Papers / arXiv.org2
Economics Series Working Papers / University of Oxford, Department of Economics2
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2
Working Papers / Banco de Mxico2

Recent works citing Robert F. Engle (2017 and 2016)


YearTitle of citing document
2016Volatility Discovery. (2016). Dias, Gustavo Fruet ; Scherrer, Cristina M ; Papailias, Fotis . In: CREATES Research Papers. RePEc:aah:create:2016-07.

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2016A Dynamic Multi-Level Factor Model with Long-Range Dependence. (2016). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Ergemen, Yunus Emre ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2016-23.

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2016Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation. (2016). GUPTA, RANGAN ; Christiansen, Charlotte ; Jun, AI ; Asgharian, Hossein . In: CREATES Research Papers. RePEc:aah:create:2016-29.

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2017The role of cointegration for optimal hedging with heteroscedastic error term. (2017). Gatarek, Lukasz ; Johansen, Soren . In: CREATES Research Papers. RePEc:aah:create:2017-12.

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2017Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin . In: CREATES Research Papers. RePEc:aah:create:2017-19.

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2016Exogeneity tests, weak identification, incomplete models and non-Gaussian distributions: Invariance and finite-sample distributional theory. (2016). Dufour, Jean-Marie ; Doko Tchatoka, Firmin. In: School of Economics Working Papers. RePEc:adl:wpaper:2016-01.

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2016CoVaR. (2016). Brunnermeier, Markus ; Adrian, Tobias. In: American Economic Review. RePEc:aea:aecrev:v:106:y:2016:i:7:p:1705-41.

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2017Microeconomic 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.

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2016Analysis and Forecasting of Electricty Price Risks with Quantile Factor Models. (2016). Derek, Arne Andresen . In: The Energy Journal. RePEc:aen:journl:ej37-1-bunn.

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2016Asymmetric Pass-Through in U.S. Gasoline Prices. (2016). Chesnes, Matthew . In: The Energy Journal. RePEc:aen:journl:ej37-1-chesnes.

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2016The Informational Efficiency of European Natural Gas Hubs: Price Formation and Intertemporal Arbitrage. (2016). Nick, Sebastian. In: The Energy Journal. RePEc:aen:journl:ej37-2-nick.

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2016Economic and Demographic Interactions in Post World War France: A Gendered Approach. (2016). Jaoul-Grammare, Magali ; Perrin, Faustine . In: Working Papers. RePEc:afc:wpaper:10-16.

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2016Price duration versus trading volume in high-frequency data for selected DAX companies. (2016). Gurgul, Henryk ; Syrek, Robert ; Mitterer, Christoph . In: Managerial Economics. RePEc:agh:journl:v:17:y:2016:i:2:p:241-260.

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2016Short and long term analysis of some factors effecting youth unemployment in Turkey. (2016). Bayrak, Riza ; Tatli, Halim . In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(608):y:2016:i:3(608):p:229-242.

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2016Current account sustainability in SAARC economies: Evidence from combined cointegration approach. (2016). Iltas, Yuksel ; Bulut, Umit . In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(609):y:2016:i:4(609):p:281-298.

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2016Economic freedom index and stock returns in Malaysia. (2016). solarin, sakiru ; Rasiah, Devinaga ; Ying, Tay Lee . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiii:y:2016:i:1(606):p:213-236.

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2016Asymmetric stochastic volatility in central and eastern European stock markets. (2016). Hepsag, Aycan . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiii:y:2016:i:2(607):p:135-144.

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2016Impact of educational expenditure on economic growth in major Asian countries: Evidence from econometric analysis. (2016). Mallick, Lingaraj ; Pradhan, Kalandi Charan ; Das, Pradeep Kumar . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiii:y:2016:i:2(607):p:173-186.

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2016Determinants of sovereign bond yields in emerging economies: Some panel inferences. (2016). Kamaiah, Bandi ; Goyari, Phanindra ; Naidu, Sri Hari . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiii:y:2016:i:3(608):p:101-118.

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2016Short and long term analysis of some factors effecting youth unemployment in Turkey. (2016). Bayrak, Riza ; Tatli, Halim . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiii:y:2016:i:3(608):p:229-242.

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2016Current account sustainability in SAARC economies: Evidence from combined cointegration approach. (2016). Sahoo, Manoranjan ; Dash, Umakant ; Babu, Suresh M. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiii:y:2016:i:4(609):p:281-298.

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2016Analysis of Price Shock Transmission: Case of the Wheat-Bread Market Value Chain in Ethiopia. (2016). Kalkuhl, Matthias ; Haile, Mekbib ; Gebreselassie, Samuel ; Algieri, Bemardina . In: 2016 AAAE Fifth International Conference, September 23-26, 2016, Addis Ababa, Ethiopia. RePEc:ags:aaae16:246312.

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2016Efficiency of selected camel markets in Sudan: A multivariate approach (1995-2011). (2016). , Mohammed ; Kh, Murtada . In: 2016 AAAE Fifth International Conference, September 23-26, 2016, Addis Ababa, Ethiopia. RePEc:ags:aaae16:246910.

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2016Testing the central market hypothesis for food markets in the highlands of Central Kenya. (2016). Wambugu, Stephen K ; Ngare, Lucy W ; Shisanya, Chris ; Nzuma, Jonathon M. In: 2016 AAAE Fifth International Conference, September 23-26, 2016, Addis Ababa, Ethiopia. RePEc:ags:aaae16:246957.

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2016Assessing the Market Integration of Domestic and Imported Catfish in the U.S.. (2016). Chen, Xuan ; Scuderi, Ben . In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235550.

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2016Energy Shock and Price Adjustment: National Brands vs. Private Labels of Retail Milk Products. (2016). Lopez, Rigoberto ; Xun, LI ; Rui, Wang . In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235613.

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2016Comovements and Volatility Spillover in Commodity Markets. (2016). Chen, Sihong ; Wu, Ximing . In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235686.

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2016Examining pricing mechanics in the poultry value chain - empirical evidence from Pakistan. (2016). Miranda, Mario ; Katchova, Ani ; Chaudhry, Muhammad Imran . In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235953.

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2016GMO Contamination Price Effects in the U.S. Corn Market: StarLink and MIR162. (2016). Philip, Garcia ; Han, Xue . In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:236004.

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2016Analysis of Energy and Agricultural Commodity Markets with the Policy Mandated: A Vine Copula-based ARMA-EGARCH Model. (2016). Chen, Kuan-Ju . In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:236028.

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2016The U.S. Role in the Price Determination of Major Agricultural Commodities. (2016). Nigatu, Getachew ; Adjemian, Michael. In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:236045.

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2016Spatial dynamics and determinants of Liberian rice market integration. (2016). TSIBOE, FRANCIS ; Wailes, Eric J ; Dixon, Bruce L. In: African Journal of Agricultural and Resource Economics. RePEc:ags:afjare:245938.

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2016The U.S. Role in the Price Determination of Major Agricultural Commodities. (2016). Nigatu, Getachew ; Adjemian, Michael. In: 2017 Allied Social Science Association (ASSA) Annual Meeting, January 6-8, 2017, Chicago, Illinois. RePEc:ags:assa17:250119.

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2016Structural change and dairy chain efficiency in Italy. (2016). Weaver, Robert ; Rosa, Franco . In: 149th Seminar, October 27-28, 2016, Rennes, France. RePEc:ags:eaa149:245113.

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2017Statistical and Economic Evaluation of Time Series Models for Forecasting Arrivals at Call Centers. (2017). Manera, Matteo ; Bastianin, Andrea ; Galeotti, Marzio . In: ET: Economic Theory. RePEc:ags:feemet:253725.

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2016SEASONAL COST PASS-THROUGH IN THE GERMAN MILK MARKET. (2016). Holzer, Patrick ; Bittmann, Thomas ; Loy, Jens-Peter . In: 56th Annual Conference, Bonn, Germany, September 28-30, 2016. RePEc:ags:gewi16:244779.

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2016SPATIAL INTEGRATION OF WHEAT MARKETS IN THE REGIONS OF SOUTH CAUCASUS AND CENTRAL ASIA: EVIDENCE FROM ARMENIA, AZERBAIJAN, GEORGIA AND KYRGYZSTAN. (2016). Götz, Linde ; Glauben, Thomas ; Ilyasov, Jarilkasin ; Djuric, Ivan ; Gotz, Linde ; Svanidze, Miranda . In: 56th Annual Conference, Bonn, Germany, September 28-30, 2016. RePEc:ags:gewi16:244889.

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2016Financial Markets and Agricultural Commodities: Volatility Impulse Response Analysis. (2016). Vandone, Daniela ; Peri, Massimo ; Baldi, Lucia . In: 2016 International European Forum, February 15-19, 2016, Innsbruck-Igls, Austria. RePEc:ags:iefi16:244461.

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2016Can Unprocessed Food Prices Really Be One of the Main Responsible Causes for not Achieving Inflation Targets in Turkey?. (2016). Gokta, Pinar . In: Problems of World Agriculture / Problemy Rolnictwa Åšwiatowego. RePEc:ags:polpwa:253045.

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2017Examination 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.

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2016INVESTIGATION ON THE CAUSAL RELATIONSHIP BETWEEN INFLATION, OUTPUT GROWTH AND THEIR UNCERTAINTIES IN ROMANIA. (2016). Asandului, Mircea ; Pintilescu, Carmen ; JEMNA, Danut-Vasile ; VIORICA, Elena-Daniela . In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2016:j:17:pintilescuc.

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2016Price asymmetries in the European gasoline market. (2016). Mongeau Ospina, Christian Alexander ; Bagnai, Alberto. In: a/ Working Papers Series. RePEc:ais:wpaper:1602.

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2016IS PAIRS TRADING PERFORMANCE SENSITIVE TO THE METHODOLOGIES?: A COMPARISON. (2016). Caldas, Bruno ; Moura, Guilherme Vale ; Caldeira, Joo Frois . In: Anais do XLII Encontro Nacional de Economia [Proceedings of the 42ndd Brazilian Economics Meeting]. RePEc:anp:en2014:130.

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2016PRICE VOLATILITY TRANSMISSION FROM OIL TO ENERGY AND NON-ENERGY AGRICULTURAL COMMODITIES. (2016). Bittencourt, Mauricio ; Lobo, Mauricio Vaz ; Borges, Leonardo Chaves . In: Anais do XLII Encontro Nacional de Economia [Proceedings of the 42ndd Brazilian Economics Meeting]. RePEc:anp:en2014:181.

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2016Modelling Economic Growth Function in Nigeria: An ARDL Approach. (2016). Shaibu, Ibrahim ; Okafor, Chinwuba . In: Asian Journal of Economics and Empirical Research. RePEc:aoj:ajeaer:2016:p:84-93.

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2016Willingness to Pay for Preserving National Park Biodiversity: A Case Study. (2016). Bhat, Mohammad Younus ; Sinha, Apra . In: Economy. RePEc:aoj:econom:2016:p:102-106.

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2016The Effects of Inflation and its Risk on Interest Rate: An Empirical Evidence from Nigeria. (2016). , Amaefula . In: Economy. RePEc:aoj:econom:2016:p:74-78.

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2016Analysis of Empirical Relationship among Agricultural Lending, Agricultural Growth and Non-Performing Loans in Nigerian Banking System. (2016). UMOREN, ANIEFIOK. In: Economy. RePEc:aoj:econom:2016:p:94-101.

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2017Modelling and forecasting money demand: divide and conquer. (2017). Carrera, Cesar ; Flores, Jairo . In: Working Papers. RePEc:apc:wpaper:2017-091.

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2017How 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.

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2016On the stationarity of Dynamic Conditional Correlation models. (2016). Malongo, Hassan ; Fermanian, Jean-David . In: Papers. RePEc:arx:papers:1405.6905.

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2016Switching-GAS Copula Models With Application to Systemic Risk. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1504.03733.

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

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2016Stochastic model of financial markets reproducing scaling and memory in volatility return intervals. (2016). Gontis, Vygintas ; Stanley, Eugene H ; Podobnik, Boris ; Kononovicius, Aleksejus ; Havlin, Shlomo . In: Papers. RePEc:arx:papers:1507.05203.

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

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2016Heterotic Risk Models. (2016). Kakushadze, Zura . In: Papers. RePEc:arx:papers:1508.04883.

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2017Detecting intraday financial market states using temporal clustering. (2017). Hendricks, Dieter ; Wilcox, Diane ; Gebbie, Tim . In: Papers. RePEc:arx:papers:1508.04900.

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2017Correction to Black-Scholes formula due to fractional stochastic volatility. (2017). Garnier, Josselin ; Solna, Knut . In: Papers. RePEc:arx:papers:1509.01175.

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2016Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series. (2016). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1510.05118.

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2017Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2017). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159.

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2016Portfolio Optimisation Under Flexible Dynamic Dependence Modelling. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1601.05199.

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2016Tail Risk Premia for Long-Term Equity Investors. (2016). Rauch, Johannes . In: Papers. RePEc:arx:papers:1602.00865.

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2016Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542.

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2016Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact. (2016). Taranto, Damian Eduardo ; Toth, Bence ; Lillo, Fabrizio ; Bouchaud, Jean-Philippe ; Bormetti, Giacomo . In: Papers. RePEc:arx:papers:1602.02735.

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2016A study of co-movements between oil price, stock index and exchange rate under a cross-bicorrelation perspective: the case of Mexico. (2016). Rojas, Omar ; Coronado, Semei . In: Papers. RePEc:arx:papers:1602.03271.

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2016Multifactor Risk Models and Heterotic CAPM. (2016). Yu, Willie ; Kakushadze, Zura . In: Papers. RePEc:arx:papers:1602.04902.

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2016Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution. (2016). Stavroyiannis, Stavros . In: Papers. RePEc:arx:papers:1602.05749.

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2016The role of volume in order book dynamics: a multivariate Hawkes process analysis. (2016). Rambaldi, Marcello ; Lillo, Fabrizio ; Bacry, Emmanuel . In: Papers. RePEc:arx:papers:1602.07663.

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2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie . In: Papers. RePEc:arx:papers:1602.08070.

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2016Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

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2017Local Parametric Estimation in High Frequency Data. (2017). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2016Combining Dimension Reduction, Distance Measures and Covariance. (2016). Kashyap, Ravi . In: Papers. RePEc:arx:papers:1603.09060.

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2016The statistical significance of multivariate Hawkes processes fitted to limit order book data. (2016). Martins, Roger ; Hendricks, Dieter . In: Papers. RePEc:arx:papers:1604.01824.

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2017Evidence 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.

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2016Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models. (2016). Catania, Leopoldo ; Nonejad, Nima . In: Papers. RePEc:arx:papers:1605.00230.

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2016Value-at-Risk: The Effect of Autoregression in a Quantile Process. (2016). Qureshi, Khizar . In: Papers. RePEc:arx:papers:1605.04940.

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2016On the usual misunderstandings between econophysics and finance: some clarifications on modelling approaches and efficient market hypothesis. (2016). ausloos, marcel ; Schinckus, Christophe ; Jovanovic, Franck . In: Papers. RePEc:arx:papers:1606.02045.

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2017Statistical inference for the doubly stochastic self-exciting process. (2017). Potiron, Yoann ; Clinet, Simon . In: Papers. RePEc:arx:papers:1607.05831.

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2016Asymmetric volatility connectedness on forex markets. (2016). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef. In: Papers. RePEc:arx:papers:1607.08214.

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2016Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall. (2016). Palestini, Arsen ; Cerqueti, Roy ; Mauro, Bernardi . In: Papers. RePEc:arx:papers:1608.02365.

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

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2016A String Model of Liquidity in Financial Markets. (2016). Schellhorn, Henry ; Zhao, Ran . In: Papers. RePEc:arx:papers:1608.05900.

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2016Causality and Correlations between BSE and NYSE indexes: A Janus Faced Relationship. (2016). , Neeraj ; Panigrahi, Prasanta K. In: Papers. RePEc:arx:papers:1608.07796.

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2016On the Market-Neutrality of Optimal Pairs-Trading Strategies. (2016). Angoshtari, Bahman . In: Papers. RePEc:arx:papers:1608.08268.

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2016The microstructural foundations of leverage effect and rough volatility. (2016). Euch, EL ; Mathieu, Rosenbaum ; Masaaki, Fukasawa . In: Papers. RePEc:arx:papers:1609.05177.

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2017Multivariate GARCH with dynamic beta. (2017). Raddant, Matthias ; Wagner, Friedrich . In: Papers. RePEc:arx:papers:1609.07051.

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2016Volatility Inference and Return Dependencies in Stochastic Volatility Models. (2016). Pfante, Oliver ; Bertschinger, Nils . In: Papers. RePEc:arx:papers:1610.00312.

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

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2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models. (2016). Wintenberger, Olivier ; Koopman, Siem Jan ; Blasques, Francisco ; Gorgi, P. In: Papers. RePEc:arx:papers:1610.02863.

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2016Uncertainty Estimates in the Heston Model via Fisher Information. (2016). Pfante, Oliver ; Bertschinger, Nils . In: Papers. RePEc:arx:papers:1610.04760.

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2016Two approaches to modeling the interaction of small and medium price-taking traders with a stock exchange by mathematical programming techniques. (2016). Belenky, A ; Egorova, L. In: Papers. RePEc:arx:papers:1610.05703.

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2016Time-varying return predictability in the Chinese stock market. (2016). Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Shi, Huai-Long . In: Papers. RePEc:arx:papers:1611.04090.

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2016Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall. (2016). Kratz, Marie ; McNeil, Alexander J ; Lok, Yen H. In: Papers. RePEc:arx:papers:1611.04851.

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2016Fractal Optimization of Market Neutral Portfolio. (2016). Drozdov, Ilia ; Kamenshchikov, Sergey . In: Papers. RePEc:arx:papers:1612.03698.

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2016Leverage and Uncertainty. (2016). Turlakov, Mihail . In: Papers. RePEc:arx:papers:1612.07194.

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2016Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures. (2016). Wang, Chao ; Gerlach, Richard . In: Papers. RePEc:arx:papers:1612.08488.

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2017Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2017). Potiron, Yoann ; Clinet, Simon . In: Papers. RePEc:arx:papers:1701.01185.

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

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

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2017Fractional delta hedging strategy for pricing currency options with transaction costs. (2017). Shokrollahi, Foad . In: Papers. RePEc:arx:papers:1702.00037.

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2017Estimation for the Prediction of Point Processes with Many Covariates. (2017). Sancetta, Alessio . In: Papers. RePEc:arx:papers:1702.05315.

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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.
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paper1
2012Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks In: American Economic Review.
[Full Text][Citation analysis]
article113
1972An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government. In: American Economic Review.
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article1
2004Risk and Volatility: Econometric Models and Financial Practice In: American Economic Review.
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article90
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: 90
paper
2001GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics In: Journal of Economic Perspectives.
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article148
2010The Underlying Dynamics of Credit Correlations In: Papers.
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paper0
2016Copula--based Specification of vector MEMs In: Papers.
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paper0
2016Copula--based Specification of vector MEMs.(2016) In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
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paper
1991Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns. In: Working papers.
[Citation analysis]
paper8
1992Do Bulls and Bears Move Acoross Borders: International Transimission of Stock Returns and Volatility as the World Turns.(1992) In: Discussion Paper Series.
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This paper has another version. Agregated cites: 8
paper
1991Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns.(1991) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2009The Factor-Spline-GARCH Model for High and Low Frequency Correlations In: Working Papers.
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paper10
2011The Factor--Spline--GARCH Model for High and Low Frequency Correlations.(2011) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 10
article
2009High and Low Frequency Correlations in Global Equity Markets In: Working Papers.
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paper5
1993Common Volatility in International Equity Markets. In: Journal of Business & Economic Statistics.
[Citation analysis]
article114
1993Testing for Common Features. In: Journal of Business & Economic Statistics.
[Citation analysis]
article306
1990Testing For Common Features.(1990) In: NBER Technical Working Papers.
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paper
1993Testing for Common Features: Reply. In: Journal of Business & Economic Statistics.
[Citation analysis]
article273
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]
article1075
2004CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles In: Journal of Business & Economic Statistics.
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article455
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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paper
2000CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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This paper has another version. Agregated cites: 455
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.
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article24
2006Testing and Valuing Dynamic Correlations for Asset Allocation In: Journal of Business & Economic Statistics.
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article77
1991Semiparametric ARCH Models. In: Journal of Business & Economic Statistics.
[Citation analysis]
article170
1993 Measuring and Testing the Impact of News on Volatility. In: Journal of Finance.
[Full Text][Citation analysis]
article1031
1991Measuring and Testing the Impact of News on Volatility.(1991) In: NBER Working Papers.
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This paper has another version. Agregated cites: 1031
paper
2000Time and the Price Impact of a Trade In: Journal of Finance.
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article175
1999Time and the Price Impact of a Trade.(1999) In: University of California at San Diego, Economics Working Paper Series.
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paper
1996Common Seasonal Features: Global Unemployment. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
article13
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.
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paper14
1998Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model.(1998) In: CRSP working papers.
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paper
2000Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models In: University of California at San Diego, Economics Working Paper Series.
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paper25
2001Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH In: University of California at San Diego, Economics Working Paper Series.
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paper378
2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH.(2001) In: NBER Working Papers.
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paper
2000Impacts of Trades in an Error-Correction Model of Quote Prices In: University of California at San Diego, Economics Working Paper Series.
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paper55
2004Impacts of trades in an error-correction model of quote prices.(2004) In: Journal of Financial Markets.
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This paper has another version. Agregated cites: 55
article
1999Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]
paper20
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: 20
paper
1998Macroeconomic Announcements and Volatility of Treasury Futures In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]
paper44
1998Trades and Quotes: A Bivariate Point Process In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]
paper45
2003Trades and Quotes: A Bivariate Point Process.(2003) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 45
article
1998Stochastic Permanent Breaks In: University of California at San Diego, Economics Working Paper Series.
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paper109
1999Stochastic Permanent Breaks.(1999) In: The Review of Economics and Statistics.
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article
2007A GARCH Option Pricing Model in Incomplete Markets In: Swiss Finance Institute Research Paper Series.
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paper0
Systemic Risk in Europe In: Swiss Finance Institute Research Paper Series.
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paper7
2015Systemic Risk in Europe.(2015) In: Review of Finance.
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article
1985Small-Sample Properties of ARCH Estimators and Tests. In: Canadian Journal of Economics.
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article35
2005The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes In: Working Papers.
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paper28
Exogeneity In: CORE Discussion Papers RP.
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paper49
1983Exogeneity..(1983) In: Econometrica.
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article
1979Exogeneity.(1979) In: The Warwick Economics Research Paper Series (TWERPS).
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paper
2013Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights In: CEPR Discussion Papers.
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paper55
2014Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2014) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 55
paper
2014Testing macroprudential stress tests: The risk of regulatory risk weights.(2014) In: Journal of Monetary Economics.
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This paper has another version. Agregated cites: 55
article
2013Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2013) In: NBER Working Papers.
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paper
1995Multivariate Simultaneous Generalized ARCH In: Econometric Theory.
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article1189
2001Value at risk models in finance In: Working Paper Series.
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paper45
1974Specification of the Disturbance for Efficient Estimation. In: Econometrica.
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article0
1976Some Finite Sample Properties of Spectral Estimators of a Linear Regression. In: Econometrica.
[Full Text][Citation analysis]
article5
1973Some Finite Sample Properties of Spectral Estimators of a Linear Regression.(1973) In: Working papers.
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This paper has another version. Agregated cites: 5
paper
1976Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment. In: Econometrica.
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article0
1978Testing Price Equations for Stability across Spectral Frequency Bands. In: Econometrica.
[Full Text][Citation analysis]
article29
1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. In: Econometrica.
[Full Text][Citation analysis]
article3471
1987Co-integration and Error Correction: Representation, Estimation, and Testing. In: Econometrica.
[Full Text][Citation analysis]
article5259
2015Co-integration and error correction: Representation, estimation, and testing.(2015) In: Applied Econometrics.
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This paper has another version. Agregated cites: 5259
article
1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model. In: Econometrica.
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article560
1990Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market. In: Econometrica.
[Full Text][Citation analysis]
article336
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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article104
1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data In: Econometrica.
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article484
2000The Econometrics of Ultra-High Frequency Data In: Econometrica.
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article152
1996The Econometrics of Ultra-High Frequency Data.(1996) In: NBER Working Papers.
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1984Combining competing forecasts of inflation using a bivariate arch model In: Journal of Economic Dynamics and Control.
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article40
1984Wald, likelihood ratio, and Lagrange multiplier tests in econometrics In: Handbook of Econometrics.
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chapter68
1986Arch models In: Handbook of Econometrics.
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chapter118
2001Financial econometrics - A new discipline with new methods In: Journal of Econometrics.
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article9
2006The econometrics of macroeconomics, finance, and the interface In: Journal of Econometrics.
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article0
2006A multiple indicators model for volatility using intra-daily data In: Journal of Econometrics.
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article195
2003A Multiple Indicators Model For Volatility Using Intra-Daily Data..(2003) In: Econometrics Working Papers Archive.
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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: 195
paper
2006A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones In: Journal of Econometrics.
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article21
2011A component model for dynamic correlations In: Journal of Econometrics.
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article75
2014Priced risk and asymmetric volatility in the cross section of skewness In: Journal of Econometrics.
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article2
1982A general approach to lagrange multiplier model diagnostics In: Journal of Econometrics.
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article59
1983Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models In: Journal of Econometrics.
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article118
1985A dymimic model of housing price determination In: Journal of Econometrics.
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article12
1987Forecasting and testing in co-integrated systems In: Journal of Econometrics.
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article537
1989Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting In: Journal of Econometrics.
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article61
1990Seasonal integration and cointegration In: Journal of Econometrics.
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article511
1988SEASONAL INTEGRATION AND COINTEGRATION.(1988) In: Pennsylvania State - Department of Economics.
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paper
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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article270
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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article72
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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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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1979Estimation of the price elasticity of demand facing metropolitan producers In: Journal of Urban Economics.
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1995Estimating common sectoral cycles In: Journal of Monetary Economics.
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1992On the determination of regional base and regional base multipliers In: Regional Science and Urban Economics.
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1994Estimating sectoral cycles using cointegration and common features In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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paper9
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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2012Liquidity, volatility, and flights to safety in the U.S. treasury market: evidence from a new class of dynamic order book models In: Staff Reports.
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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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1988METEOR SHOWERS OR HEAT WAGES? HETEROSKEDASTIC INTRA-DAILY VOLATILITY IN A THE FOREIGN EXCHANGE MARKET. In: Minnesota - Center for Economic Research.
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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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1993Common Trends and Common Cycles. In: Journal of Applied Econometrics.
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2013Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns In: Koç University-TUSIAD Economic Research Forum Working Papers.
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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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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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1974Interpreting Spectral Analyses in Terms of Time-Domain Models.(1974) In: NBER Working Papers.
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1978Estimating Structural Models of Seasonality.(1978) In: NBER Chapters.
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1990Valuation of Variance Forecast with Simulated Option Markets In: NBER Working Papers.
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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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1994Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models In: NBER Working Papers.
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1994Forecasting Transaction Rates: The Autoregressive Conditional Duration Model In: NBER Working Papers.
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1995GARCH Gamma 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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2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns In: Journal of Financial Econometrics.
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2008Time-Varying Arrival Rates of Informed and Uninformed Trades In: Journal of Financial Econometrics.
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2002Time-Varying Arrival Rates of Informed and Uninformed Trades.(2002) In: Finance.
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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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2008A GARCH Option Pricing Model with Filtered Historical Simulation In: Review of Financial Studies.
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1990Stock Volatility and the Crash of 87: Discussion. In: Review of Financial Studies.
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