62
H index
111
i10 index
35548
Citations
New York University (NYU) | 62 H index 111 i10 index 35548 Citations RESEARCH PRODUCTION: 113 Articles 109 Papers 8 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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2020 | Time-Varying Spillovers between Currency and Stock Markets in the USA: Historical Evidence From More than Two Centuries. (2020). Hkiri, Besma ; Gupta, Rangan ; Coronado, Semei ; Rojas, Omar. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:4:p:44-76. Full description at Econpapers || Download paper | |
2020 | Designing a sequential testing procedure for verifying global CO2 emissions. (2020). Bennedsen, Mikkel. In: CREATES Research Papers. RePEc:aah:create:2020-01. Full description at Econpapers || Download paper | |
2020 | Estimation of heterogeneous agent models: A likelihood approach. (2020). Posch, Olaf ; Parra-Alvarez, Juan ; Wang, Mu-Chun. In: CREATES Research Papers. RePEc:aah:create:2020-05. Full description at Econpapers || Download paper | |
2021 | A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Christensen, Kim ; Siggaard, Mathias. In: CREATES Research Papers. RePEc:aah:create:2021-03. Full description at Econpapers || Download paper | |
2021 | Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2021-05. Full description at Econpapers || Download paper | |
2020 | Estimation of Consumption Function for Developing Economies: China, Turkey, Vietnam and Bangladesh. (2020). Khan, Khalid ; Wotto, Marguerite ; Liaqat, Saima. In: Global Economics Review. RePEc:aaw:journl:v:5:y:2020:i:1:p:1-11. Full description at Econpapers || Download paper | |
2020 | Emerging Markets and Volatility Spillover Effects: Empirical Evidence from Regional Emerging Economies of Pakistan, China, India, and Bangladesh. (2020). Saeed, Muhammad Yasir ; Ghafoor, Muhammad Mudasar ; Hamid, Kashif. In: Global Economics Review. RePEc:aaw:journl:v:5:y:2020:i:1:p:102-116. Full description at Econpapers || Download paper | |
2020 | Trivariate Modelling of the Nexus between Electricity Consumption, Urbanization and Economic Growth in Nigeria: Fresh Insights from Maki Cointegration and Causality Tests. (2020). Nathaniel, Solomon P ; Ali, Hamisu S ; Sarkodie, Samuel A ; Bekun, Festus V ; Uzuner, Gizem. In: Research Africa Network Working Papers. RePEc:abh:wpaper:20/010. Full description at Econpapers || Download paper | |
2020 | Electricity Consumption, Urbanization and Economic Growth in Nigeria: New Insights from Combined Cointegration amidst Structural Breaks. (2020). Bekun, Festus ; Nathaniel, Solomon P. In: Research Africa Network Working Papers. RePEc:abh:wpaper:20/013. Full description at Econpapers || Download paper | |
2020 | Leveraging Foreign Direct Investment for Sustainability: An Approach to Sustainable Human Development in Nigeria. (2020). Osinubi, Tolulope ; Fagbemi, Fisayo. In: Research Africa Network Working Papers. RePEc:abh:wpaper:20/090. Full description at Econpapers || Download paper | |
2020 | Technological novelty and productivity growth: a cliometric approach. (2020). Plunket, Anne ; Epicoco, Marianna ; Jaoul-Grammare, Magali. In: Working Papers. RePEc:afc:wpaper:04-20. Full description at Econpapers || Download paper | |
2020 | Trivariate Modelling of the Nexus between Electricity Consumption, Urbanization and Economic Growth in Nigeria: Fresh Insights from Maki Cointegration and Causality Tests. (2020). Nathaniel, Solomon P ; Ali, Hamisu S ; Sarkodie, Samuel A ; Bekun, Festus V ; Uzuner, Gizem. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:20/010. Full description at Econpapers || Download paper | |
2020 | Electricity Consumption, Urbanization and Economic Growth in Nigeria: New Insights from Combined Cointegration amidst Structural Breaks. (2020). Bekun, Festus V ; Nathaniel, Solomon P. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:20/013. Full description at Econpapers || Download paper | |
2020 | Leveraging Foreign Direct Investment for Sustainability: An Approach to Sustainable Human Development in Nigeria. (2020). Osinubi, Tolulope ; Fagbemi, Fisayo. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:20/090. Full description at Econpapers || Download paper | |
2021 | Energy and economic growth. An empirical analysis. (2021). Adamopoulos, Antonios. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(626):y:2021:i:1(626):p:151-166. Full description at Econpapers || Download paper | |
2021 | A pragmatic evaluation of the interconnection between currency futures return volatility, open interest and volume. (2021). Johnson, Johney ; Devan, Karthika P. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(626):y:2021:i:1(626):p:289-296. Full description at Econpapers || Download paper | |
2020 | An approach to measuring credit risk in a banking institution from Romania. (2020). Nica, Ionu ; Chiri, Nora. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(623):y:2020:i:2(623):p:65-78. Full description at Econpapers || Download paper | |
2020 | The dependence and dynamic correlation between Islamic and conventional insurances and stock market: A multivariate short memory approach. (2020). el Abed, Riadh ; el Ansari, Rym Charef. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(624):y:2020:i:3(624):p:213-222. Full description at Econpapers || Download paper | |
2020 | Testing Wagner’s Law for sub-Saharan Africa: A panel cointegration and causality approach. (2020). Jobarteh, Mustapha. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvii:y:2020:i:1(622):p:125-136. Full description at Econpapers || Download paper | |
2020 | Quantifying consumers’ love for marine biodiversity. (2020). Bronmann, Julia ; Lancker, Kira. In: 2020 Annual Meeting, July 26-28, Kansas City, Missouri. RePEc:ags:aaea20:304214. Full description at Econpapers || Download paper | |
2020 | The Impacts of African Swine Fever on Vertical and Spatial Hog Pricing and Market Integration in China. (2020). Chavas, Jean-Paul ; Li, Jian. In: 2020 Annual Meeting, July 26-28, Kansas City, Missouri. RePEc:ags:aaea20:304516. Full description at Econpapers || Download paper | |
2020 | Determinants of Economic Growth in ECOWAS Countries: An Empirical Investigation. (2020). Sissoko, Yaya ; Sloboda, Brian W. In: African Journal of Economic Review. RePEc:ags:afjecr:304715. Full description at Econpapers || Download paper | |
2020 | Exchange Rate Volatility and Domestic Investment: Evidence from Twelve ECOWAS Countries. (2020). Akinlo, Anthony ; Onatunji, Olufemi G. In: African Journal of Economic Review. RePEc:ags:afjecr:304721. Full description at Econpapers || Download paper | |
2020 | Export-Led Growth Hypothesis in ECOWAS: A Panel Data Analysis. (2020). Kollie, Genesis B. In: African Journal of Economic Review. RePEc:ags:afjecr:304725. Full description at Econpapers || Download paper | |
2020 | LIVESTOCK MARKET INTEGRATION AND PRICE DYNAMICS IN THE UNITED STATES. (2020). Palash, Salauddin M ; Monayem, M A ; Akter, Morsalina ; Rahman, Kazi Tamim. In: Bangladesh Journal of Agricultural Economics. RePEc:ags:bdbjaf:304092. Full description at Econpapers || Download paper | |
2020 | Food Price Volatility in Nigeria and Its Driving Factors: Evidence from Garch Estimates. (2020). Abdoulaye, Tahirou ; Ayinde, Opeyemi Eyitayo ; Ajibade, Toyin Benedict. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:307655. Full description at Econpapers || Download paper | |
2020 | The Impact of the Real Effective Exchange Rate on Poland’s Food and Live Animal Exports. (2020). Parliska, Agnieszka ; Tokta, Yilmaz. In: Problems of World Agriculture / Problemy Rolnictwa ?wiatowego. RePEc:ags:polpwa:308625. Full description at Econpapers || Download paper | |
2020 | Time-Varying Spillovers between Currency and Stock Markets in the USA: Historical Evidence From More than Two Centuries. (2020). Gupta, Rangan ; Coronado, Semei ; Rojas, Omar ; Hkiri, Besma. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:4:p:44-76. Full description at Econpapers || Download paper | |
2020 | Systemic Risk: a Network Approach. (2020). Hasse, Jean-Baptiste. In: AMSE Working Papers. RePEc:aim:wpaimx:2025. Full description at Econpapers || Download paper | |
2021 | Long-run stability of money demand and monetary policy: the case of Algeria. (2021). Boucekkine, Raouf ; Laksaci, Mohammed ; Touati-Tliba, Mohamed. In: AMSE Working Papers. RePEc:aim:wpaimx:2104. Full description at Econpapers || Download paper | |
2020 | Dynamic score driven independent component analysis. (2020). Hafner, Christian ; Herwartz, Helmut. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020031. Full description at Econpapers || Download paper | |
2020 | Dynamic portfolio selection with sector-specific regularization. (2020). Hafner, Christian ; Wang, Linqi. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020032. Full description at Econpapers || Download paper | |
2020 | Bank capital and the European recovery from the COVID-19 crisis. (2020). Tröger, Tobias ; Schularick, Moritz ; Troger, Tobias H ; Steffen, Sascha. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:017. Full description at Econpapers || Download paper | |
2021 | Loss Sharing in Central Clearinghouses: Winners and Losers. (2021). Sherman, Mila Getmansky ; Pelizzon, Loriana ; Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:066. Full description at Econpapers || Download paper | |
2020 | DOES PRIVATE SAVING OFFSET PUBLIC SAVING IN PAKISTAN AN EMPRICAL EVIDENCE. (2020). Khan, Aamir ; Javed, Asif ; Ali, Wajid. In: Review of Socio - Economic Perspectives. RePEc:aly:journl:202066. Full description at Econpapers || Download paper | |
2020 | THE IMPACT OF FDI AND EXCHANGE RATE ON GDP IN MENA COUNTRIES : EVIDENCE FROM THE PANEL APPROACH. (2020). Djaballah, Mustapha. In: Review of Socio - Economic Perspectives. RePEc:aly:journl:202073. Full description at Econpapers || Download paper | |
2020 | Is Tourism a Key Factor for Economic Growth? Fresh Evidence from South Europe Using Panel Cointegration and PVAR Analyses. (2020). Kostakis, Ioannis. In: World Journal of Applied Economics. RePEc:ana:journl:v:6:y:2020:i:2:p:123-138. Full description at Econpapers || Download paper | |
2020 | Impact of Public Debt, Deficit and Debt Financing on Private Investment in a Large Country: Evidence from the United States. (2020). Kia, Amir. In: World Journal of Applied Economics. RePEc:ana:journl:v:6:y:2020:i:2:p:139-161. Full description at Econpapers || Download paper | |
2020 | LONG SWINGS IN THE GROWTH OF GOVERNMENT EXPENDITURE: AN INTERNATIONAL HISTORICAL PERSPECTIVE. (2020). Tamberi, Massimo ; Gallegati, Marco. In: Working Papers. RePEc:anc:wpaper:447. Full description at Econpapers || Download paper | |
2020 | Factors Affecting Economic Growth: A Comparative Analysis of Democratic and Non-Democratic Eras of Pakistan. (2020). Khan, Farman Ullah ; Urooj, Amena . In: iRASD Journal of Economics. RePEc:ani:irdjoe:v:2:y:2020:i:2:p:61-71. Full description at Econpapers || Download paper | |
2020 | Investigation of Causality Relationships among COVID-19 Cases, ISE100 Index, Dollar, Euro, Gram Gold Prices and 2 Years Bond Rates: The Case of Turkey. (2020). UNVAN, Yuksel Akay . In: Alphanumeric Journal. RePEc:anm:alpnmr:v:8:y:2020:i:1:p:29-42. Full description at Econpapers || Download paper | |
2020 | The Impact Population Growth on Disaggregate Energy Generation Source from (Hydro Power, Natural Gas, Oil and Coal Source) in Nigeria. (2020). Yusuf, Ayatu ; Bala, Umar ; Maijama, Rabiu. In: Asian Bulletin of Energy Economics and Technology. RePEc:aoj:abeeat:2018:p:1-8. Full description at Econpapers || Download paper | |
2020 | Assessing the Stability of Money Demand Function in Saudi Arabia. (2020). Al Rasasi, Moayad. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2020:p:22-28. Full description at Econpapers || Download paper | |
2020 | Interconnectedness in the Global Financial Market. (2017). Raddant, Matthias ; Kenett, Dror Y. In: Papers. RePEc:arx:papers:1704.01028. Full description at Econpapers || Download paper | |
2020 | Improving Value-at-Risk prediction under model uncertainty. (2018). Yao, Jianfeng ; Yang, Shuzhen. In: Papers. RePEc:arx:papers:1805.03890. Full description at Econpapers || Download paper | |
2020 | LASSO-Driven Inference in Time and Space. (2019). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen ; Hardle, Wolfgang K. In: Papers. RePEc:arx:papers:1806.05081. Full description at Econpapers || Download paper | |
2020 | Tail Risks, Asset prices, and Investment Horizons. (2018). BarunÃÂÂk, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148. Full description at Econpapers || Download paper | |
2021 | A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422. Full description at Econpapers || Download paper | |
2020 | 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 | |
2020 | Asymmetric Connectedness of Fears in the U.S. Financial Sector. (2018). BarunÃÂÂk, Jozef ; Tunaru, Radu ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:1810.12022. Full description at Econpapers || Download paper | |
2020 | 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 | |
2020 | Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318. Full description at Econpapers || Download paper | |
2020 | Approximate State Space Modelling of Unobserved Fractional Components. (2019). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09142. Full description at Econpapers || Download paper | |
2020 | A Nonparametric Dynamic Causal Model for Macroeconometrics. (2019). Shephard, Neil ; Rambachan, Ashesh. In: Papers. RePEc:arx:papers:1903.01637. Full description at Econpapers || Download paper | |
2020 | Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077. Full description at Econpapers || Download paper | |
2020 | Common Decomposition of Correlated Brownian Motions and its Financial Applications. (2019). Yang, Jingping ; Cheng, Xue. In: Papers. RePEc:arx:papers:1907.03295. Full description at Econpapers || Download paper | |
2020 | Adaptive inference for a semiparametric generalized autoregressive conditional heteroscedastic model. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1907.04147. Full description at Econpapers || Download paper | |
2020 | Efficient Estimation by Fully Modified GLS with an Application to the Environmental Kuznets Curve. (2019). Reuvers, Hanno ; Lin, Yicong. In: Papers. RePEc:arx:papers:1908.02552. Full description at Econpapers || Download paper | |
2020 | Anomalous diffusions in option prices: connecting trade duration and the volatility term structure. (2019). Torricelli, Lorenzo ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:1908.03007. Full description at Econpapers || Download paper | |
2020 | Forecast Encompassing Tests for the Expected Shortfall. (2019). Schnaitmann, Julie ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1908.04569. Full description at Econpapers || Download paper | |
2020 | Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2019). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:1909.11794. Full description at Econpapers || Download paper | |
2020 | A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics. (2019). Lillo, Fabrizio ; Bormetti, Giacomo ; Vassallo, Danilo. In: Papers. RePEc:arx:papers:1910.01407. Full description at Econpapers || Download paper | |
2020 | Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144. Full description at Econpapers || Download paper | |
2020 | Data-driven covariance estimators for high-dimensional minimum-variance portfolios. (2019). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven . In: Papers. RePEc:arx:papers:1910.13960. Full description at Econpapers || Download paper | |
2020 | Artificial intelligence approach to momentum risk-taking. (2019). Cherednik, Ivan. In: Papers. RePEc:arx:papers:1911.08448. Full description at Econpapers || Download paper | |
2021 | Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916. Full description at Econpapers || Download paper | |
2020 | On the uniqueness of solutions of stochastic Volterra equations. (2019). Jacquier, Antoine ; Pannier, Alexandre. In: Papers. RePEc:arx:papers:1912.05917. Full description at Econpapers || Download paper | |
2020 | Conditional Correlations and Principal Regression Analysis for Futures. (2019). Bouchaud, Jean-Philippe ; Benzaquen, Michael ; Benichou, Raphael ; Karami, Armine. In: Papers. RePEc:arx:papers:1912.12354. Full description at Econpapers || Download paper | |
2020 | Bayesian Median Autoregression for Robust Time Series Forecasting. (2020). Li, Meng ; Zeng, Zijian. In: Papers. RePEc:arx:papers:2001.01116. Full description at Econpapers || Download paper | |
2020 | Path-dependent volatility models. (2020). Lacombe, Chloe ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2001.05248. Full description at Econpapers || Download paper | |
2020 | A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting. (2020). Gao, Junbin ; Gerlach, Richard ; Wang, Chao ; Tran, Minh-Ngoc ; Li, Zhengkun. In: Papers. RePEc:arx:papers:2001.08374. Full description at Econpapers || Download paper | |
2020 | Refined model of the covariance/correlation matrix between securities. (2020). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2001.08911. Full description at Econpapers || Download paper | |
2020 | Risk Fluctuation Characteristics of Internet Finance: Combining Industry Characteristics with Ecological Value. (2020). Shuai, Hefan ; Xiao, Yadong ; Marshall, Tom ; Ye, Nan ; Mi, Chuanmin ; Xu, Runjie. In: Papers. RePEc:arx:papers:2001.09798. Full description at Econpapers || Download paper | |
2020 | Detecting Changes in Asset Co-Movement Using the Autoencoder Reconstruction Ratio. (2020). Roberts, Stephen ; Zohren, Stefan ; Lim, Bryan. In: Papers. RePEc:arx:papers:2002.02008. Full description at Econpapers || Download paper | |
2020 | A study on the leverage effect on financial series using a TAR model: a Bayesian approach. (2020). Nieto, Fabio ; Espinosa, Oscar. In: Papers. RePEc:arx:papers:2002.05319. Full description at Econpapers || Download paper | |
2020 | TPLVM: Portfolio Construction by Students $t$-process Latent Variable Model. (2020). Nakagawa, Kei ; Uchiyama, Yusuke. In: Papers. RePEc:arx:papers:2002.06243. Full description at Econpapers || Download paper | |
2020 | Cross-sectional Stock Price Prediction using Deep Learning for Actual Investment Management. (2020). Nakagawa, Kei ; Abe, Masaya. In: Papers. RePEc:arx:papers:2002.06975. Full description at Econpapers || Download paper | |
2020 | Forecasting Realized Volatility Matrix With Copula-Based Models. (2020). Tao, Minjing ; Wang, Wenjing. In: Papers. RePEc:arx:papers:2002.08849. Full description at Econpapers || Download paper | |
2020 | 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 | |
2021 | Modelling volatility with v-transforms. (2020). McNeil, Alexander J. In: Papers. RePEc:arx:papers:2002.10135. Full description at Econpapers || Download paper | |
2020 | SHIFT: A Highly Realistic Financial Market Simulation Platform. (2020). BOZDOG, DRAGOS ; Calhoun, George ; Florescu, Ionut ; Alves, Thiago W. In: Papers. RePEc:arx:papers:2002.11158. Full description at Econpapers || Download paper | |
2020 | Machine Learning Portfolio Allocation. (2020). Ruppert, David ; Pinelis, Michael. In: Papers. RePEc:arx:papers:2003.00656. Full description at Econpapers || Download paper | |
2020 | Copula-based local dependence between energy, agriculture and metal commodity markets. (2020). Tiwari, Aviral ; Albulescu, Claudiu ; Ji, Qiang. In: Papers. RePEc:arx:papers:2003.04007. Full description at Econpapers || Download paper | |
2020 | Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723. Full description at Econpapers || Download paper | |
2021 | Cryptocurrency Trading: A Comprehensive Survey. (2020). Wu, Fan ; Martinez-Regoband, David ; Li, Lingbo ; Kanthan, Leslie ; Kong, Hoiliong ; Basios, Michail ; Ventre, Carmine ; Fang, Fan. In: Papers. RePEc:arx:papers:2003.11352. Full description at Econpapers || Download paper | |
2020 | Streaming Perspective in Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2020). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2003.13062. Full description at Econpapers || Download paper | |
2020 | A wavelet analysis of inter-dependence, contagion and long memory among global equity markets. (2020). Bhandari, Avishek. In: Papers. RePEc:arx:papers:2003.14110. Full description at Econpapers || Download paper | |
2020 | Financial Market Trend Forecasting and Performance Analysis Using LSTM. (2020). Min, Jonghyeon. In: Papers. RePEc:arx:papers:2004.01502. Full description at Econpapers || Download paper | |
2020 | Predicting tail events in a RIA-EVT-Copula framework. (2020). Zhou, Wei-Xing ; Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhai, Jin-Rui ; Li, Wei-Zhen. In: Papers. RePEc:arx:papers:2004.03190. Full description at Econpapers || Download paper | |
2020 | Stress testing and systemic risk measures using multivariate conditional probability. (2020). Aste, Tomaso. In: Papers. RePEc:arx:papers:2004.06420. Full description at Econpapers || Download paper | |
2020 | The interdependency structure in the Mexican stock exchange: A network approach. (2020). Aguilar, Erick Trevino . In: Papers. RePEc:arx:papers:2004.06676. Full description at Econpapers || Download paper | |
2020 | Long memory in select stock returns using an alternative wavelet log-scale alignment approach. (2020). Kamaiah, Bandi ; Bhandari, Avishek. In: Papers. RePEc:arx:papers:2004.08550. Full description at Econpapers || Download paper | |
2020 | Consistent Calibration of Economic Scenario Generators: The Case for Conditional Simulation. (2020). van Beek, Misha. In: Papers. RePEc:arx:papers:2004.09042. Full description at Econpapers || Download paper | |
2021 | Clustering volatility regimes for dynamic trading strategies. (2020). Prakash, Arjun ; Menzies, Max ; James, Nick ; Francis, Gilad. In: Papers. RePEc:arx:papers:2004.09963. Full description at Econpapers || Download paper | |
2020 | Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. (2020). Cerqueti, Roy ; Mattera, Raffaele ; Giacalone, Massimiliano. In: Papers. RePEc:arx:papers:2004.11674. Full description at Econpapers || Download paper | |
2020 | The What, When and Where of Limit Order Books. (2020). Dimpfl, Thomas ; Bleher, Michael. In: Papers. RePEc:arx:papers:2004.11953. Full description at Econpapers || Download paper | |
2020 | A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400. Full description at Econpapers || Download paper | |
2020 | Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2005.01160. Full description at Econpapers || Download paper | |
2020 | Defining an intrinsic stickiness parameter of stock price returns. (2020). Andersen, Jorgen Vitting ; Massad, Naji. In: Papers. RePEc:arx:papers:2005.02351. Full description at Econpapers || Download paper | |
2020 | Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204. Full description at Econpapers || Download paper | |
2020 | Modeling High-Dimensional Unit-Root Time Series. (2020). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2005.03496. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2012 | And Now, The Rest of the News: Volatility and Firm Specific News Arrival In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
2012 | Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks In: American Economic Review. [Full Text][Citation analysis] | article | 307 |
1972 | An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government. In: American Economic Review. [Citation analysis] | article | 1 |
2004 | Risk and Volatility: Econometric Models and Financial Practice In: American Economic Review. [Full Text][Citation analysis] | article | 133 |
2003 | Risk and Volatility: Econometric Models and Financial Practice.(2003) In: Nobel Prize in Economics documents. [Full Text][Citation analysis] This paper has another version. Agregated cites: 133 | paper | |
2001 | GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics In: Journal of Economic Perspectives. [Full Text][Citation analysis] | article | 221 |
1979 | A GENERAL APPROACH TO THE CONSTRUCTION OF MODEL DIAGNOSTICS BASED UPON THE LAGRANGE MULTIPLIER PRINCIPLE In: Economic Research Papers. [Full Text][Citation analysis] | paper | 2 |
1979 | A general Approach to the Construction of Model Diagnostics based upon the Lagrange Multiplier Principle.(1979) In: The Warwick Economics Research Paper Series (TWERPS). [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
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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: 93 | paper | |
2000 | The ACD Model: Predictability of the Time Between Concecutive Trades In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 19 |
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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 |
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2019 | Large Dynamic Covariance Matrices In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 44 |
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2020 | Large dynamic covariance matrices: enhancements based on intraday data In: ECON - Working Papers. [Full Text][Citation analysis] | paper | 0 |
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