59
H index
109
i10 index
30528
Citations
Robert F. Engle : Citation Profile
New York University (NYU) | RESEARCH PRODUCTION: 107 Articles 104 Papers 9 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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53 years (1966 - 2019). Relations with other researchers
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:
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Main data
Where Robert F. Engle has published?
Recent works citing Robert F. Engle (2019 and 2018)
| Year | Title of citing document | |
|---|---|---|
| 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 | 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 | |
| 2017 | Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation. (2017). 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). Pakkanen, Mikko ; Morariu-Patrichi, Maxime . 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). Elst, Harry Vander ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-37. Full description at Econpapers || Download paper | |
| 2019 | Resuscitating the co-fractional model of Granger (1986). (2019). de Magistris, Paolo Santucci ; Carlini, Federico. In: CREATES Research Papers. RePEc:aah:create:2019-02. 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). Arrak, Islem ; Mansour, Walid ; Majdoub, Jihed. 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). Arrak, Islem ; Mansour, Walid ; Majdoub, Jihed. 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 | 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 | |
| 2018 | The Complex Relationship between International Tourism Demand and Economic Growth: An Analysis on Central and Eastern European Economies. (2018). Badulescu, Alina ; Simu, Ramona. In: The AMFITEATRU ECONOMIC journal. RePEc:aes:amfeco:v:20:y:2018:i:s12:p:935. Full description at Econpapers || Download paper | |
| 2019 | Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors. (2019). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:03-19. Full description at Econpapers || Download paper | |
| 2019 | Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model. (2019). Mishra, Tapas ; DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:07-19. 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). Rivot, Sylvie ; Jaoul-Grammare, Magali ; Boyer, Jean-Daniel. In: Working Papers. RePEc:afc:wpaper:11-17. 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). Mei, Mirna ; Kasumovi, Merim. 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). Firdaus, Muhammad Khairil ; Trofimov, Ivan D. 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 | |
| 2019 | Co-integration with regime shift between government expenditure and poverty reduction in Algeria. (2019). Ayad, Hicham . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:2(619):p:205-216. 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | 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 | |
| 2019 | Transitory and Permanent Shocks in the Global Market for Crude Oil. (2019). Rebei, Nooman ; Sbia, Rashid. In: AMSE Working Papers. RePEc:aim:wpaimx:1918. 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 | |
| 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 | |
| 2019 | The Influence of Price and Non-Price Factors on Acreage Response of Maize in Eswatini. (2019). Jele, Q ; Akelrele, D ; Dlamini, S G. In: Journal of Agriculture and Crops. RePEc:arp:jacarp:2019:p:38-42. Full description at Econpapers || Download paper | |
| 2019 | An Analysis of Factors Influencing Rice Export in Egypt Based on Vector Autoregressive Model. (2019). Sayed, Hanan Mahmoud. In: The Journal of Social Sciences Research. RePEc:arp:tjssrr:2019:p:876-887. 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 | |
| 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 | |
| 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 | |
| 2018 | Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700. Full description at Econpapers || Download paper | |
| 2019 | Combining Dimension Reduction, Distance Measures and Covariance. (2017). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1603.09060. 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 | 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 | |
| 2019 | Multivariate Garch with dynamic beta. (2018). Raddant, Matthias ; Wagner, Friedrich . In: Papers. RePEc:arx:papers:1609.07051. Full description at Econpapers || Download paper | |
| 2017 | Volatility Smile as Relativistic Effect. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1610.02456. Full description at Econpapers || Download paper | |
| 2018 | Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1701.01185. Full description at Econpapers || Download paper | |
| 2017 | Time Series Copulas for Heteroskedastic Data. (2017). Loaiza-Maya, Rub'En ; Maneesoonthorn, Worapree ; Smith, Michael S. In: Papers. RePEc:arx:papers:1701.07152. Full description at Econpapers || Download paper | |
| 2017 | Day of the Week Effect in biotechnology stocks: An Application of the GARCH processes. (2017). Chatterjee, Swarnankur. In: Papers. RePEc:arx:papers:1701.07175. Full description at Econpapers || Download paper | |
| 2017 | 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 | |
| 2017 | A Joint Quantile and Expected Shortfall Regression Framework. (2017). Dimitriadis, Timo ; Bayer, Sebastian. In: Papers. RePEc:arx:papers:1704.02213. Full description at Econpapers || Download paper | |
| 2018 | Optimal Portfolio under Fast Mean-reverting Fractional Stochastic Environment. (2018). Fouque, Jean-Pierre ; Hu, Ruimeng. In: Papers. RePEc:arx:papers:1706.03139. Full description at Econpapers || Download paper | |
| 2017 | General Compound Hawkes Processes in Limit Order Books. (2017). Swishchuk, Anatoliy. In: Papers. RePEc:arx:papers:1706.07459. Full description at Econpapers || Download paper | |
| 2017 | Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Wang, Chao ; Gerlach, Richard ; Chen, Qian. In: Papers. RePEc:arx:papers:1707.03715. Full description at Econpapers || Download paper | |
| 2017 | Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk). (2017). Patton, Andrew J ; Chen, Rui ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1707.05108. Full description at Econpapers || Download paper | |
| 2019 | Spectral backtests of forecast distributions with application to risk management. (2018). Gordy, Michael ; McNeil, Alexander J ; Lok, Hsiao Yen . In: Papers. RePEc:arx:papers:1708.01489. Full description at Econpapers || Download paper | |
| 2017 | Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece. (2017). Papaioannou, Panagiotis G ; Dikaiakos, Christos ; Stratigakos, Akylas ; Siettos, Kostas . In: Papers. RePEc:arx:papers:1708.07063. Full description at Econpapers || Download paper | |
| 2017 | Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587. Full description at Econpapers || Download paper | |
| 2017 | Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. (2017). BarunÃk, Jozef ; Cech, Frantisek . In: Papers. RePEc:arx:papers:1708.08622. Full description at Econpapers || Download paper | |
| 2019 | Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1709.02502. Full description at Econpapers || Download paper | |
| 2018 | Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2018). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296. Full description at Econpapers || Download paper | |
| 2019 | A Justification of Conditional Confidence Intervals. (2017). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1710.00643. Full description at Econpapers || Download paper | |
| 2019 | Forecasting dynamic return distributions based on ordered binary choice. (2019). BarunÃk, Jozef ; Anatolyev, Stanislav. In: Papers. RePEc:arx:papers:1711.05681. Full description at Econpapers || Download paper | |
| 2018 | A Neural Stochastic Volatility Model. (2018). Luo, Rui ; Wang, Jun ; Xu, Xiaojun ; Zhang, Weinan. In: Papers. RePEc:arx:papers:1712.00504. Full description at Econpapers || Download paper | |
| 2017 | A nonparametric copula approach to conditional Value-at-Risk. (2017). Geenens, Gery ; Dunn, Richard . In: Papers. RePEc:arx:papers:1712.05527. Full description at Econpapers || Download paper | |
| 2018 | Is there a housing bubble in China. (2018). Zhi, Tianhao ; Sornette, Didier ; Wei, Lijian ; Jiang, Zhiqiang ; Li, Zhongfei. In: Papers. RePEc:arx:papers:1801.03678. Full description at Econpapers || Download paper | |
| 2018 | Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2018). Crisóstomo, Ricardo ; Couso, Lorena. In: Papers. RePEc:arx:papers:1801.08007. Full description at Econpapers || Download paper | |
| 2018 | The Power of Trading Polarity: Evidence from China Stock Market Crash. (2018). Lu, Shan ; Wang, Huiwen ; Zhao, Jichang. In: Papers. RePEc:arx:papers:1802.01143. Full description at Econpapers || Download paper | |
| 2018 | Matching distributions: Recovery of implied physical densities from option prices. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1803.03996. Full description at Econpapers || Download paper | |
| 2018 | Theoretical and empirical analysis of trading activity. (2018). Pohl, Mathias ; Tangpi, Ludovic ; Schachermayer, Walter ; Ristig, Alexander . In: Papers. RePEc:arx:papers:1803.04892. Full description at Econpapers || Download paper | |
| 2019 | A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2018). Buccheri, Giuseppe ; Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:1803.04894. Full description at Econpapers || Download paper | |
| 2019 | Bi-Demographic Changes and Current Account using SVAR Modeling. (2018). Ghassan, Hassan ; Balli, Faruk ; Al-Hajhoj, Hassan R. In: Papers. RePEc:arx:papers:1803.11161. Full description at Econpapers || Download paper | |
| 2018 | Statistical inference for autoregressive models under heteroscedasticity of unknown form. (2018). Zhu, Ke. In: Papers. RePEc:arx:papers:1804.02348. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Robert F. Engle has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Robert F. Engle:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2012 | And Now, The Rest of the News: Volatility and Firm Specific News Arrival In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2012 | Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks In: American Economic Review. [Full Text][Citation analysis] | article | 211 |
| 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 | 119 |
| 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: 119 | paper | |
| 2001 | GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics In: Journal of Economic Perspectives. [Full Text][Citation analysis] | article | 186 |
| 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 | |
| 1979 | EXOGENEITY In: Economic Research Papers. [Full Text][Citation analysis] | paper | 49 |
| 1983 | Exogeneity.(1983) In: CORE Discussion Papers RP. [Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
| 1983 | Exogeneity..(1983) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | article | |
| 1979 | Exogeneity.(1979) In: The Warwick Economics Research Paper Series (TWERPS). [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
| 2018 | Systemic Risk 10 Years Later In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 0 |
| 2010 | The Underlying Dynamics of Credit Correlations In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Copula--based Specification of vector MEMs In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2016 | Copula--based Specification of vector MEMs.(2016) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 1991 | Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns. In: Working papers. [Citation analysis] | paper | 8 |
| 1992 | Do Bulls and Bears Move Acoross Borders: International Transimission of Stock Returns and Volatility as the World Turns.(1992) In: Discussion Paper Series. [Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 1991 | Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns.(1991) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2009 | The Factor-Spline-GARCH Model for High and Low Frequency Correlations In: Working Papers. [Full Text][Citation analysis] | paper | 13 |
| 2011 | The Factor--Spline--GARCH Model for High and Low Frequency Correlations.(2011) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | article | |
| 2009 | High and Low Frequency Correlations in Global Equity Markets In: Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 1993 | Common Volatility in International Equity Markets. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 139 |
| 1993 | Testing for Common Features. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 331 |
| 1990 | Testing For Common Features.(1990) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 331 | paper | |
| 1993 | Testing for Common Features: Reply. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 298 |
| 1994 | Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 0 |
| 2002 | Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 1436 |
| 2004 | CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 592 |
| 1999 | CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles.(1999) In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 592 | paper | |
| 2000 | CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 592 | paper | |
| 2005 | A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 32 |
| 2006 | Testing and Valuing Dynamic Correlations for Asset Allocation In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 100 |
| 1991 | Semiparametric ARCH Models. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 198 |
| 2018 | GLOBALIZATION: CONTENTS AND DISCONTENTS In: Contemporary Economic Policy. [Full Text][Citation analysis] | article | 0 |
| 1993 | Measuring and Testing the Impact of News on Volatility. In: Journal of Finance. [Full Text][Citation analysis] | article | 1257 |
| 1991 | Measuring and Testing the Impact of News on Volatility.(1991) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1257 | paper | |
| 2000 | Time and the Price Impact of a Trade In: Journal of Finance. [Full Text][Citation analysis] | article | 219 |
| 1999 | Time and the Price Impact of a Trade.(1999) In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 219 | paper | |
| 1996 | Common Seasonal Features: Global Unemployment. In: Oxford Bulletin of Economics and Statistics. [Citation analysis] | article | 13 |
| 1975 | POLICY PILLS FOR A METROPOLITAN ECONOMY In: Papers in Regional Science. [Full Text][Citation analysis] | article | 0 |
| 1998 | Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 14 |
| 1998 | Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model.(1998) In: CRSP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
| 2000 | Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 31 |
| 2001 | Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 458 |
| 2001 | Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH.(2001) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 458 | paper | |
| 2000 | Impacts of Trades in an Error-Correction Model of Quote Prices In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 64 |
| 2004 | Impacts of trades in an error-correction model of quote prices.(2004) In: Journal of Financial Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 64 | article | |
| 1999 | Modeling 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] | paper | 22 |
| 1999 | Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market.(1999) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
| 1998 | Macroeconomic Announcements and Volatility of Treasury Futures In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 48 |
| 1998 | Trades and Quotes: A Bivariate Point Process In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 48 |
| 2003 | Trades and Quotes: A Bivariate Point Process.(2003) In: Journal of Financial Econometrics. [Citation analysis] This paper has another version. Agregated cites: 48 | article | |
| 1998 | Stochastic Permanent Breaks In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 119 |
| 1999 | Stochastic Permanent Breaks.(1999) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 119 | article | |
| 2007 | A GARCH Option Pricing Model in Incomplete Markets In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2012 | Systemic Risk in Europe In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 30 |
| 2015 | Systemic Risk in Europe.(2015) In: Review of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | article | |
| 1985 | Small-Sample Properties of ARCH Estimators and Tests. In: Canadian Journal of Economics. [Full Text][Citation analysis] | article | 37 |
| 2005 | The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes In: Working Papers. [Full Text][Citation analysis] | paper | 30 |
| 2019 | Hedging Climate Change News In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Hedging Climate Change News.(2019) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2013 | Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 96 |
| 2014 | Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2014) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 96 | paper | |
| 2014 | Testing macroprudential stress tests: The risk of regulatory risk weights.(2014) In: Journal of Monetary Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 96 | article | |
| 2013 | Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2013) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 96 | paper | |
| 1995 | Multivariate Simultaneous Generalized ARCH In: Econometric Theory. [Full Text][Citation analysis] | article | 1487 |
| 2001 | Value at risk models in finance In: Working Paper Series. [Full Text][Citation analysis] | paper | 37 |
| 2003 | Asymmetric dynamics in the correlations of global equity and bond returns In: Working Paper Series. [Full Text][Citation analysis] | paper | 645 |
| 2006 | Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns.(2006) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 645 | article | |
| 1974 | Specification of the Disturbance for Efficient Estimation. In: Econometrica. [Full Text][Citation analysis] | article | 0 |
| 1976 | Some Finite Sample Properties of Spectral Estimators of a Linear Regression. In: Econometrica. [Full Text][Citation analysis] | article | 6 |
| 1973 | Some Finite Sample Properties of Spectral Estimators of a Linear Regression.(1973) In: Working papers. [Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 1976 | Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment. In: Econometrica. [Full Text][Citation analysis] | article | 0 |
| 1978 | Testing Price Equations for Stability across Spectral Frequency Bands. In: Econometrica. [Full Text][Citation analysis] | article | 33 |
| 1982 | Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. In: Econometrica. [Full Text][Citation analysis] | article | 4542 |
| 1987 | Co-integration and Error Correction: Representation, Estimation, and Testing. In: Econometrica. [Full Text][Citation analysis] | article | 6864 |
| 2015 | Co-integration and error correction: Representation, estimation, and testing.(2015) In: Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6864 | article | |
| 1987 | Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model. In: Econometrica. [Full Text][Citation analysis] | article | 667 |
| 1990 | Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market. In: Econometrica. [Full Text][Citation analysis] | article | 398 |
| 1988 | Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market.(1988) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 398 | paper | |
| 1993 | Common Persistence in Conditional Variances. In: Econometrica. [Full Text][Citation analysis] | article | 113 |
| 1998 | Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data In: Econometrica. [Citation analysis] | article | 570 |
| 2000 | The Econometrics of Ultra-High Frequency Data In: Econometrica. [Citation analysis] | article | 182 |
| 1996 | The Econometrics of Ultra-High Frequency Data.(1996) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 182 | paper | |
| 1984 | Combining competing forecasts of inflation using a bivariate arch model In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 48 |
| 1984 | Wald, likelihood ratio, and Lagrange multiplier tests in econometrics In: Handbook of Econometrics. [Full Text][Citation analysis] | chapter | 78 |
| 1986 | Arch models In: Handbook of Econometrics. [Full Text][Citation analysis] | chapter | 118 |
| 2001 | Financial econometrics - A new discipline with new methods In: Journal of Econometrics. [Full Text][Citation analysis] | article | 10 |
| 2006 | The econometrics of macroeconomics, finance, and the interface In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2006 | A multiple indicators model for volatility using intra-daily data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 238 |
| 2003 | A Multiple Indicators Model For Volatility Using Intra-Daily Data..(2003) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 238 | paper | |
| 2003 | A Multiple Indicators Model for Volatility Using Intra-Daily Data.(2003) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 238 | paper | |
| 2006 | A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones In: Journal of Econometrics. [Full Text][Citation analysis] | article | 28 |
| 2011 | A component model for dynamic correlations In: Journal of Econometrics. [Full Text][Citation analysis] | article | 106 |
| 2014 | Priced risk and asymmetric volatility in the cross section of skewness In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2017 | Scenario generation for long run interest rate risk assessment In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 1982 | A general approach to lagrange multiplier model diagnostics In: Journal of Econometrics. [Full Text][Citation analysis] | article | 83 |
| 1983 | Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 141 |
| 1985 | A dymimic model of housing price determination In: Journal of Econometrics. [Full Text][Citation analysis] | article | 14 |
| 1987 | Forecasting and testing in co-integrated systems In: Journal of Econometrics. [Full Text][Citation analysis] | article | 635 |
| 1989 | Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting In: Journal of Econometrics. [Full Text][Citation analysis] | article | 61 |
| 1990 | Seasonal integration and cointegration In: Journal of Econometrics. [Full Text][Citation analysis] | article | 569 |
| 1988 | SEASONAL INTEGRATION AND COINTEGRATION.(1988) In: Pennsylvania State - Department of Economics. [Citation analysis] This paper has another version. Agregated cites: 569 | paper | |
| 1988 | SEASONAL, INTEGRATION AND COINTEGRATION..(1988) In: Pennsylvania State - Department of Economics. [Citation analysis] This paper has another version. Agregated cites: 569 | paper | |
| 1990 | Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills In: Journal of Econometrics. [Full Text][Citation analysis] | article | 303 |
| 1988 | Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills.(1988) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 303 | paper | |
| 1992 | A multi-dynamic-factor model for stock returns In: Journal of Econometrics. [Full Text][Citation analysis] | article | 84 |
| 1992 | Implied ARCH models from options prices In: Journal of Econometrics. [Full Text][Citation analysis] | article | 110 |
| 1993 | The Japanese consumption function In: Journal of Econometrics. [Full Text][Citation analysis] | article | 53 |
| 1993 | Testing superexogeneity and invariance in regression models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 152 |
| 1990 | TESTING SUPER EXOGENEITY AND INVARIANCE IN REGRESSION MODELS..(1990) In: Economics Series Working Papers. [Citation analysis] This paper has another version. Agregated cites: 152 | paper | |
| 1997 | Codependent cycles In: Journal of Econometrics. [Full Text][Citation analysis] | article | 90 |
| 1979 | Residential load curves and time-of-day pricing : An econometric analysis In: Journal of Econometrics. [Full Text][Citation analysis] | article | 8 |
| 1993 | A long memory property of stock market returns and a new model In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 1177 |
| 1997 | Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 87 |
| 1984 | The billing cycle and weather variables in models of electricity sales In: Energy. [Full Text][Citation analysis] | article | 3 |
| 2001 | Predicting VNET: A model of the dynamics of market depth In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 26 |
| 1992 | Where does the meteor shower come from? : The role of stochastic policy coordination In: Journal of International Economics. [Full Text][Citation analysis] | article | 39 |
| 1990 | Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination.(1990) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | paper | |
| 1997 | Shorte-run forecasts of electricity loads and peaks In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 90 |
| 2002 | Empirical pricing kernels In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 203 |
| 2000 | Empirical Pricing Kernels.(2000) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] This paper has another version. Agregated cites: 203 | paper | |
| 1994 | Hourly volatility spillovers between international equity markets In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 158 |
| 1974 | Issues in the specification of an econometric model of metropolitan growth, In: Journal of Urban Economics. [Full Text][Citation analysis] | article | 0 |
| 1973 | Issues in the Specification of an Econometric Model of Metropolitan Growth.(1973) In: Working papers. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 1987 | Transportation costs and the rent gradient In: Journal of Urban Economics. [Full Text][Citation analysis] | article | 13 |
| 1992 | On the theory of growth controls In: Journal of Urban Economics. [Full Text][Citation analysis] | article | 34 |
| 1979 | Estimation of the price elasticity of demand facing metropolitan producers In: Journal of Urban Economics. [Full Text][Citation analysis] | article | 1 |
| 1975 | Estimation of the Price Elasticity of Demand Facing Metropolitan Producers.(1975) In: Working papers. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 1995 | Estimating common sectoral cycles In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 71 |
| 2010 | The intertemporal capital asset pricing model with dynamic conditional correlations In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 61 |
| 1992 | On the determination of regional base and regional base multipliers In: Regional Science and Urban Economics. [Full Text][Citation analysis] | article | 20 |
| 1994 | Estimating sectoral cycles using cointegration and common features In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] | paper | 9 |
| 1993 | Estimating Sectoral Cycles Using Cointegration and Common Features.(1993) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 1993 | Common trends and common cycles in Latin America In: Revista Brasileira de Economia - RBE. [Full Text][Citation analysis] | article | 65 |
| 2018 | Liquidity and volatility in the U.S. treasury market In: Staff Reports. [Full Text][Citation analysis] | paper | 10 |
| 2006 | Vector Multiplicative Error Models: Representation and Inference In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 22 |
| 2006 | Vector Multiplicative Error Models: Representation and Inference.(2006) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
| 2006 | Vector Multiplicative Error Models: Representation and Inference.(2006) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
| 2007 | A Model for Multivariate Non-negative Valued Processes in Financial Econometrics In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 20 |
| 2008 | A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 10 |
| 2009 | Semiparametric vector MEM In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 19 |
| 2013 | SEMIPARAMETRIC VECTOR MEM.(2013) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | article | |
| 2017 | Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity.(2017) In: Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 1988 | METEOR SHOWERS OR HEAT WAGES? HETEROSKEDASTIC INTRA-DAILY VOLATILITY IN A THE FOREIGN EXCHANGE MARKET. In: Minnesota - Center for Economic Research. [Citation analysis] | paper | 2 |
| 1966 | Testing the Volatility Term Structure Using Option Hedging Criteria In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Citation analysis] | paper | 12 |
| 1998 | Testing the Volatility Term Structure using Option Hedging Criteria.(1998) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 1989 | COINTEGRATED ECONOMIC TIME SERIES: A SURVEY WITH NEW RESULTS. In: Pennsylvania State - Department of Economics. [Citation analysis] | paper | 16 |
| 2006 | GARCH Options in Incomplete Markets In: CEI Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 1974 | Band Spectrum Regression. In: International Economic Review. [Full Text][Citation analysis] | article | 109 |
| 1972 | Band Spectrum Regressions.(1972) In: Working papers. [Citation analysis] This paper has another version. Agregated cites: 109 | paper | |
| 1975 | An Asset Price Model of Aggregate Investment. In: International Economic Review. [Full Text][Citation analysis] | article | 16 |
| 1980 | Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions. In: International Economic Review. [Full Text][Citation analysis] | article | 8 |
| 2002 | New frontiers for arch models In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 235 |
| 1993 | Common Trends and Common Cycles. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 250 |
| 2013 | Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1983 | Estimates of the Variance of U.S. Inflation Based upon the ARCH Model. In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 102 |
| 1988 | Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: Reply. In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 2 |
| 1993 | Time-Varying Volatility and the Dynamic Behavior of the Term Structure. In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 46 |
| 1991 | Time-Varying Volatility and the Dynamic Behavior of the Term Structure.(1991) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 46 | paper | |
| 1973 | De Facto Discrimination in Residential Assessments: Boston In: Working papers. [Citation analysis] | paper | 0 |
| 1973 | A Disequilibrium Model of Regional Investment In: Working papers. [Citation analysis] | paper | 0 |
| 1974 | Testing Price Equations for Stability Across Frequencies In: Working papers. [Citation analysis] | paper | 0 |
| 1975 | Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area In: Working papers. [Citation analysis] | paper | 2 |
| 1970 | The Inconsistency of Distributed Lag Estimators Due to Misspecification by Time Aggregation In: Working papers. [Citation analysis] | paper | 0 |
| 1971 | The Specification of the Disturbance for Efficient Estimation In: Working papers. [Citation analysis] | paper | 0 |
| 1972 | A Supply Function Model of Aggregate Investment In: Working papers. [Citation analysis] | paper | 1 |
| 1976 | Interpreting Spectral Analyses in Terms of Time-Domain Models In: NBER Chapters. [Full Text][Citation analysis] | chapter | 1 |
| 1974 | Interpreting Spectral Analyses in Terms of Time-Domain Models.(1974) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 1980 | Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic In: NBER Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 1972 | Effects of Aggregation Over Time on Dynamic Characteristics of an Econometric Model In: NBER Chapters. [Full Text][Citation analysis] | chapter | 12 |
| 1979 | Estimating Structural Models of Seasonality In: NBER Chapters. [Full Text][Citation analysis] | chapter | 13 |
| 1978 | Estimating Structural Models of Seasonality.(1978) In: NBER Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | chapter | |
| 1977 | Simultaneous Estimation of the Supply and Demand for Housing Location in a Multizoned Metropolitan Area In: NBER Chapters. [Full Text][Citation analysis] | chapter | 1 |
| 2006 | Execution Risk In: NBER Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 1990 | Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share In: NBER Working Papers. [Full Text][Citation analysis] | paper | 13 |
| 1990 | Valuation of Variance Forecast with Simulated Option Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 47 |
| 1991 | Measuring Risk Aversion From Excess Returns on a Stock Index In: NBER Working Papers. [Full Text][Citation analysis] | paper | 57 |
| 1993 | Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts In: NBER Working Papers. [Full Text][Citation analysis] | paper | 24 |
| 1993 | A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts In: NBER Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 1994 | Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models In: NBER Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 1994 | Forecasting Transaction Rates: The Autoregressive Conditional Duration Model In: NBER Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 1995 | GARCH Gamma In: NBER Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 1997 | Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market In: NBER Working Papers. [Full Text][Citation analysis] | paper | 16 |
| 1997 | Option Hedging Using Empirical Pricing Kernels In: NBER Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 1999 | Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks In: NBER Working Papers. [Full Text][Citation analysis] | paper | 32 |
| 1999 | CAViaR: Conditional Value at Risk by Quantile Regression In: NBER Working Papers. [Full Text][Citation analysis] | paper | 25 |
| 2014 | Structural GARCH: The Volatility-Leverage Connection In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Structural GARCH: The Volatility-Leverage Connection.(2018) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| Forecasting intraday volatility in the US equity market. Multiplicative component GARCH In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 | |
| 2016 | Dynamic Conditional Beta In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 12 |
| 2008 | Time-Varying Arrival Rates of Informed and Uninformed Trades In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 65 |
| 2002 | Time-Varying Arrival Rates of Informed and Uninformed Trades.(2002) In: Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 65 | paper | |
| 2010 | Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
| 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 | 277 |
| 2008 | A GARCH Option Pricing Model with Filtered Historical Simulation In: Review of Financial Studies. [Full Text][Citation analysis] | article | 59 |
| 2017 | SRISK: A Conditional Capital Shortfall Measure of Systemic Risk In: Review of Financial Studies. [Full Text][Citation analysis] | article | 53 |
| 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: 53 | paper | |
| 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 | 301 |
| 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 | 149 |
| 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 | 47 |
| 2013 | Stock Market Volatility and Macroeconomic Fundamentals In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 112 |
| 1988 | A Capital Asset Pricing Model with Time-Varying Covariances. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 1089 |
| 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 | 15 |
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