Robert F. Engle : Citation Profile

Are you Robert F. Engle?

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

57

H index

105

i10 index

27519

Citations

RESEARCH PRODUCTION:

104

Articles

100

Papers

9

Chapters

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   52 years (1966 - 2018). See details.
   Cites by year: 529
   Journals where Robert F. Engle has often published
   Relations with other researchers
   Recent citing documents: 1921.    Total self citations: 68 (0.25 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pen9
   Updated: 2018-08-18    RAS profile: 2018-06-07    
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Relations with other researchers

Works with:

Gallo, Giampiero (5)

Pierret, Diane (4)

Cipollini, Fabrizio (4)

Brownlees, Christian (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Robert F. Engle.

Is cited by:

McAleer, Michael (829)

Chang, Chia-Lin (300)

Caporin, Massimiliano (251)

Diebold, Francis (197)

Bollerslev, Tim (184)

Issler, João (172)

Christoffersen, Peter (153)

Guillén, Osmani (148)

Shahbaz, Muhammad (124)

Hafner, Christian (123)

Hecq, Alain (123)

Cites to:

Bollerslev, Tim (82)

Campbell, John (38)

Diebold, Francis (37)

Schwert, G. (28)

Gallo, Giampiero (23)

French, Kenneth (22)

Andersen, Torben (19)

Jagannathan, Ravi (19)

Bekaert, Geert (18)

Chou, Ray (17)

pagan, adrian (17)

Main data

Where Robert F. Engle has published?

Journals with more than one article published# docs
Journal of Econometrics20
Econometrica12
Journal of Business & Economic Statistics9
Journal of Financial Econometrics7
Review of Financial Studies5
Journal of Urban Economics4
The Review of Economics and Statistics4
International Economic Review3
American Economic Review3
Journal of Money, Credit and Banking3
Journal of Monetary Economics3
Journal of Finance2
Quantitative Finance2
Journal of Empirical Finance2
Journal of Business & Economic Statistics2
Journal of Financial Markets2
Review of Finance2
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego10
Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"7
Working Paper Series / European Central Bank2
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2
Economics Series Working Papers / University of Oxford, Department of Economics2
The Warwick Economics Research Paper Series (TWERPS) / University of Warwick, Department of Economics2
Papers / arXiv.org2
Working Papers / Banco de Mxico2

Recent works citing Robert F. Engle (2018 and 2017)

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

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

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2017The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment. (2017). Tabor, Morten ; Johansen, Soren ; Rahbek, Anders ; Frydman, Roman . In: CREATES Research Papers. RePEc:aah:create:2017-23.

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2017Consistency 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.

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2017Modelling and forecasting WIG20 daily returns. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-29.

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2017Long- 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.

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2017Identification 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.

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2018Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation. (2018). Christiansen, Charlotte ; Jun, AI ; Asgharian, Hossein. In: CREATES Research Papers. RePEc:aah:create:2018-12.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2017The 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 Sencer ; 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.

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2018Volatility Spillover among Equity Indices and Crude Oil Prices: Evidence from Islamic Markets امتداد التقلب بين مؤشرات الأسهم وأسعار النفط الخام: شواهد . (2018). Majdoub, Jihed ; Arrak, Islem ; Mansour, Walid. In: Articles published in the Journal of King Abdulaziz University: Islamic Economics.. RePEc:abd:kauiea:v:31:y:2018:i:1:p:27-45.

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2018Working Paper 306 - Asymmetric Price Transmission of Rice in Togo. (2018). Afdb, Afdb. In: Working Paper Series. RePEc:adb:adbwps:2427.

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2017Microeconomic Origins of Macroeconomic Tail Risks. (2017). Tahbaz-Salehi, Alireza ; Acemoglu, Daron ; Ozdaglar, Asuman. In: American Economic Review. RePEc:aea:aecrev:v:107:y:2017:i:1:p:54-108.

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2017The Substitution Elasticity, Factor Shares, and the Low-Frequency Panel Model. (2017). Mallick, Debdulal ; Chirinko, Bob. In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:9:y:2017:i:4:p:225-53.

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2017Managing Energy Price Risk using Futures Contracts: A Comparative Analysis. (2017). Hanly, Jim . In: The Energy Journal. RePEc:aen:journl:ej38-3-hanly.

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2018Asian 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.

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2017Export Instability and Economic Growth in Nigeria: A Time Series Analysis. (2017). Oladipo, Olajide S. In: Research Papers. RePEc:aer:rpaper:rp_322.

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2017Prix du blé, régulations et croissance économique : L’analyse cliométrique permet-elle de trancher le débat sur les bleds des années 1750 ?. (2017). Boyer, Jean-Daniel ; Rivot, Sylvie ; Jaoul-Grammare, Magali. In: Working Papers. RePEc:afc:wpaper:11-17.

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2017Spatial contagion between stock markets in Central Europe. (2017). Wójtowicz, Tomasz ; Wojtowicz, Tomasz ; Czapkiewicz, Anna. In: Managerial Economics. RePEc:agh:journl:v:18:y:2017:i:1:p:23-46.

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2017MIDAS models in banking sector – systemic risk comparison. (2017). Mestel, Roland ; Gurgul, Henryk ; Syrek, Robert. In: Managerial Economics. RePEc:agh:journl:v:18:y:2017:i:2:p:165-181.

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2018Macroeconomic 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.

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2018Macroprudential stability indicators of financial systems: Analysis of Bosnia and Herzegovina and Croatia. (2018). Kasumovi, Merim ; Mei, Mirna. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(614):y:2018:i:1(614):p:41-54.

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

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2017Examination of asymmetric supply response in the U.S. livestock industry. (2017). Yoon, Jongyeol ; Brown, Scott . In: 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama. RePEc:ags:saea17:252779.

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2018BRICS 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.

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2018INFLATION 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.

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

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2017Impact of Monetary Policy on Capital Inflows in Nigeria. (2017). Nwokoye, Ebele S ; Oniore, Jonathan O. In: Business, Management and Economics Research. RePEc:arp:bmerar:2017:p:192-200.

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2017Impact of Index Options on Emerging Market Volatility: The Case of the Malaysian Equity Market. (2017). Mohibul, MD ; Islam, Anisul M. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2017:p:157--172.

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2017Tests of Efficiency in the Foreign Exchange Market. (2017). Kallianiotis, Ioannis N. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2017:p:218-239.

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2017How Stable is the Money Demand in Taiwan?. (2017). Shieh, Chen-Huan ; Lee, Chung-Ching ; Liu, Shou-Hsiang . In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2017:p:54-64.

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2018Real 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.

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2018Modeling 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.

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2018Bank 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.

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2017Russian-Doll Risk Models. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1412.4342.

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2017Nonparametric estimates of pricing functionals. (2017). d'Addona, Stefano ; Marinelli, Carlo . In: Papers. RePEc:arx:papers:1506.06568.

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

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

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

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

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

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

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

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2017Combining Dimension Reduction, Distance Measures and Covariance. (2017). Kashyap, Ravi . In: Papers. RePEc:arx:papers:1603.09060.

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2017Evidence of Self-Organization in Time Series of Capital Markets. (2017). , Leopoldo ; Garc, Alba Lucero ; Morales-Matamoros, Oswaldo ; Soto-Campos, Carlos Arturo . In: Papers. RePEc:arx:papers:1604.03996.

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2017Quantile 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.

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

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

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2018A String Model of Liquidity in Financial Markets. (2018). Schellhorn, Henry ; Zhao, Ran . In: Papers. RePEc:arx:papers:1608.05900.

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2018Multivariate Garch with dynamic beta. (2018). Raddant, Matthias ; Wagner, Friedrich . In: Papers. RePEc:arx:papers:1609.07051.

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

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2018Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1701.01185.

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

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

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

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

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2017Interconnectedness in the Global Financial Market. (2017). Raddant, Matthias ; Kenett, Dror Y. In: Papers. RePEc:arx:papers:1704.01028.

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2017The Wandering of Corn. (2017). Salov, Valerii . In: Papers. RePEc:arx:papers:1704.01179.

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2017A Joint Quantile and Expected Shortfall Regression Framework. (2017). Dimitriadis, Timo ; Bayer, Sebastian. In: Papers. RePEc:arx:papers:1704.02213.

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2017A note on the Nelson Cao inequality constraints in the GJR-GARCH model: Is there a leverage effect?. (2017). Stavroyiannis, Stavros. In: Papers. RePEc:arx:papers:1705.00535.

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2017Wealth dynamics in a sentiment-driven market. (2017). Goykhman, Mikhail . In: Papers. RePEc:arx:papers:1705.07092.

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2018Optimal Portfolio under Fast Mean-reverting Fractional Stochastic Environment. (2018). Fouque, Jean-Pierre ; Hu, Ruimeng . In: Papers. RePEc:arx:papers:1706.03139.

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2017General Compound Hawkes Processes in Limit Order Books. (2017). Swishchuk, Anatoliy. In: Papers. RePEc:arx:papers:1706.07459.

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2017Dynamic Quantile Function Models. (2017). Ye, Wilson ; Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W. In: Papers. RePEc:arx:papers:1707.02587.

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2017Bayesian 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.

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2017Dynamic 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.

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2017Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets. (2017). , . In: Papers. RePEc:arx:papers:1707.05552.

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2017Sequence Classification of the Limit Order Book using Recurrent Neural Networks. (2017). Dixon, Matthew F. In: Papers. RePEc:arx:papers:1707.05642.

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2017Ether: Bitcoins competitor or ally?. (2017). Selmi, Refk ; bouoiyour, jamal. In: Papers. RePEc:arx:papers:1707.07977.

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2018Spectral backtests of forecast distributions with application to risk management. (2018). Gordy, Michael B ; McNeil, Alexander J ; Lok, Hsiao Yen . In: Papers. RePEc:arx:papers:1708.01489.

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2017Dynamic 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.

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2017Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587.

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2017Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. (2017). Baruník, Jozef ; Cech, Frantisek . In: Papers. RePEc:arx:papers:1708.08622.

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2017Time-Varying Extreme Value Dependence with Application to Leading European Stock Markets. (2017). de Carvalho, Miguel ; Wadsworth, Jennifer ; Camilo, Daniela Castro . In: Papers. RePEc:arx:papers:1709.01198.

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2018Testing 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.

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2018Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2018). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296.

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2017A Justification of Conditional Confidence Intervals. (2017). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1710.00643.

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2017A High Frequency Trade Execution Model for Supervised Learning. (2017). Dixon, Matthew F. In: Papers. RePEc:arx:papers:1710.03870.

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2017Measuring Price Discovery between Nearby and Deferred Contracts in Storable and Non-Storable Commodity Futures Markets. (2017). serra, teresa ; Hu, Zhepeng ; Garcia, Philip ; Mallory, Mindy. In: Papers. RePEc:arx:papers:1711.03506.

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2017A simple model for forecasting conditional return distributions. (2017). Baruník, Jozef ; Anatolyev, Stanislav. In: Papers. RePEc:arx:papers:1711.05681.

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2017A Neural Stochastic Volatility Model. (2017). Luo, Rui ; Wang, Jun ; Xu, Xiaojun ; Zhang, Weinan. In: Papers. RePEc:arx:papers:1712.00504.

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2017A nonparametric copula approach to conditional Value-at-Risk. (2017). Geenens, Gery ; Dunn, Richard . In: Papers. RePEc:arx:papers:1712.05527.

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2017Trading Strategies with Position Limits. (2017). Salov, Valerii . In: Papers. RePEc:arx:papers:1712.07649.

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2018Is there a housing bubble in China. (2018). Zhi, Tianhao ; Sornette, Didier ; Wei, Lijian ; Jiang, Zhiqiang ; Li, Zhongfei. In: Papers. RePEc:arx:papers:1801.03678.

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2018Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2018). Crisóstomo, Ricardo ; Couso, Lorena. In: Papers. RePEc:arx:papers:1801.08007.

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2018The Power of Trading Polarity: Evidence from China Stock Market Crash. (2018). Lu, Shan ; Wang, Huiwen ; Zhao, Jichang. In: Papers. RePEc:arx:papers:1802.01143.

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2018Matching distributions: Recovery of implied physical densities from option prices. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1803.03996.

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2018Theoretical and empirical analysis of trading activity. (2018). Pohl, Mathias ; Tangpi, Ludovic ; Schachermayer, Walter ; Ristig, Alexander . In: Papers. RePEc:arx:papers:1803.04892.

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2018A 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.

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2018Bi-Demographic Changes and Current Account using SVAR Modeling. (2018). Ghassan, Hassan ; Balli, Faruk ; Al-Hajhoj, Hassan R. In: Papers. RePEc:arx:papers:1803.11161.

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2018Statistical inference for autoregressive models under heteroscedasticity of unknown form. (2018). Zhu, KE. In: Papers. RePEc:arx:papers:1804.02348.

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2018Conditional heteroskedasticity in crypto-asset returns. (2018). Shaw, Charles. In: Papers. RePEc:arx:papers:1804.07978.

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2018New HSIC-based tests for independence between two stationary multivariate time series. (2018). Wang, Guochang ; Zhu, KE ; Li, Wai Keung. In: Papers. RePEc:arx:papers:1804.09866.

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2018Improving Value-at-Risk prediction under model uncertainty. (2018). Yang, Shuzhen ; Yao, Jianfeng. In: Papers. RePEc:arx:papers:1805.03890.

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2018Model Selection in Time Series Analysis: Using Information Criteria as an Alternative to Hypothesis Testing. (2018). Hatemi-J, Abdulnasser ; Hacker, Scott R. In: Papers. RePEc:arx:papers:1805.08991.

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2018Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures. (2018). Perron, Pierre ; Kim, Dukpa ; Estrada, Francisco ; Oka, Tatsushi. In: Papers. RePEc:arx:papers:1805.09937.

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2018Power-law cross-correlations: Issues, solutions and future challenges. (2018). Krištoufek, Ladislav ; Kristoufek, Ladislav. In: Papers. RePEc:arx:papers:1806.01616.

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2018State and Network Structures of Stock Markets around the Global Financial Crisis. (2018). Lee, Jaewoo ; Nobi, Ashadun. In: Papers. RePEc:arx:papers:1806.04363.

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2018LASSO-Driven Inference in Time and Space. (2018). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen ; Hardle, Wolfgang K. In: Papers. RePEc:arx:papers:1806.05081.

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2018Tail Risks, Asset prices, and Investment Horizons. (2018). Baruník, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148.

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2018A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Wang, Chao ; Chen, Qian ; Gerlach, Richard. In: Papers. RePEc:arx:papers:1807.02422.

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Robert F. Engle has edited the books:

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Works by Robert F. Engle:

YearTitleTypeCited
2012And Now, The Rest of the News: Volatility and Firm Specific News Arrival In: CREATES Research Papers.
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2012Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks In: American Economic Review.
[Full Text][Citation analysis]		article151
1972An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government. In: American Economic Review.
[Citation analysis]		article1
2004Risk and Volatility: Econometric Models and Financial Practice In: American Economic Review.
[Full Text][Citation analysis]		article106
2003Risk and Volatility: Econometric Models and Financial Practice.(2003) In: Nobel Prize in Economics documents.
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2001GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics In: Journal of Economic Perspectives.
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2010The Underlying Dynamics of Credit Correlations In: Papers.
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2016Copula--based Specification of vector MEMs In: Papers.
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2016Copula--based Specification of vector MEMs.(2016) In: Econometrics Working Papers Archive.
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1991Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns. In: Working papers.
[Citation analysis]		paper8
1992Do Bulls and Bears Move Acoross Borders: International Transimission of Stock Returns and Volatility as the World Turns.(1992) In: Discussion Paper Series.
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1991Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns.(1991) In: NBER Working Papers.
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2009The Factor-Spline-GARCH Model for High and Low Frequency Correlations In: Working Papers.
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2011The Factor--Spline--GARCH Model for High and Low Frequency Correlations.(2011) In: Journal of Business & Economic Statistics.
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2009High and Low Frequency Correlations in Global Equity Markets In: Working Papers.
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1993Common Volatility in International Equity Markets. In: Journal of Business & Economic Statistics.
[Citation analysis]		article126
1993Testing for Common Features. In: Journal of Business & Economic Statistics.
[Citation analysis]		article313
1990Testing For Common Features.(1990) In: NBER Technical Working Papers.
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1993Testing for Common Features: Reply. In: Journal of Business & Economic Statistics.
[Citation analysis]		article280
1994Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]		article0
2002Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article1259
2004CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles In: Journal of Business & Economic Statistics.
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1999CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles.(1999) In: University of California at San Diego, Economics Working Paper Series.
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2000CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2005A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model In: Journal of Business & Economic Statistics.
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2006Testing and Valuing Dynamic Correlations for Asset Allocation In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article86
1991Semiparametric ARCH Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article186
2018GLOBALIZATION: CONTENTS AND DISCONTENTS In: Contemporary Economic Policy.
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1993 Measuring and Testing the Impact of News on Volatility. In: Journal of Finance.
[Full Text][Citation analysis]		article1146
1991Measuring and Testing the Impact of News on Volatility.(1991) In: NBER Working Papers.
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2000Time and the Price Impact of a Trade In: Journal of Finance.
[Full Text][Citation analysis]		article198
1999Time and the Price Impact of a Trade.(1999) In: University of California at San Diego, Economics Working Paper Series.
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1996Common Seasonal Features: Global Unemployment. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]		article13
1998Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper14
1998Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model.(1998) In: CRSP working papers.
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2000Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models In: University of California at San Diego, Economics Working Paper Series.
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2001Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH In: University of California at San Diego, Economics Working Paper Series.
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2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH.(2001) In: NBER Working Papers.
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2000Impacts 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]		paper59
2004Impacts of trades in an error-correction model of quote prices.(2004) In: Journal of Financial Markets.
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1999Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper20
1999Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market.(1999) In: NBER Working Papers.
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1998Macroeconomic Announcements and Volatility of Treasury Futures In: University of California at San Diego, Economics Working Paper Series.
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1998Trades and Quotes: A Bivariate Point Process In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper44
2003Trades and Quotes: A Bivariate Point Process.(2003) In: Journal of Financial Econometrics.
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1998Stochastic Permanent Breaks In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper114
1999Stochastic Permanent Breaks.(1999) In: The Review of Economics and Statistics.
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2007A GARCH Option Pricing Model in Incomplete Markets In: Swiss Finance Institute Research Paper Series.
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Systemic Risk in Europe In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper18
2015Systemic Risk in Europe.(2015) In: Review of Finance.
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1985Small-Sample Properties of ARCH Estimators and Tests. In: Canadian Journal of Economics.
[Full Text][Citation analysis]		article35
2005The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes In: Working Papers.
[Full Text][Citation analysis]		paper30
1983Exogeneity In: CORE Discussion Papers RP.
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1983Exogeneity..(1983) In: Econometrica.
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1979Exogeneity.(1979) In: The Warwick Economics Research Paper Series (TWERPS).
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2013Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights In: CEPR Discussion Papers.
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2014Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2014) In: CEPR Discussion Papers.
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2014Testing macroprudential stress tests: The risk of regulatory risk weights.(2014) In: Journal of Monetary Economics.
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2013Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2013) In: NBER Working Papers.
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1995Multivariate Simultaneous Generalized ARCH In: Econometric Theory.
[Full Text][Citation analysis]		article1342
2001Value at risk models in finance In: Working Paper Series.
[Full Text][Citation analysis]		paper50
2003Asymmetric dynamics in the correlations of global equity and bond returns In: Working Paper Series.
[Full Text][Citation analysis]		paper574
2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns.(2006) In: Journal of Financial Econometrics.
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1974Specification of the Disturbance for Efficient Estimation. In: Econometrica.
[Full Text][Citation analysis]		article0
1976Some Finite Sample Properties of Spectral Estimators of a Linear Regression. In: Econometrica.
[Full Text][Citation analysis]		article5
1973Some Finite Sample Properties of Spectral Estimators of a Linear Regression.(1973) In: Working papers.
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1976Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment. In: Econometrica.
[Full Text][Citation analysis]		article0
1978Testing Price Equations for Stability across Spectral Frequency Bands. In: Econometrica.
[Full Text][Citation analysis]		article31
1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. In: Econometrica.
[Full Text][Citation analysis]		article3997
1987Co-integration and Error Correction: Representation, Estimation, and Testing. In: Econometrica.
[Full Text][Citation analysis]		article6098
2015Co-integration and error correction: Representation, estimation, and testing.(2015) In: Applied Econometrics.
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1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model. In: Econometrica.
[Full Text][Citation analysis]		article608
1990Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market. In: Econometrica.
[Full Text][Citation analysis]		article358
1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market.(1988) In: NBER Working Papers.
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1993Common Persistence in Conditional Variances. In: Econometrica.
[Full Text][Citation analysis]		article109
1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data In: Econometrica.
[Citation analysis]		article519
2000The Econometrics of Ultra-High Frequency Data In: Econometrica.
[Citation analysis]		article169
1996The Econometrics of Ultra-High Frequency Data.(1996) In: NBER Working Papers.
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1984Combining competing forecasts of inflation using a bivariate arch model In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article41
1984Wald, likelihood ratio, and Lagrange multiplier tests in econometrics In: Handbook of Econometrics.
[Full Text][Citation analysis]		chapter74
1986Arch models In: Handbook of Econometrics.
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2001Financial econometrics - A new discipline with new methods In: Journal of Econometrics.
[Full Text][Citation analysis]		article9
2006The econometrics of macroeconomics, finance, and the interface In: Journal of Econometrics.
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2006A multiple indicators model for volatility using intra-daily data In: Journal of Econometrics.
[Full Text][Citation analysis]		article222
2003A Multiple Indicators Model For Volatility Using Intra-Daily Data..(2003) In: Econometrics Working Papers Archive.
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2003A Multiple Indicators Model for Volatility Using Intra-Daily Data.(2003) In: NBER Working Papers.
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2006A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones In: Journal of Econometrics.
[Full Text][Citation analysis]		article23
2011A component model for dynamic correlations In: Journal of Econometrics.
[Full Text][Citation analysis]		article89
2014Priced risk and asymmetric volatility in the cross section of skewness In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2017Scenario generation for long run interest rate risk assessment In: Journal of Econometrics.
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1982A general approach to lagrange multiplier model diagnostics In: Journal of Econometrics.
[Full Text][Citation analysis]		article69
1983Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models In: Journal of Econometrics.
[Full Text][Citation analysis]		article129
1985A dymimic model of housing price determination In: Journal of Econometrics.
[Full Text][Citation analysis]		article14
1987Forecasting and testing in co-integrated systems In: Journal of Econometrics.
[Full Text][Citation analysis]		article593
1989Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting In: Journal of Econometrics.
[Full Text][Citation analysis]		article61
1990Seasonal integration and cointegration In: Journal of Econometrics.
[Full Text][Citation analysis]		article536
1988SEASONAL INTEGRATION AND COINTEGRATION.(1988) In: Pennsylvania State - Department of Economics.
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1988SEASONAL, INTEGRATION AND COINTEGRATION..(1988) In: Pennsylvania State - Department of Economics.
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1990Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills In: Journal of Econometrics.
[Full Text][Citation analysis]		article282
1988Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills.(1988) In: NBER Technical Working Papers.
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1992A multi-dynamic-factor model for stock returns In: Journal of Econometrics.
[Full Text][Citation analysis]		article78
1992Implied ARCH models from options prices In: Journal of Econometrics.
[Full Text][Citation analysis]		article107
1993The Japanese consumption function In: Journal of Econometrics.
[Full Text][Citation analysis]		article49
1993Testing superexogeneity and invariance in regression models In: Journal of Econometrics.
[Full Text][Citation analysis]		article147
1990TESTING SUPER EXOGENEITY AND INVARIANCE IN REGRESSION MODELS..(1990) In: Economics Series Working Papers.
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1997Codependent cycles In: Journal of Econometrics.
[Full Text][Citation analysis]		article90
1979Residential load curves and time-of-day pricing : An econometric analysis In: Journal of Econometrics.
[Full Text][Citation analysis]		article8
1993A long memory property of stock market returns and a new model In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article1081
1997Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article83
1984The billing cycle and weather variables in models of electricity sales In: Energy.
[Full Text][Citation analysis]		article3
2001Predicting VNET: A model of the dynamics of market depth In: Journal of Financial Markets.
[Full Text][Citation analysis]		article22
1992Where does the meteor shower come from? : The role of stochastic policy coordination In: Journal of International Economics.
[Full Text][Citation analysis]		article35
1990Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination.(1990) In: NBER Working Papers.
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1997Shorte-run forecasts of electricity loads and peaks In: International Journal of Forecasting.
[Full Text][Citation analysis]		article83
2002Empirical pricing kernels In: Journal of Financial Economics.
[Full Text][Citation analysis]		article193
2000Empirical Pricing Kernels.(2000) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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1994Hourly volatility spillovers between international equity markets In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article150
1974Issues in the specification of an econometric model of metropolitan growth, In: Journal of Urban Economics.
[Full Text][Citation analysis]		article0
1973Issues in the Specification of an Econometric Model of Metropolitan Growth.(1973) In: Working papers.
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1987Transportation costs and the rent gradient In: Journal of Urban Economics.
[Full Text][Citation analysis]		article10
1992On the theory of growth controls In: Journal of Urban Economics.
[Full Text][Citation analysis]		article30
1979Estimation of the price elasticity of demand facing metropolitan producers In: Journal of Urban Economics.
[Full Text][Citation analysis]		article1
1975Estimation of the Price Elasticity of Demand Facing Metropolitan Producers.(1975) In: Working papers.
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1995Estimating common sectoral cycles In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article67
2010The intertemporal capital asset pricing model with dynamic conditional correlations In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article54
1992On the determination of regional base and regional base multipliers In: Regional Science and Urban Economics.
[Full Text][Citation analysis]		article18
1994Estimating sectoral cycles using cointegration and common features In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
[Full Text][Citation analysis]		paper9
1993Estimating Sectoral Cycles Using Cointegration and Common Features.(1993) In: NBER Working Papers.
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1993Common trends and common cycles in Latin America In: Revista Brasileira de Economia - RBE.
[Full Text][Citation analysis]		article59
2012Liquidity, volatility, and flights to safety in the U.S. treasury market: evidence from a new class of dynamic order book models In: Staff Reports.
[Full Text][Citation analysis]		paper10
2006Vector Multiplicative Error Models: Representation and Inference In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]		paper20
2006Vector Multiplicative Error Models: Representation and Inference.(2006) In: NBER Technical Working Papers.
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2006Vector Multiplicative Error Models: Representation and Inference.(2006) In: NBER Working Papers.
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2007A Model for Multivariate Non-negative Valued Processes in Financial Econometrics In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]		paper19
2008A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]		paper9
2009Semiparametric vector MEM In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]		paper15
2013SEMIPARAMETRIC VECTOR MEM.(2013) In: Journal of Applied Econometrics.
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2017Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]		paper1
2017Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity.(2017) In: Econometrics.
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1988METEOR SHOWERS OR HEAT WAGES? HETEROSKEDASTIC INTRA-DAILY VOLATILITY IN A THE FOREIGN EXCHANGE MARKET. In: Minnesota - Center for Economic Research.
[Citation analysis]		paper2
1966Testing the Volatility Term Structure Using Option Hedging Criteria In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Citation analysis]		paper12
1998Testing the Volatility Term Structure using Option Hedging Criteria.(1998) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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1989COINTEGRATED ECONOMIC TIME SERIES: A SURVEY WITH NEW RESULTS. In: Pennsylvania State - Department of Economics.
[Citation analysis]		paper15
2006GARCH Options in Incomplete Markets In: CEI Working Paper Series.
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1974Band Spectrum Regression. In: International Economic Review.
[Full Text][Citation analysis]		article102
1972Band Spectrum Regressions.(1972) In: Working papers.
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1975An Asset Price Model of Aggregate Investment. In: International Economic Review.
[Full Text][Citation analysis]		article15
1980Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions. In: International Economic Review.
[Full Text][Citation analysis]		article8
2002New frontiers for arch models In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article216
1993Common Trends and Common Cycles. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article244
2013Dynamic 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]		paper0
1983Estimates of the Variance of U.S. Inflation Based upon the ARCH Model. In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]		article91
1988Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: Reply. In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]		article2
1993Time-Varying Volatility and the Dynamic Behavior of the Term Structure. In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]		article42
1991Time-Varying Volatility and the Dynamic Behavior of the Term Structure.(1991) In: NBER Working Papers.
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1973De Facto Discrimination in Residential Assessments: Boston In: Working papers.
[Citation analysis]		paper0
1973A Disequilibrium Model of Regional Investment In: Working papers.
[Citation analysis]		paper0
1974Testing Price Equations for Stability Across Frequencies In: Working papers.
[Citation analysis]		paper0
1975Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area In: Working papers.
[Citation analysis]		paper2
1970The Inconsistency of Distributed Lag Estimators Due to Misspecification by Time Aggregation In: Working papers.
[Citation analysis]		paper0
1971The Specification of the Disturbance for Efficient Estimation In: Working papers.
[Citation analysis]		paper0
1972A Supply Function Model of Aggregate Investment In: Working papers.
[Citation analysis]		paper1
1976Interpreting Spectral Analyses in Terms of Time-Domain Models In: NBER Chapters.
[Full Text][Citation analysis]		chapter1
1974Interpreting Spectral Analyses in Terms of Time-Domain Models.(1974) In: NBER Working Papers.
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1980Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic In: NBER Chapters.
[Full Text][Citation analysis]		chapter0
1972Effects of Aggregation Over Time on Dynamic Characteristics of an Econometric Model In: NBER Chapters.
[Full Text][Citation analysis]		chapter12
1979Estimating Structural Models of Seasonality In: NBER Chapters.
[Full Text][Citation analysis]		chapter13
1978Estimating Structural Models of Seasonality.(1978) In: NBER Chapters.
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1977Simultaneous Estimation of the Supply and Demand for Housing Location in a Multizoned Metropolitan Area In: NBER Chapters.
[Full Text][Citation analysis]		chapter1
2006Execution Risk In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
1990Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share In: NBER Working Papers.
[Full Text][Citation analysis]		paper13
1990Valuation of Variance Forecast with Simulated Option Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper46
1991Measuring Risk Aversion From Excess Returns on a Stock Index In: NBER Working Papers.
[Full Text][Citation analysis]		paper57
1993Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts In: NBER Working Papers.
[Full Text][Citation analysis]		paper24
1993A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts In: NBER Working Papers.
[Full Text][Citation analysis]		paper5
1994Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models In: NBER Working Papers.
[Full Text][Citation analysis]		paper7
1994Forecasting Transaction Rates: The Autoregressive Conditional Duration Model In: NBER Working Papers.
[Full Text][Citation analysis]		paper8
1995GARCH Gamma In: NBER Working Papers.
[Full Text][Citation analysis]		paper7
1997Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market In: NBER Working Papers.
[Full Text][Citation analysis]		paper15
1997Option Hedging Using Empirical Pricing Kernels In: NBER Working Papers.
[Full Text][Citation analysis]		paper6
1999Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks In: NBER Working Papers.
[Full Text][Citation analysis]		paper31
1999CAViaR: Conditional Value at Risk by Quantile Regression In: NBER Working Papers.
[Full Text][Citation analysis]		paper21
2014Structural GARCH: The Volatility-Leverage Connection In: Working Papers.
[Full Text][Citation analysis]		paper0
Forecasting intraday volatility in the US equity market. Multiplicative component GARCH In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2016Dynamic Conditional Beta In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article5
2008Time-Varying Arrival Rates of Informed and Uninformed Trades In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article61
2002Time-Varying Arrival Rates of Informed and Uninformed Trades.(2002) In: Finance.
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2010Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2011Long-Term Skewness and Systemic Risk In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article18
2015Modeling the Dynamics of Correlations among Implied Volatilities In: Review of Finance.
[Full Text][Citation analysis]		article7
2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes In: Review of Financial Studies.
[Full Text][Citation analysis]		article246
2008A GARCH Option Pricing Model with Filtered Historical Simulation In: Review of Financial Studies.
[Full Text][Citation analysis]		article48
2017SRISK: A Conditional Capital Shortfall Measure of Systemic Risk In: Review of Financial Studies.
[Full Text][Citation analysis]		article24
2017SRISK: a conditional capital shortfall measure of systemic risk.(2017) In: ESRB Working Paper Series.
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1990Stock Volatility and the Crash of 87: Discussion. In: Review of Financial Studies.
[Full Text][Citation analysis]		article24
1994Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility. In: Review of Financial Studies.
[Full Text][Citation analysis]		article286
2008Fitting vast dimensional time-varying covariance models In: Economics Series Working Papers.
[Full Text][Citation analysis]		paper85
2008Fitting vast dimensional time-varying covariance models.(2008) In: OFRC Working Papers Series.
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