67
H index
118
i10 index
44128
Citations
New York University (NYU) | 67 H index 118 i10 index 44128 Citations RESEARCH PRODUCTION: 116 Articles 113 Papers 9 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Robert F. Engle. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2021 | Existence of Cointegration between the Public and Private Bank Index: Evidence from Indian Capital Market. (2021). Kumar, Sanjay ; Sahoo, Satyaban. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:25:y:2021:i:4:p:152-172. Full description at Econpapers || Download paper | |
2021 | A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Christensen, Kim ; Siggaard, Mathias. In: CREATES Research Papers. RePEc:aah:create:2021-03. Full description at Econpapers || Download paper | |
2021 | Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2021-05. Full description at Econpapers || Download paper | |
2021 | Economic vulnerability is state dependent. (2021). Vallarino, Pierluigi ; Luati, Alessandra ; Catania, Leopoldo. In: CREATES Research Papers. RePEc:aah:create:2021-09. Full description at Econpapers || Download paper | |
2021 | Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model. (2021). Terasvirta, Timo ; Silvennoinen, Annastiina ; Hall, Anthony D. In: CREATES Research Papers. RePEc:aah:create:2021-13. Full description at Econpapers || Download paper | |
2022 | A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model. (2022). Teräsvirta, Timo ; Wade, Glen ; Terasvirta, Timo ; Silvennoinen, Annastiina ; Jakobsen, Johan Stax ; Kang, Jian. In: CREATES Research Papers. RePEc:aah:create:2022-01. Full description at Econpapers || Download paper | |
2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02. Full description at Econpapers || Download paper | |
2021 | The Risk Analysis of Sukuk: An Empirical Evidence from Pakistan ????? ????? ??????: ???? ??????? ?? ???????. (2021). Iqbal, Anam ; Azam, Khuram Mobusher ; Aslam, Ejaz. In: Journal of King Abdulaziz University: Islamic Economics. RePEc:abd:kauiea:v:34:y:2021:i:1:no:2:p:25-43. Full description at Econpapers || Download paper | |
2021 | A GARCH Tutorial with R. (2021). Perlin, Marcelo ; Vancin, Daniel Francisco ; Mastella, Mauro ; Ramos, Henrique Pinto. In: RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration). RePEc:abg:anprac:v:25:y:2021:i:1:1420. Full description at Econpapers || Download paper | |
2021 | Time-Gap effects of crude oil prices on the foreign exchange rates: Evidence from Nigeria. (2021). Anietie, Jeremiah ; Nkoro, Emeka ; John, Nenubari Ikue. In: Bussecon Review of Social Sciences (2687-2285). RePEc:adi:bsrsss:v:3:y:2021:i:3:p:31-44. Full description at Econpapers || Download paper | |
2021 | Investment triggers inclusiveness in the Bolivian TELECOM Sector?. (2021). Mansilla Bustamante, Sergio ; Aliaga Lordemann, Francisco Javier. In: Development Research Working Paper Series. RePEc:adv:wpaper:202104. Full description at Econpapers || Download paper | |
2021 | Stock Market Reaction towards Terrorism: An Evidence Based on Seasonal Variation in Pakistan. (2021). Akhtar, Masud ; Saad, Muhammad ; Hussain, Rana Yassir ; Mirza, Hammad Hassan ; Abbas, Jauhar. In: Journal of Economic Impact. RePEc:adx:journl:v:3:y:2021:i:3:p:167-177. Full description at Econpapers || Download paper | |
2021 | Econometric Analysis of Integration of Selected New EU Member CEE Stock Markets With Global Stock Market and Eurozone: Impact of Global Financial Crisis. (2021). Seia, Petr ; Lopez, Lorena Caridad ; Koutsky, Jaroslav ; Suchacek, Jan. In: The AMFITEATRU ECONOMIC journal. RePEc:aes:amfeco:v:23:y:2021:i:58:p:824. Full description at Econpapers || Download paper | |
2021 | TESTING THE WEAK FORM EFFICIENCY OF THE FRENCH ETF MARKET WITH LSTAR-ANLSTGARCH APPROACH USING A SEMIPARAMETRIC ESTIMATION. (2021). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:09-21. Full description at Econpapers || Download paper | |
2021 | Modelling of Daily Price Volatility of South Africa Property Stock Market Using GARCH Analysis. (2021). Ajay, Cyril A ; Fateye, Tosin B. In: AfRES. RePEc:afr:wpaper:2021-013. Full description at Econpapers || Download paper | |
2021 | Energy and economic growth. An empirical analysis. (2021). Adamopoulos, Antonios. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(626):y:2021:i:1(626):p:151-166. Full description at Econpapers || Download paper | |
2021 | The response of monetary policy to the COVID-19 pandemic in Turkey. The path of a credit-based economic recovery. (2021). Bulut, Umit. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(626):y:2021:i:1(626):p:231-238. Full description at Econpapers || Download paper | |
2021 | A pragmatic evaluation of the interconnection between currency futures return volatility, open interest and volume. (2021). Johnson, Johney ; Devan, Karthika P. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(626):y:2021:i:1(626):p:289-296. Full description at Econpapers || Download paper | |
2022 | The impact of foreign direct investment on the economy of Bangladesh: A time-series analysis. (2022). Islam, Mohammed Saiful ; al Faisal, Mohammad Abdullah. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(630):y:2022:i:1(630):p:123-142. Full description at Econpapers || Download paper | |
2021 | Volatility Forecasting, Market Efficiency and Effect of Recession of SRI Indices. (2021). Roy, Subrata. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(627):y:2021:i:2(627):p:259-284. Full description at Econpapers || Download paper | |
2021 | Effectiveness of monetary policy and interest rate pass-through in India since financial sector reforms. (2021). Kubendran, N. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(628):y:2021:i:3(628):p:83-100. Full description at Econpapers || Download paper | |
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2021 | Unravelling complex market relationships. A study on the price volatility of Brazilian pork using a DCC-MGARCH approach. (2021). Brummer, Bernhard ; Jaghdani, Tinoush Jamali ; Rosero, Gabriel . In: 94th Annual Conference, March 29-30, 2021, Warwick, UK (Hybrid). RePEc:ags:aesc21:311090. Full description at Econpapers || Download paper | |
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2021 | Determinants of Tax Revenue in Liberia: An Empirical Investigation. (2021). Kollie, Genesis B ; Prowd, Roosesvelt S. In: African Journal of Economic Review. RePEc:ags:afjecr:315790. Full description at Econpapers || Download paper | |
2021 | Savings-Growth Nexus Revisited: An Empirical Analysis from Nigeria. (2021). Fatai, Musbau O ; Okunade, Solomon O ; Olayiwola, Abiodun S. In: African Journal of Economic Review. RePEc:ags:afjecr:315822. Full description at Econpapers || Download paper | |
2021 | Fiscal Policy and Crime Rate in Nigeria. (2021). Ajide, Folorunsho. In: African Journal of Economic Review. RePEc:ags:afjecr:315827. Full description at Econpapers || Download paper | |
2022 | Determinants of Stock Market Volatility in Africa. (2022). Uhunmwangho, Monday. In: African Journal of Economic Review. RePEc:ags:afjecr:320586. Full description at Econpapers || Download paper | |
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2021 | Vertikale Preisbeziehungen - Beziehungen zwischen Erzeuger- und Verbraucherpreisen. (2021). von Cramon-Taubadel, Stephan. In: IAMO Discussion Papers. RePEc:ags:iamodp:310088. Full description at Econpapers || Download paper | |
2021 | Preisvolatilität auf Agrarmärkten. (2021). Brummer, Bernhard. In: IAMO Discussion Papers. RePEc:ags:iamodp:310089. Full description at Econpapers || Download paper | |
2021 | Price transmission between international and domestic prices in the Brazilian citrus sector. (2021). Gomez, Miguel I ; Alam, Mohammad Jahangir ; Begum, Ismat Ara ; de Alcantara, Milla Reis ; Ospina, Marco Tulio. In: International Food and Agribusiness Management Review. RePEc:ags:ifaamr:320733. Full description at Econpapers || Download paper | |
2022 | The Impact of Government Spending and Food Imports on Nutritional Status in Nigeria: A Dynamic OLS Application and Simulation. (2022). Francois, Siewe ; Henrietta, Ukpe Udeme ; Tabetando, Rayner ; Raoul, Djomo Choumbou. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:319343. Full description at Econpapers || Download paper | |
2021 | Input use and output price risks: the case of maize in Burkina Faso. (2021). NDIAYE, Moctar ; D'Hotel, Elodie Maitre ; le Cotty, Tristan ; Thoyer, Sophie. In: Working Papers MOISA. RePEc:ags:inramo:311226. Full description at Econpapers || Download paper | |
2021 | Female Labour Force Participation in Saudi Arabia and its Determinants. (2021). Agboola, Mary Oluwatoyin. In: Gospodarka Narodowa-The Polish Journal of Economics. RePEc:ags:polgne:310288. Full description at Econpapers || Download paper | |
2021 | Internet Usage, Economic Growth and Electricity Consumption: The Case of EU-15. (2021). Akku, Omer ; Kirca, Mustafa. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:5:y:2021:i:3:p:576-594. Full description at Econpapers || Download paper | |
2021 | Long-run stability of money demand and monetary policy: the case of Algeria. (2021). Boucekkine, Raouf ; Laksaci, Mohammed ; Touati-Tliba, Mohamed. In: AMSE Working Papers. RePEc:aim:wpaimx:2104. Full description at Econpapers || Download paper | |
2022 | A subdiffusive stochastic volatility jump model. (2022). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022001. Full description at Econpapers || Download paper | |
2022 | Dynamic Autoregressive Liquidity (DArLiQ). (2022). Hafner, Christian ; Wang, Linqi ; Linton, Oliver. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022009. Full description at Econpapers || Download paper | |
2022 | Dynamic Autoregressive Liquidity (DArLiQ). (2022). Hafner, Christian ; Wang, Linqi ; Linton, Oliver. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022002. Full description at Econpapers || Download paper | |
2021 | Loss Sharing in Central Clearinghouses: Winners and Losers. (2021). Sherman, Mila Getmansky ; Pelizzon, Loriana ; Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:066. Full description at Econpapers || Download paper | |
2021 | Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk. (2021). Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:079. Full description at Econpapers || Download paper | |
2021 | Nexus of Corruption Control and Economic Development in African Least Corrupt Countries. (2021). Riti, Joshua Sunday ; Gubak, Happy Daniel. In: Contemporary Research in Education and English Language Teaching. RePEc:ajp:jocrss:2021:p:1-10. Full description at Econpapers || Download paper | |
2021 | Modelación de la Volatilidad del Tipo de Cambio del Dólar en el Perú: Aplicación de los Modelos GARCH y EGARCH.. (2021). Alva, Victor Chung. In: Revista de Análisis Económico y Financiero. RePEc:alp:revaef:07-02. Full description at Econpapers || Download paper | |
2021 | The Impacts of Oil Prices, Exchange Rate and COVID-19 Pandemic on BIST Petrochemical Market. (2021). Camoglu, Seval Mutlu. In: World Journal of Applied Economics. RePEc:ana:journl:v:7:y:2021:i:1:p:17-33. Full description at Econpapers || Download paper | |
2021 | Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey. (2021). Tetik, Metin. In: World Journal of Applied Economics. RePEc:ana:journl:v:7:y:2021:i:2:p:35-46. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
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2021 | Do the stocks returns and volatility matter under the COVID-19 pandemic? A Case Study of Pakistan Stock Exchange. (2021). Usman, Muhammad Ahmad ; Ahmad, Ijaz ; Saeed, Muhammad. In: iRASD Journal of Economics. RePEc:ani:irdjoe:v:3:y:2021:i:1:p:13-26. Full description at Econpapers || Download paper | |
2021 | ???? ?????????? ???????? ? ??????? (??)???????????? ? ??????????: ???????????? ?????? ? ???????? ?????????????????? ???????????? // Role of the Fiscal Policy in the Price (In) Stability in Kazakhstan:. (2021). Жузбаев Адам // Zhuzbayev Adam, ; Багжанов Бекжан // Bagzhanov Bekzhan, ; Тулеуов Олжас // Tuleuov Olzhas, . In: Working Papers. RePEc:aob:wpaper:20. Full description at Econpapers || Download paper | |
2021 | Relationship between the Service Sector and Economic Growth: Evidence from China. (2021). Murselzade, Vusal ; Cavusoglu, Behiye. In: Asian Journal of Social Sciences and Management Studies. RePEc:aoj:ajssms:2021:p:15-22. Full description at Econpapers || Download paper | |
2022 | Can Digital Currencies Serve as Safe Havens in the Post-Covid Era?. (2022). Adom, Dsir A. In: Business, Management and Economics Research. RePEc:arp:bmerar:2022:p:17-27. Full description at Econpapers || Download paper | |
2021 | Dynamic Quantile Function Models. (2017). Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W ; Ye, Wilson . In: Papers. RePEc:arx:papers:1707.02587. Full description at Econpapers || Download paper | |
2022 | Geometrically stopped Markovian random growth processes and Pareto tails. (2019). Toda, Alexis Akira ; Beare, Brendan. In: Papers. RePEc:arx:papers:1712.01431. Full description at Econpapers || Download paper | |
2021 | Tail Risks, Asset prices, and Investment Horizons. (2018). BarunÃÂk, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148. Full description at Econpapers || Download paper | |
2021 | A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422. Full description at Econpapers || Download paper | |
2021 | Scenario-based Risk Evaluation. (2018). Ziegel, Johanna F ; Wang, Ruodu. In: Papers. RePEc:arx:papers:1808.07339. Full description at Econpapers || Download paper | |
2021 | State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko S ; Morariu-Patrichi, Maxime . In: Papers. RePEc:arx:papers:1809.08060. Full description at Econpapers || Download paper | |
2022 | Distribution Regression with Sample Selection, with an Application to Wage Decompositions in the UK. (2019). Chernozhukov, Victor ; Luo, Siyi ; Fern, Iv'An. In: Papers. RePEc:arx:papers:1811.11603. Full description at Econpapers || Download paper | |
2022 | Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318. Full description at Econpapers || Download paper | |
2021 | Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1906.12123. Full description at Econpapers || Download paper | |
2021 | From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect. (2019). Rosenbaum, Mathieu ; Jusselin, Paul ; Dandapani, Aditi. In: Papers. RePEc:arx:papers:1907.06151. Full description at Econpapers || Download paper | |
2022 | Dynamic Optimal Portfolios for Multiple Co-Integrated Assets. (2019). Papanicolaou, A ; Li, T N. In: Papers. RePEc:arx:papers:1908.02164. Full description at Econpapers || Download paper | |
2022 | Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916. Full description at Econpapers || Download paper | |
2021 | A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting. (2020). Gao, Junbin ; Gerlach, Richard ; Wang, Chao ; Tran, Minh-Ngoc ; Li, Zhengkun. In: Papers. RePEc:arx:papers:2001.08374. Full description at Econpapers || Download paper | |
2021 | Modelling volatility with v-transforms. (2020). McNeil, Alexander J. In: Papers. RePEc:arx:papers:2002.10135. Full description at Econpapers || Download paper | |
2021 | Machine Learning Portfolio Allocation. (2020). Ruppert, David ; Pinelis, Michael. In: Papers. RePEc:arx:papers:2003.00656. Full description at Econpapers || Download paper | |
2022 | Cryptocurrency Trading: A Comprehensive Survey. (2020). Wu, Fan ; Martinez-Regoband, David ; Li, Lingbo ; Kanthan, Leslie ; Kong, Hoiliong ; Basios, Michail ; Ventre, Carmine ; Fang, Fan. In: Papers. RePEc:arx:papers:2003.11352. Full description at Econpapers || Download paper | |
2021 | Streaming Perspective in Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2020). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2003.13062. Full description at Econpapers || Download paper | |
2021 | Time-varying volatility in Bitcoin market and information flow at minute-level frequency. (2020). Antulov-Fantulin, Nino ; Barjavsi, Irena. In: Papers. RePEc:arx:papers:2004.00550. Full description at Econpapers || Download paper | |
2021 | Stress testing and systemic risk measures using multivariate conditional probability. (2020). Aste, Tomaso. In: Papers. RePEc:arx:papers:2004.06420. Full description at Econpapers || Download paper | |
2021 | Clustering volatility regimes for dynamic trading strategies. (2020). Prakash, Arjun ; Menzies, Max ; James, Nick ; Francis, Gilad. In: Papers. RePEc:arx:papers:2004.09963. Full description at Econpapers || Download paper | |
2021 | The What, When and Where of Limit Order Books. (2020). Dimpfl, Thomas ; Bleher, Michael. In: Papers. RePEc:arx:papers:2004.11953. Full description at Econpapers || Download paper | |
2021 | Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2005.01160. Full description at Econpapers || Download paper | |
2022 | Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204. Full description at Econpapers || Download paper | |
2021 | Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles. (2020). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2005.04868. Full description at Econpapers || Download paper | |
2021 | New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191. Full description at Econpapers || Download paper | |
2021 | New Approaches to Robust Inference on Market (Non-)Efficiency, Volatility Clustering and Nonlinear Dependence. (2020). Skrobotov, Anton ; Pedersen, Rasmus ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01212. Full description at Econpapers || Download paper | |
2021 | An Adaptive Recursive Volatility Prediction Method. (2020). Wintenberger, Olivier ; Werge, Nicklas. In: Papers. RePEc:arx:papers:2006.02077. Full description at Econpapers || Download paper | |
2021 | Horseshoe Prior Bayesian Quantile Regression. (2020). Kohns, David ; Szendrei, Tibor. In: Papers. RePEc:arx:papers:2006.07655. Full description at Econpapers || Download paper | |
2021 | Suffocating Fire Sales. (2020). Ritter, Daniel ; Panagiotou, Konstantinos ; Meyer-Brandis, Thilo ; Detering, Nils. In: Papers. RePEc:arx:papers:2006.08110. Full description at Econpapers || Download paper | |
2021 | Time series copula models using d-vines and v-transforms: an alternative to GARCH modelling. (2020). McNeil, Alexander J ; Bladt, Martin. In: Papers. RePEc:arx:papers:2006.11088. Full description at Econpapers || Download paper | |
2021 | Cointegration in large VARs. (2020). Gorin, Vadim ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2006.14179. Full description at Econpapers || Download paper | |
2021 | The risk spillover from economic policy uncertainties to the European Union Emission Trading Scheme. (2020). Fan, Ying ; Liu, Yinpeng ; Dai, Peng-Fei ; Guo, Jianfeng ; Wang, Jiqiang. In: Papers. RePEc:arx:papers:2007.10564. Full description at Econpapers || Download paper | |
2021 | Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics. (2020). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Papers. RePEc:arx:papers:2007.10727. Full description at Econpapers || Download paper | |
2021 | A Research on Cross-sectional Return Dispersion and Volatility of US Stock Market during COVID-19. (2020). Du, Jiawei. In: Papers. RePEc:arx:papers:2007.11546. Full description at Econpapers || Download paper | |
2021 | Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714. Full description at Econpapers || Download paper | |
2021 | Long vs Short Time Scales: the Rough Dilemma and Beyond. (2020). Grasselli, Martino ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2008.07822. Full description at Econpapers || Download paper | |
2022 | Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361. Full description at Econpapers || Download paper | |
2021 | Bayesian modelling of time-varying conditional heteroscedasticity. (2020). Roy, Arkaprava ; Karmakar, Sayar. In: Papers. RePEc:arx:papers:2009.06007. Full description at Econpapers || Download paper | |
2022 | Machine Learning Classification of Price Extrema Based on Market Microstructure Features: A Case Study of S&P500 E-mini Futures. (2020). Arnaboldi, Luca ; Sokolovsky, Artur. In: Papers. RePEc:arx:papers:2009.09993. Full description at Econpapers || Download paper | |
2022 | The characteristic function of Gaussian stochastic volatility models: an analytic expression. (2020). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2009.10972. Full description at Econpapers || Download paper | |
2021 | Price, Volatility and the Second-Order Economic Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2009.14278. Full description at Econpapers || Download paper | |
2021 | Measuring the Effect of Unconventional Policies on Stock Market Volatility. (2020). Gallo, Giampiero ; Lacava, Demetrio ; Otranto, Edoardo. In: Papers. RePEc:arx:papers:2010.08259. Full description at Econpapers || Download paper | |
2022 | Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061. Full description at Econpapers || Download paper | |
2021 | The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146. Full description at Econpapers || Download paper | |
2021 | Multiscale characteristics of the emerging global cryptocurrency market. (2020). Zd, Stanislaw Dro ; Wkatorek, Marcin ; Stanuszek, Marek ; O'Swikecimka, Pawel ; Minati, Ludovico ; Kwapie, Jaroslaw. In: Papers. RePEc:arx:papers:2010.15403. Full description at Econpapers || Download paper | |
2021 | Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2012 | And Now, The Rest of the News: Volatility and Firm Specific News Arrival In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
2012 | Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks In: American Economic Review. [Full Text][Citation analysis] | article | 468 |
1972 | An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government. In: American Economic Review. [Citation analysis] | article | 8 |
2004 | Risk and Volatility: Econometric Models and Financial Practice In: American Economic Review. [Full Text][Citation analysis] | article | 172 |
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: 172 | paper | |
2001 | GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics In: Journal of Economic Perspectives. [Full Text][Citation analysis] | article | 248 |
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: LIDAM Reprints CORE. [Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
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1979 | Exogeneity.(1979) In: The Warwick Economics Research Paper Series (TWERPS). [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
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2014 | A GARCH Option Pricing Model with Filtered Historical Simulation.(2014) In: Palgrave Macmillan Books. [Citation analysis] This paper has another version. Agregated cites: 93 | chapter | |
2017 | SRISK: A Conditional Capital Shortfall Measure of Systemic Risk In: Review of Financial Studies. [Full Text][Citation analysis] | article | 244 |
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: 244 | paper | |
1990 | Stock Volatility and the Crash of 87: Discussion. In: Review of Financial Studies. [Full Text][Citation analysis] | article | 113 |
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 | 434 |
2008 | Fitting vast dimensional time-varying covariance models In: Economics Series Working Papers. [Full Text][Citation analysis] | paper | 150 |
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: 150 | paper | |
2021 | Fitting Vast Dimensional Time-Varying Covariance Models.(2021) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 150 | article | |
2000 | The ACD Model: Predictability of the Time Between Concecutive Trades In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 20 |
2021 | Modelling Volatility Cycles: The (MF)2 GARCH Model In: Working Paper series. [Full Text][Citation analysis] | paper | 0 |
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 | 7 |
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 |
2019 | Large Dynamic Covariance Matrices In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 70 |
2017 | Large dynamic covariance matrices.(2017) In: ECON - Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 70 | paper | |
2001 | What good is a volatility model? In: Quantitative Finance. [Full Text][Citation analysis] | article | 214 |
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 | 18 |
2012 | Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 70 |
2013 | Stock Market Volatility and Macroeconomic Fundamentals In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 323 |
1988 | A Capital Asset Pricing Model with Time-Varying Covariances. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 1350 |
2019 | Environmental, social, governance: Implications for businesses and effects for stakeholders In: Corporate Social Responsibility and Environmental Management. [Full Text][Citation analysis] | article | 4 |
2021 | Environmental, Social, Governance: Implications for businesses and effects for stakeholders.(2021) In: Corporate Social Responsibility and Environmental Management. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2013 | MEASURING SYSTEMIC RISK In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 737 |
2021 | Large dynamic covariance matrices: enhancements based on intraday data In: ECON - Working Papers. [Full Text][Citation analysis] | paper | 1 |
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