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

106

i10 index

28669

Citations

RESEARCH PRODUCTION:

104

Articles

102

Papers

9

Chapters

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   52 years (1966 - 2018). See details.
   Cites by year: 551
   Journals where Robert F. Engle has often published
   Relations with other researchers
   Recent citing documents: 2241.    Total self citations: 68 (0.24 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pen9
   Updated: 2018-11-17    RAS profile: 2018-09-09    
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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 (844)

Chang, Chia-Lin (311)

Caporin, Massimiliano (254)

Diebold, Francis (197)

Bollerslev, Tim (187)

Issler, João (172)

Christoffersen, Peter (153)

Guillén, Osmani (148)

Shahbaz, Muhammad (128)

Hafner, Christian (125)

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)

pagan, adrian (17)

Chou, Ray (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
American Economic Review3
Journal of Money, Credit and Banking3
International Economic Review3
Journal of Monetary Economics3
Review of Finance2
Journal of Financial Markets2
Journal of Applied Econometrics2
Journal of Empirical Finance2
Journal of Finance2
Quantitative Finance2
Journal of Business & Economic Statistics2

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
Working Papers / Banco de Mxico2
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2
Economics Series Working Papers / University of Oxford, Department of Economics2
Economic Research Papers / University of Warwick - Department of Economics2
The Warwick Economics Research Paper Series (TWERPS) / University of Warwick, Department of Economics2
Papers / arXiv.org2

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). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2018State-dependent Hawkes processes and their application to limit order book modelling. (2018). Morariu-Patrichi, Maxime ; Pakkanen, Mikko. In: CREATES Research Papers. RePEc:aah:create:2018-26.

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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:no:7:p:103-117.

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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). 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.

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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:no:2:p:27-45.

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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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2018The 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.

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2018Return, 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.

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2018Macroeconomic determinants of the labour share of income: Evidence from OECD economies. (2018). Trofimov, Ivan D ; Firdaus, Muhammad Khairil. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(616):y:2018:i:3(616):p:25-48.

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2017Asymmetric Price Volatility Interaction between U.S. Food and Energy Markets. (2017). Saghaian, Sayed H ; Chen, BO ; Walters, Cory G ; Nemati, Mehdi . In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258240.

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2017What Drives Volatility Expectations in Grain and Oilseed Markets?. (2017). Robe, Michel ; Wallen, Jonathan ; Bruno, Valentina ; Adjemian, Michael K. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258452.

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2018GE 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.

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2018Identifying 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.

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2018Does 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.

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2018The 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.

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2018Determinants of land value volatility in the Corn Belt. (2018). Katchova, Ani ; Sant, Ana Claudia . In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274115.

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2018Heterogeneous 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.

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2017The Swiss market for construction wood : estimating elasticities with time series simultaneous equations. (2017). Borzykowski, Nicolas . In: 91st Annual Conference, April 24-26, 2017, Royal Dublin Society, Dublin, Ireland. RePEc:ags:aesc17:258659.

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2017Foreign Direct Investment, Economic Growth and Environmental Quality in SubSaharan Africa: A Dynamic Model Analysis. (2017). Akinlo, Anthony ; Ojewumi, Sunday Johnson. In: African Journal of Economic Review. RePEc:ags:afjecr:264471.

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2017Forecasting Tax Revenue and its Volatility in Tanzania. (2017). Chimilila, Cyril. In: African Journal of Economic Review. RePEc:ags:afjecr:264561.

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2017The Impact of Informal Economy on the Interest Rate Pass-through: Evidence from an ARDL model. (2017). Patrick, Chileshe M ; Akanabi, Olusegun Ayodele. In: African Journal of Economic Review. RePEc:ags:afjecr:264569.

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2018Domestic Resource Mobilization and Long Term Economic Growth in Tanzania. (2018). Cyril, Chimilila. In: African Journal of Economic Review. RePEc:ags:afjecr:274748.

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2017Vertical Price Transmission in Milk Supply Chain: Market Changes and Asymmetric Dynamics. (2017). Santeramo, Fabio ; Antonioli, Federico. In: 2017 Sixth AIEAA Conference, June 15-16, Piacenza, Italy. RePEc:ags:aiea17:261256.

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2017Price Volatility Modelling – Wheat: GARCH Model Application. (2017). Ermak, M ; Maitah, M ; Malec, K. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:276061.

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2018Price 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.

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2017SYSTEMATIC 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.

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2017Price Discovery in Agricultural Futures Markets: Should We Look Beyond the Best Bid-Ask Spread?. (2017). Arzandeh, Mehdi ; Frank, Julieta . In: Annual Meeting, 2017, June 18-21, Montreal, Canada. RePEc:ags:caes17:259344.

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2017COST PASS-THROUGH AND PRODUCT DIFFERENTIATION. (2017). Bittmann, Thomas ; Anders, Sven ; Loy, Jens-Peter . In: 2017 International Congress, August 28-September 1, 2017, Parma, Italy. RePEc:ags:eaae17:261145.

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2017Estimating oligopsony power on two vertically integrated markets. (2017). Alexander, Aaron Stephan ; Hockmann, Heinrich. In: 2017 International Congress, August 28-September 1, 2017, Parma, Italy. RePEc:ags:eaae17:261277.

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

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2017Impacts of Export Restrictions on Food Price Volatility: Evidence from VAR-X and EGARCH-X Models. (2017). Dalheimer, Bernhard ; Jaghdani, Tinoush Jamali ; Brummer, Bernhard. In: 57th Annual Conference, Weihenstephan, Germany, September 13-15, 2017. RePEc:ags:gewi17:262151.

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2018EGYPT’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.

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2018FOOD 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.

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2018Price 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.

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2018European 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.

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2018The 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.

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2018Price 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.

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2018Analysis 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.

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2018Agricultural 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.

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2018Decontrolling, Price Transmission and Market Integration of Sugar Sector in India vis- -vis Global market A cointegration Analysis. (2018). Sendhil, R ; Bakshi, B R ; Venkatasubrmanian, V ; Prathap, Puthira D ; Murali, P. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277212.

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2018Vertical 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.

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2018Examination 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.

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2018International 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.

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2018Pork price transmission and efficiency in China. (2018). Mu, Y. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277387.

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2017DOES FEAR (VIX INDEX) INCITE VOLATILITY IN FOOD PRICES?. (2017). Inar, Gokhan ; Uzmay, Ayse. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:266472.

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2018Asymmetric 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.

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2017Public and private investment and economic growth in Zimbabwe: An empirical test. (2017). Makuyana, Garikai ; Odhiambo, Nicholas M. In: Business and Economic Horizons (BEH). RePEc:ags:pdcbeh:264626.

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2017Analysis of the impact of select macroeconomic variables on the Indian stock market: A heteroscedastic cointegration approach. (2017). Alam, Naushad. In: Business and Economic Horizons (BEH). RePEc:ags:pdcbeh:264630.

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2017Testing of the Seasonal Unit Root Hypothesis in the Price Indices of Agricultural Commodities in India. (2017). Aviral, Subhendu Dutta ; Dash, Aruna Kumar. In: Asian Journal of Agriculture and Development. RePEc:ags:phajad:265766.

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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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2017Wave after Wave: Contagion Risk from Commodity Markets. (2017). Algieri, Bernardina ; Leccadito, Arturo. In: Discussion Papers. RePEc:ags:ubzefd:257801.

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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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2018Assessing 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.

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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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2018Model-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.

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

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2018Local Parametric Estimation in High Frequency Data. (2018). 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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More than 100 citations found, this list is not complete...

Robert F. Engle has edited the books:


YearTitleTypeCited

Works by Robert F. Engle:


YearTitleTypeCited
2012And Now, The Rest of the News: Volatility and Firm Specific News Arrival In: CREATES Research Papers.
[Full Text][Citation analysis]
paper1
2012Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks In: American Economic Review.
[Full Text][Citation analysis]
article169
1972An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government. In: American Economic Review.
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article1
2004Risk and Volatility: Econometric Models and Financial Practice In: American Economic Review.
[Full Text][Citation analysis]
article110
2003Risk and Volatility: Econometric Models and Financial Practice.(2003) In: Nobel Prize in Economics documents.
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This paper has another version. Agregated cites: 110
paper
2001GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics In: Journal of Economic Perspectives.
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article176
1979A GENERAL APPROACH TO THE CONSTRUCTION OF MODEL DIAGNOSTICS BASED UPON THE LAGRANGE MULTIPLIER PRINCIPLE In: Economic Research Papers.
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paper2
1979A general Approach to the Construction of Model Diagnostics based upon the Lagrange Multiplier Principle.(1979) In: The Warwick Economics Research Paper Series (TWERPS).
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paper
1979EXOGENEITY In: Economic Research Papers.
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paper49
1983Exogeneity.(1983) In: CORE Discussion Papers RP.
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This paper has another version. Agregated cites: 49
paper
1983Exogeneity..(1983) In: Econometrica.
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This paper has another version. Agregated cites: 49
article
1979Exogeneity.(1979) In: The Warwick Economics Research Paper Series (TWERPS).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49
paper
2010The Underlying Dynamics of Credit Correlations In: Papers.
[Full Text][Citation analysis]
paper0
2016Copula--based Specification of vector MEMs In: Papers.
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paper0
2016Copula--based Specification of vector MEMs.(2016) In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
1991Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns. In: Working papers.
[Citation analysis]
paper8
1992Do Bulls and Bears Move Acoross Borders: International Transimission of Stock Returns and Volatility as the World Turns.(1992) In: Discussion Paper Series.
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This paper has another version. Agregated cites: 8
paper
1991Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns.(1991) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2009The Factor-Spline-GARCH Model for High and Low Frequency Correlations In: Working Papers.
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paper13
2011The Factor--Spline--GARCH Model for High and Low Frequency Correlations.(2011) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 13
article
2009High and Low Frequency Correlations in Global Equity Markets In: Working Papers.
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paper6
1993Common Volatility in International Equity Markets. In: Journal of Business & Economic Statistics.
[Citation analysis]
article128
1993Testing for Common Features. In: Journal of Business & Economic Statistics.
[Citation analysis]
article319
1990Testing For Common Features.(1990) In: NBER Technical Working Papers.
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This paper has another version. Agregated cites: 319
paper
1993Testing for Common Features: Reply. In: Journal of Business & Economic Statistics.
[Citation analysis]
article286
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]
article1301
2004CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article545
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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This paper has another version. Agregated cites: 545
paper
2000CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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This paper has another version. Agregated cites: 545
paper
2005A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model In: Journal of Business & Economic Statistics.
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article27
2006Testing and Valuing Dynamic Correlations for Asset Allocation In: Journal of Business & Economic Statistics.
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article92
1991Semiparametric ARCH Models. In: Journal of Business & Economic Statistics.
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article188
2018GLOBALIZATION: CONTENTS AND DISCONTENTS In: Contemporary Economic Policy.
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article0
1993 Measuring and Testing the Impact of News on Volatility. In: Journal of Finance.
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article1189
1991Measuring and Testing the Impact of News on Volatility.(1991) In: NBER Working Papers.
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paper
2000Time and the Price Impact of a Trade In: Journal of Finance.
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article205
1999Time and the Price Impact of a Trade.(1999) In: University of California at San Diego, Economics Working Paper Series.
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paper
1996Common Seasonal Features: Global Unemployment. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
article13
1998Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model In: University of California at San Diego, Economics Working Paper Series.
[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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This paper has another version. Agregated cites: 14
paper
2000Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models In: University of California at San Diego, Economics Working Paper Series.
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paper29
2001Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]
paper440
2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH.(2001) In: NBER Working Papers.
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This paper has another version. Agregated cites: 440
paper
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]
paper61
2004Impacts of trades in an error-correction model of quote prices.(2004) In: Journal of Financial Markets.
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This paper has another version. Agregated cites: 61
article
1999Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market In: University of California at San Diego, Economics Working Paper Series.
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paper20
1999Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market.(1999) In: NBER Working Papers.
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This paper has another version. Agregated cites: 20
paper
1998Macroeconomic Announcements and Volatility of Treasury Futures In: University of California at San Diego, Economics Working Paper Series.
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paper48
1998Trades and Quotes: A Bivariate Point Process In: University of California at San Diego, Economics Working Paper Series.
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paper46
2003Trades and Quotes: A Bivariate Point Process.(2003) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 46
article
1998Stochastic Permanent Breaks In: University of California at San Diego, Economics Working Paper Series.
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paper117
1999Stochastic Permanent Breaks.(1999) In: The Review of Economics and Statistics.
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This paper has another version. Agregated cites: 117
article
2007A GARCH Option Pricing Model in Incomplete Markets In: Swiss Finance Institute Research Paper Series.
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paper1
Systemic Risk in Europe In: Swiss Finance Institute Research Paper Series.
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paper21
2015Systemic Risk in Europe.(2015) In: Review of Finance.
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This paper has another version. Agregated cites: 21
article
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
2013Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper81
2014Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2014) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 81
paper
2014Testing 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: 81
article
2013Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2013) In: NBER Working Papers.
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This paper has another version. Agregated cites: 81
paper
1995Multivariate Simultaneous Generalized ARCH In: Econometric Theory.
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article1398
2001Value at risk models in finance In: Working Paper Series.
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paper50
2003Asymmetric dynamics in the correlations of global equity and bond returns In: Working Paper Series.
[Full Text][Citation analysis]
paper591
2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns.(2006) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 591
article
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]
article6
1973Some Finite Sample Properties of Spectral Estimators of a Linear Regression.(1973) In: Working papers.
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paper
1976Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment. In: Econometrica.
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article0
1978Testing Price Equations for Stability across Spectral Frequency Bands. In: Econometrica.
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article31
1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. In: Econometrica.
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article4218
1987Co-integration and Error Correction: Representation, Estimation, and Testing. In: Econometrica.
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article6473
2015Co-integration and error correction: Representation, estimation, and testing.(2015) In: Applied Econometrics.
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article
1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model. In: Econometrica.
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article631
1990Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market. In: Econometrica.
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article372
1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market.(1988) In: NBER Working Papers.
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paper
1993Common Persistence in Conditional Variances. In: Econometrica.
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article110
1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data In: Econometrica.
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article534
2000The Econometrics of Ultra-High Frequency Data In: Econometrica.
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article171
1996The Econometrics of Ultra-High Frequency Data.(1996) In: NBER Working Papers.
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This paper has another version. Agregated cites: 171
paper
1984Combining competing forecasts of inflation using a bivariate arch model In: Journal of Economic Dynamics and Control.
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article44
1984Wald, likelihood ratio, and Lagrange multiplier tests in econometrics In: Handbook of Econometrics.
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chapter76
1986Arch models In: Handbook of Econometrics.
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chapter118
2001Financial econometrics - A new discipline with new methods In: Journal of Econometrics.
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article10
2006The econometrics of macroeconomics, finance, and the interface In: Journal of Econometrics.
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article0
2006A multiple indicators model for volatility using intra-daily data In: Journal of Econometrics.
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article227
2003A Multiple Indicators Model For Volatility Using Intra-Daily Data..(2003) In: Econometrics Working Papers Archive.
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This paper has another version. Agregated cites: 227
paper
2003A Multiple Indicators Model for Volatility Using Intra-Daily Data.(2003) In: NBER Working Papers.
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paper
2006A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones In: Journal of Econometrics.
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article24
2011A component model for dynamic correlations In: Journal of Econometrics.
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article91
2014Priced risk and asymmetric volatility in the cross section of skewness In: Journal of Econometrics.
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article2
2017Scenario generation for long run interest rate risk assessment In: Journal of Econometrics.
[Full Text][Citation analysis]
article0
1982A general approach to lagrange multiplier model diagnostics In: Journal of Econometrics.
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article75
1983Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models In: Journal of Econometrics.
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article132
1985A dymimic model of housing price determination In: Journal of Econometrics.
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article13
1987Forecasting and testing in co-integrated systems In: Journal of Econometrics.
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article616
1989Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting In: Journal of Econometrics.
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article62
1990Seasonal integration and cointegration In: Journal of Econometrics.
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article559
1988SEASONAL INTEGRATION AND COINTEGRATION.(1988) In: Pennsylvania State - Department of Economics.
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This paper has another version. Agregated cites: 559
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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.
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article290
1988Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills.(1988) In: NBER Technical Working Papers.
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1992A multi-dynamic-factor model for stock returns In: Journal of Econometrics.
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1992Implied ARCH models from options prices In: Journal of Econometrics.
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1993The Japanese consumption function In: Journal of Econometrics.
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1993Testing superexogeneity and invariance in regression models In: Journal of Econometrics.
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1990TESTING SUPER EXOGENEITY AND INVARIANCE IN REGRESSION MODELS..(1990) In: Economics Series Working Papers.
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1997Codependent cycles In: Journal of Econometrics.
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1979Residential load curves and time-of-day pricing : An econometric analysis In: Journal of Econometrics.
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1993A long memory property of stock market returns and a new model In: Journal of Empirical Finance.
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1997Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model In: Journal of Empirical Finance.
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1984The billing cycle and weather variables in models of electricity sales In: Energy.
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2001Predicting VNET: A model of the dynamics of market depth In: Journal of Financial Markets.
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1992Where does the meteor shower come from? : The role of stochastic policy coordination In: Journal of International Economics.
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1990Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination.(1990) In: NBER Working Papers.
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1997Shorte-run forecasts of electricity loads and peaks In: International Journal of Forecasting.
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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.
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1974Issues in the specification of an econometric model of metropolitan growth, In: Journal of Urban Economics.
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1973Issues in the Specification of an Econometric Model of Metropolitan Growth.(1973) In: Working papers.
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1987Transportation costs and the rent gradient In: Journal of Urban Economics.
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1992On the theory of growth controls In: Journal of Urban Economics.
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1979Estimation of the price elasticity of demand facing metropolitan producers In: Journal of Urban Economics.
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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.
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2010The intertemporal capital asset pricing model with dynamic conditional correlations In: Journal of Monetary Economics.
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1992On the determination of regional base and regional base multipliers In: Regional Science and Urban Economics.
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1994Estimating sectoral cycles using cointegration and common features In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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1993Estimating Sectoral Cycles Using Cointegration and Common Features.(1993) In: NBER Working Papers.
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1993Common trends and common cycles in Latin America In: Revista Brasileira de Economia - RBE.
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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.
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2008A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets In: Econometrics Working Papers Archive.
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1988METEOR SHOWERS OR HEAT WAGES? HETEROSKEDASTIC INTRA-DAILY VOLATILITY IN A THE FOREIGN EXCHANGE MARKET. In: Minnesota - Center for Economic Research.
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1966Testing the Volatility Term Structure Using Option Hedging Criteria 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.
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1975An Asset Price Model of Aggregate Investment. In: International Economic Review.
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2013Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns In: Koç University-TUSIAD Economic Research Forum Working Papers.
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1983Estimates of the Variance of U.S. Inflation Based upon the ARCH Model. In: Journal of Money, Credit and Banking.
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1988Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: Reply. In: Journal of Money, Credit and Banking.
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1993Time-Varying Volatility and the Dynamic Behavior of the Term Structure. In: Journal of Money, Credit and Banking.
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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.
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1973A Disequilibrium Model of Regional Investment In: Working papers.
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1974Testing Price Equations for Stability Across Frequencies In: Working papers.
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1975Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area In: Working papers.
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1971The Specification of the Disturbance for Efficient Estimation In: Working papers.
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1972A Supply Function Model of Aggregate Investment In: Working papers.
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1976Interpreting Spectral Analyses in Terms of Time-Domain Models In: NBER Chapters.
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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.
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1972Effects of Aggregation Over Time on Dynamic Characteristics of an Econometric Model In: NBER Chapters.
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1979Estimating Structural Models of Seasonality In: NBER Chapters.
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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.
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2006Execution Risk In: NBER Working Papers.
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1990Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share In: NBER Working Papers.
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1990Valuation of Variance Forecast with Simulated Option Markets In: NBER Working Papers.
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1991Measuring Risk Aversion From Excess Returns on a Stock Index In: NBER Working Papers.
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