Robert F. Engle : Citation Profile

Are you Robert F. Engle?

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

67

H index

118

i10 index

44128

Citations

RESEARCH PRODUCTION:

116

Articles

113

Papers

9

Chapters

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   55 years (1966 - 2021). See details.
   Cites by year: 802
   Journals where Robert F. Engle has often published
   Relations with other researchers
   Recent citing documents: 2499.    Total self citations: 87 (0.2 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pen9
   Updated: 2022-08-13    RAS profile: 2022-04-02    
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Relations with other researchers

Works with:

Giglio, Stefano (4)

Stroebel, Johannes (4)

Ledoit, Olivier (3)

Brownlees, Christian (2)

Lagasio, Valentina (2)

Wolf, Michael (2)

Gallo, Giampiero (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 (802)

Caporin, Massimiliano (278)

Chang, Chia-Lin (273)

GUPTA, RANGAN (252)

Guillén, Osmani (252)

Diebold, Francis (237)

Bollerslev, Tim (237)

Issler, João (203)

Gallo, Giampiero (202)

Shahbaz, Muhammad (184)

Bauwens, Luc (180)

Cites to:

Bollerslev, Tim (110)

Campbell, John (40)

Diebold, Francis (39)

Gallo, Giampiero (28)

Shephard, Neil (26)

Jagannathan, Ravi (26)

Schwert, G. (25)

French, Kenneth (24)

Andersen, Torben (21)

pagan, adrian (19)

Bekaert, Geert (18)

Main data

Where Robert F. Engle has published?

Journals with more than one article published# docs
Journal of Econometrics21
Econometrica12
Journal of Business & Economic Statistics9
Journal of Financial Econometrics8
Review of Financial Studies7
The Review of Economics and Statistics4
Journal of Business & Economic Statistics4
Journal of Urban Economics4
Journal of Money, Credit and Banking3
Journal of Monetary Economics3
American Economic Review3
International Economic Review3
Journal of Financial Markets2
Quantitative Finance2
Corporate Social Responsibility and Environmental Management2
Journal of Applied Econometrics2
Journal of Finance2
Journal of Empirical Finance2
Review of Finance2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc28
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
CEPR Discussion Papers / C.E.P.R. Discussion Papers4
Working Paper Series / European Central Bank3
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2
The Warwick Economics Research Paper Series (TWERPS) / University of Warwick, Department of Economics2
Economics Series Working Papers / University of Oxford, Department of Economics2
Papers / arXiv.org2
Staff Reports / Federal Reserve Bank of New York2
Economic Research Papers / University of Warwick - Department of Economics2
Working Papers / Banco de Mxico2

Recent works citing Robert F. Engle (2022 and 2021)

YearTitle of citing document
2021Existence 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.

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2021A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Christensen, Kim ; Siggaard, Mathias. In: CREATES Research Papers. RePEc:aah:create:2021-03.

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2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2021-05.

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2021Economic vulnerability is state dependent. (2021). Vallarino, Pierluigi ; Luati, Alessandra ; Catania, Leopoldo. In: CREATES Research Papers. RePEc:aah:create:2021-09.

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2021Four 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.

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2022A 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.

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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

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2021The 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.

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2021A 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.

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2021Time-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.

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2021Investment 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.

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2021Stock 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.

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2021Econometric 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.

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2021TESTING 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.

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2021Modelling 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.

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2021Energy 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.

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2021The 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.

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2021A 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.

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2022The 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.

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2021Volatility 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.

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2021Effectiveness 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.

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2021Unravelling 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.

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2022.

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2021Determinants 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.

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2021Savings-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.

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2021Fiscal Policy and Crime Rate in Nigeria. (2021). Ajide, Folorunsho. In: African Journal of Economic Review. RePEc:ags:afjecr:315827.

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2022Determinants of Stock Market Volatility in Africa. (2022). Uhunmwangho, Monday. In: African Journal of Economic Review. RePEc:ags:afjecr:320586.

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2021Vertikale Preisbeziehungen - Beziehungen zwischen Erzeuger- und Verbraucherpreisen. (2021). von Cramon-Taubadel, Stephan. In: IAMO Discussion Papers. RePEc:ags:iamodp:310088.

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2021Preisvolatilität auf Agrarmärkten. (2021). Brummer, Bernhard. In: IAMO Discussion Papers. RePEc:ags:iamodp:310089.

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2021Price 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.

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2022The 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.

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2021Input 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.

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2021Female 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.

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2021Internet 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.

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2021Long-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.

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2022A subdiffusive stochastic volatility jump model. (2022). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022001.

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2022Dynamic Autoregressive Liquidity (DArLiQ). (2022). Hafner, Christian ; Wang, Linqi ; Linton, Oliver. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022009.

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2022Dynamic Autoregressive Liquidity (DArLiQ). (2022). Hafner, Christian ; Wang, Linqi ; Linton, Oliver. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022002.

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2021Loss Sharing in Central Clearinghouses: Winners and Losers. (2021). Sherman, Mila Getmansky ; Pelizzon, Loriana ; Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:066.

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2021Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk. (2021). Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:079.

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2021Nexus 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.

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2021Modelación 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.

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2021The 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.

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2021Comparison 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.

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2021Do 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.

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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.

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2021Relationship 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.

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2022Can 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.

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2021Dynamic Quantile Function Models. (2017). Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W ; Ye, Wilson . In: Papers. RePEc:arx:papers:1707.02587.

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2022Geometrically stopped Markovian random growth processes and Pareto tails. (2019). Toda, Alexis Akira ; Beare, Brendan. In: Papers. RePEc:arx:papers:1712.01431.

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2021Tail Risks, Asset prices, and Investment Horizons. (2018). Baruník, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148.

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2021A 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.

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2021Scenario-based Risk Evaluation. (2018). Ziegel, Johanna F ; Wang, Ruodu. In: Papers. RePEc:arx:papers:1808.07339.

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2021State-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.

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2022Distribution 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.

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2022Zero-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.

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2021Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1906.12123.

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2021From 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.

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2022Dynamic Optimal Portfolios for Multiple Co-Integrated Assets. (2019). Papanicolaou, A ; Li, T N. In: Papers. RePEc:arx:papers:1908.02164.

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2022Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916.

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2021A 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.

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2021Modelling volatility with v-transforms. (2020). McNeil, Alexander J. In: Papers. RePEc:arx:papers:2002.10135.

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2021Machine Learning Portfolio Allocation. (2020). Ruppert, David ; Pinelis, Michael. In: Papers. RePEc:arx:papers:2003.00656.

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2022Cryptocurrency 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.

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2021Streaming Perspective in Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2020). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2003.13062.

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2021Time-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.

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2021Stress testing and systemic risk measures using multivariate conditional probability. (2020). Aste, Tomaso. In: Papers. RePEc:arx:papers:2004.06420.

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2021Clustering volatility regimes for dynamic trading strategies. (2020). Prakash, Arjun ; Menzies, Max ; James, Nick ; Francis, Gilad. In: Papers. RePEc:arx:papers:2004.09963.

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2021The What, When and Where of Limit Order Books. (2020). Dimpfl, Thomas ; Bleher, Michael. In: Papers. RePEc:arx:papers:2004.11953.

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2021Tail 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.

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2022Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

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2021Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles. (2020). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2005.04868.

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2021New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191.

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2021New 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.

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2021An Adaptive Recursive Volatility Prediction Method. (2020). Wintenberger, Olivier ; Werge, Nicklas. In: Papers. RePEc:arx:papers:2006.02077.

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2021Horseshoe Prior Bayesian Quantile Regression. (2020). Kohns, David ; Szendrei, Tibor. In: Papers. RePEc:arx:papers:2006.07655.

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2021Suffocating Fire Sales. (2020). Ritter, Daniel ; Panagiotou, Konstantinos ; Meyer-Brandis, Thilo ; Detering, Nils. In: Papers. RePEc:arx:papers:2006.08110.

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2021Time 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.

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2021Cointegration in large VARs. (2020). Gorin, Vadim ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2006.14179.

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2021The 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.

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2021Efficiency 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.

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2021A 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.

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2021Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714.

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2021Long vs Short Time Scales: the Rough Dilemma and Beyond. (2020). Grasselli, Martino ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2008.07822.

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2022Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361.

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2021Bayesian modelling of time-varying conditional heteroscedasticity. (2020). Roy, Arkaprava ; Karmakar, Sayar. In: Papers. RePEc:arx:papers:2009.06007.

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2022Machine 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.

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2022The characteristic function of Gaussian stochastic volatility models: an analytic expression. (2020). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2009.10972.

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2021Price, Volatility and the Second-Order Economic Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2009.14278.

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2021Measuring the Effect of Unconventional Policies on Stock Market Volatility. (2020). Gallo, Giampiero ; Lacava, Demetrio ; Otranto, Edoardo. In: Papers. RePEc:arx:papers:2010.08259.

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2022Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061.

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2021The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146.

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2021Multiscale 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.

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2021Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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More than 100 citations found, this list is not complete...

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.
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1972An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government. In: American Economic Review.
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2004Risk and Volatility: Econometric Models and Financial Practice In: American Economic Review.
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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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1979A GENERAL APPROACH TO THE CONSTRUCTION OF MODEL DIAGNOSTICS BASED UPON THE LAGRANGE MULTIPLIER PRINCIPLE In: Economic Research Papers.
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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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1979EXOGENEITY In: Economic Research Papers.
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1983Exogeneity.(1983) In: LIDAM Reprints CORE.
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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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2014Testing macroprudential stress tests: The risk of regulatory risk weights In: LIDAM Reprints ISBA.
[Citation analysis]		paper150
2013Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2013) 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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2018Systemic Risk 10 Years Later In: Annual Review of Financial Economics.
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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]		paper11
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.
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1993Testing for Common Features. In: Journal of Business & Economic Statistics.
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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.
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1994Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics.
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2002Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models. In: Journal of Business & Economic Statistics.
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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.
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1991Semiparametric ARCH Models. In: Journal of Business & Economic Statistics.
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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]		article1562
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.
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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.
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1975POLICY PILLS FOR A METROPOLITAN ECONOMY In: Papers in Regional Science.
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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.
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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.
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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.
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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.
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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.
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1999Stochastic Permanent Breaks.(1999) In: The Review of Economics and Statistics.
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2019Hedging climate change news In: CESifo Working Paper Series.
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2019Hedging Climate Change News.(2019) In: CEPR Discussion Papers.
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2019Hedging Climate Change News.(2019) In: NBER Working Papers.
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2020Hedging Climate Change News.(2020) In: Review of Financial Studies.
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2007A GARCH Option Pricing Model in Incomplete Markets In: Swiss Finance Institute Research Paper Series.
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2012Systemic Risk in Europe In: Swiss Finance Institute Research Paper Series.
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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.
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2005The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes In: Working Papers.
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2021Why did bank stocks crash during COVID-19? In: CEPR Discussion Papers.
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2021Why Did Bank Stocks Crash During COVID-19?.(2021) In: NBER Working Papers.
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1995Multivariate Simultaneous Generalized ARCH In: Econometric Theory.
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2001Value at risk models in finance In: Working Paper Series.
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2003Asymmetric dynamics in the correlations of global equity and bond returns In: Working Paper Series.
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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.
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1971The Specification of the Disturbance for Efficient Estimation.(1971) In: Working papers.
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1976Some Finite Sample Properties of Spectral Estimators of a Linear Regression. In: Econometrica.
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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.
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1978Testing Price Equations for Stability across Spectral Frequency Bands. In: Econometrica.
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1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. In: Econometrica.
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1987Co-integration and Error Correction: Representation, Estimation, and Testing. In: Econometrica.
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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.
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1990Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market. In: Econometrica.
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1988METEOR SHOWERS OR HEAT WAGES? HETEROSKEDASTIC INTRA-DAILY VOLATILITY IN A THE FOREIGN EXCHANGE MARKET..(1988) In: Minnesota - Center for Economic Research.
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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.
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2000The Econometrics of Ultra-High Frequency Data In: Econometrica.
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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.
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1984Wald, likelihood ratio, and Lagrange multiplier tests in econometrics In: Handbook of Econometrics.
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1986Arch models In: Handbook of Econometrics.
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2001Financial econometrics - A new discipline with new methods In: Journal of Econometrics.
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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.
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2003A Multiple Indicators Model for Volatility Using Intra-Daily Data.(2003) In: NBER Working Papers.
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1983Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models In: Journal of Econometrics.
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1985A dymimic model of housing price determination In: Journal of Econometrics.
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1987Forecasting and testing in co-integrated systems In: Journal of Econometrics.
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1989Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting In: Journal of Econometrics.
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1990Seasonal integration and cointegration In: Journal of Econometrics.
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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.
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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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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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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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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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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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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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1977Simultaneous Estimation of the Supply and Demand for Housing Location in a Multizoned Metropolitan Area In: NBER Chapters.
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1999Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks In: NBER Working Papers.
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