Robert F. Engle : Citation Profile


Are you Robert F. Engle?

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

60

H index

109

i10 index

32333

Citations

RESEARCH PRODUCTION:

109

Articles

105

Papers

8

Chapters

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   53 years (1966 - 2019). See details.
   Cites by year: 610
   Journals where Robert F. Engle has often published
   Relations with other researchers
   Recent citing documents: 2327.    Total self citations: 69 (0.21 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pen9
   Updated: 2020-05-23    RAS profile: 2020-04-22    
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Relations with other researchers


Works with:

Gallo, Giampiero (4)

Giglio, Stefano (3)

Cipollini, Fabrizio (3)

Brownlees, Christian (2)

Ledoit, Olivier (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 (879)

Chang, Chia-Lin (330)

Caporin, Massimiliano (267)

Bollerslev, Tim (200)

Diebold, Francis (199)

Issler, João (172)

Christoffersen, Peter (154)

Shahbaz, Muhammad (151)

Guillén, Osmani (148)

GUPTA, RANGAN (142)

Gallo, Giampiero (137)

Cites to:

Bollerslev, Tim (82)

Campbell, John (37)

Diebold, Francis (33)

Schwert, G. (23)

Gallo, Giampiero (23)

French, Kenneth (22)

Shephard, Neil (19)

Andersen, Torben (18)

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 Studies7
The Review of Economics and Statistics4
Journal of Urban Economics4
Journal of Business & Economic Statistics3
American Economic Review3
Journal of Money, Credit and Banking3
International Economic Review3
Journal of Monetary Economics3
Quantitative Finance2
Journal of Financial Markets2
Journal of Finance2
Journal of Empirical Finance2
Review of Finance2
Journal of Applied Econometrics2

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

Recent works citing Robert F. Engle (2020 and 2019)


YearTitle of citing document
2019PRESIDENTIAL CYCLES IN THE USA AND THE DOLLAR-POUND EXCHANGE RATE: EVIDENCE FROM OVER TWO CENTURIES. (2019). GUPTA, RANGAN ; Wohar, Mark E. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:23:y:2019:i:2:p:151-163.

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2019OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration. (2019). Yoon, Seong-Min ; Lau, Chi Keung ; Gupta, Rangan. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:23:y:2019:i:4:p:1-23.

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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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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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2017Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation. (2017). Christiansen, Charlotte ; Jun, AI ; Asgharian, Hossein. In: CREATES Research Papers. RePEc:aah:create:2018-12.

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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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2018Realizing Correlations Across Asset Classes. (2018). Vander Elst, Harry ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-37.

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2019Resuscitating the co-fractional model of Granger (1986). (2019). Santucci de Magistris, Paolo ; Carlini, Federico. In: CREATES Research Papers. RePEc:aah:create:2019-02.

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2020Designing a sequential testing procedure for verifying global CO2 emissions. (2020). Bennedsen, Mikkel. In: CREATES Research Papers. RePEc:aah:create:2020-01.

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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 ; Tekin, Husnu. In: 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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2019Does Agricultural Value Added Induce Environmental Degradation? Empirical Evidence from an Agrarian Country. (2019). Bekun, Festus V ; Agboola, Mary O. In: Research Africa Network Working Papers. RePEc:abh:wpaper:19/040.

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2019House prices and tourism development in Cyprus: A contemporary perspective. (2019). Asongu, Simplice ; Alola, Uju V. In: Research Africa Network Working Papers. RePEc:abh:wpaper:19/067.

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2019Foreign Direct Investment, Domestic Investment and Green Growth in Nigeria: Any Spillovers?. (2019). Asongu, Simplice ; Adejumo, Akintoye V. In: Research Africa Network Working Papers. RePEc:abh:wpaper:19/078.

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2019Growth Effects of Financial Market Instruments: The Ghanaian Experience. (2019). Mesagan, Ekundayo ; Alimi, Olorunfemi ; Odeleye, Anthonia T ; Ogbuji, Isaac A. In: Research Africa Network Working Papers. RePEc:abh:wpaper:19/095.

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2019Complex Neural Fuzzy Prediction Using Multi-Swarm Continuous Ant Colony Optimization. (2019). Weng, Wei-Chu ; Li, Chunshien. In: Current Trends In Computer Sciences & Applications. RePEc:abr:jctcsa:v:1:y:2019:i:3:p:68-79.

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2019Does Agricultural Value Added Induce Environmental Degradation? Empirical Evidence from an Agrarian Country. (2019). Bekun, Festus ; Agboola, Mary O. In: CEREDEC Working Papers. RePEc:aby:wpaper:19/040.

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2019The Performances of insurance industry and the Nigerian economic growth. (2019). Nwantah, Chidinma Mary ; Ikue-John, Nenubari ; Nkoro, Emeka . In: Bussecon Review of Social Sciences (2687-2285). RePEc:adi:bsrsss:v:1:y:2019:i:1:p:06-12.

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2019Energy consumption and economic growth in Nigeria:A revisit of the energy-growth debate. (2019). NKORO, EMEKA ; Joshua, Godasgrace I ; Ikue-John, Nenubari. In: Bussecon Review of Social Sciences (2687-2285). RePEc:adi:bsrsss:v:1:y:2019:i:2:p:01-09.

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2019Studying the Volatility of Pakistan Stock Exchange and Shanghai Stock Exchange Markets in the Light of CPEC: An Application of GARCH and EGARCH Modelling. (2019). Fatima, Samreen ; Fraz, Tayyab Raza ; Ahsanuddin, Muhammad. In: International Journal of Sciences. RePEc:adm:journl:v:8:y:2019:i:3:p:125-132.

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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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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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2019Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors. (2019). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:03-19.

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2019Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model. (2019). Mishra, Tapas ; DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:07-19.

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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). JAOUL-GRAMMARE, Magali ; Rivot, Sylvie ; Boyer, Jean-Daniel. In: Working Papers. RePEc:afc:wpaper:11-17.

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2019Measuring Success: Does Predictive Ability of an Asset Price Rest in Memory? Insights from a New Approach. (2019). Mishra, Tapas ; DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:11-19.

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2019Does Agricultural Value Added Induce Environmental Degradation? Empirical Evidence from an Agrarian Country. (2019). Bekun, Festus ; Agboola, Mary O. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:19/040.

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2019House prices and tourism development in Cyprus: A contemporary perspective. (2019). Asongu, Simplice ; Alola, Andrew. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:19/067.

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2019Foreign Direct Investment, Domestic Investment and Green Growth in Nigeria: Any Spillovers?. (2019). Asongu, Simplice ; Adejumo, Akintoye V. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:19/078.

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2019Growth Effects of Financial Market Instruments: The Ghanaian Experience. (2019). Mesagan, Ekundayo ; Odeleye, Anthonia T ; Alimi, Yasiru O ; Ogbuji, Isaac A. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:19/095.

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2020Trivariate Modelling of the Nexus between Electricity Consumption, Urbanization and Economic Growth in Nigeria: Fresh Insights from Maki Cointegration and Causality Tests. (2020). Nathaniel, Solomon P ; Ali, Hamisu S ; Sarkodie, Samuel A ; Bekun, Festus V ; Uzuner, Gizem. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:20/010.

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2020Electricity Consumption, Urbanization and Economic Growth in Nigeria: New Insights from Combined Cointegration amidst Structural Breaks. (2020). Bekun, Festus V ; Nathaniel, Solomon P. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:20/013.

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2019Wagner versus Keynesian Hypothesis: Role of aggregate and disaggregate expenditure in Pakistan. (2019). Munir, Kashif ; Ali, Wajid. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(621):y:2019:i:4(621):p:181-200.

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2019GARCH based VaR estimation: An empirical evidence from BRICS stock markets. (2019). Rao, Prabhakar ; Guptha, Siva Kiran. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(621):y:2019:i:4(621):p:201-218.

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2019Does FDI substitute exports of home country? A case of US FDI in select Asian economies. (2019). Pednekar, Achut P ; Limaye, Ketan C. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(621):y:2019:i:4(621):p:219-240.

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2019Volatility experience of major world stock markets. (2019). Rao, Prabhakara R ; Mallikarjuna, M. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(621):y:2019:i:4(621):p:35-52.

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2019Co-integration with regime shift between government expenditure and poverty reduction in Algeria. (2019). Ayad, Hicham . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:2(619):p:205-216.

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2019Determinants of domestic saving rate in Turkey: A new generation econometric analysis. (2019). Gocer, Ismet. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:3(620):p:135-150.

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2019Wagner versus Keynesian Hypothesis: Role of aggregate and disaggregate expenditure in Pakistan. (2019). Munir, Kashif ; Ali, Wajid. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:4(621):p:181-200.

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2019GARCH based VaR estimation: An empirical evidence from BRICS stock markets. (2019). Rao, Prabhakar ; Guptha, Siva Kiran. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:4(621):p:201-218.

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2019Does FDI substitute exports of home country? A case of US FDI in select Asian economies. (2019). Pednekar, Achut P ; Limaye, Ketan C. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:4(621):p:219-240.

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2019Volatility experience of major world stock markets. (2019). Mallikarjuna, Mejari ; Rao, Prabhakara R. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:4(621):p:35-52.

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2020Testing Wagner’s Law for sub-Saharan Africa: A panel cointegration and causality approach. (2020). Jobarteh, Mustapha. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvii:y:2020:i:1(622):p:125-136.

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2018Does Economic Policy Uncertainty Affect Energy Market Volatility and Vice-Versa?. (2018). Etienne, Xiaoli L ; Scarcioffolo, Alexandre Ribeiro. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:273976.

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

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

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2019Transitory and Permanent Shocks in the Global Market for Crude Oil. (2019). sbia, rashid ; Rebei, Nooman. In: AMSE Working Papers. RePEc:aim:wpaimx:1918.

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2019The Effect of Exchange Rate and Interest Rate Volatilities on Stock Prices: Further Empirical Evidence from Ghana. (2019). Baidoo, Samuel ; Osei, Peter Yaw ; Ofori-Abebrese, Grace. In: Economics Literature. RePEc:ana:elitjr:v:1:y:2019:i:2:p:117-132.

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2019The Determinants of Credit Dolarization: Turkish Case. (2019). Kapkara, Sevcan ; Uslu, Nilgun Caglarirmak. In: Economics Literature. RePEc:ana:elitjr:v:1:y:2019:i:2:p:148-167.

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2019Dynamic Factor Models in gretl. The DFM package. (2019). Venetis, Ioannis ; Lucchetti, Riccardo (Jack). In: gretl working papers. RePEc:anc:wgretl:7.

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2019Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach. (2019). Rossi, Eduardo ; Palomba, Giulio ; Bucci, Andrea. In: Working Papers. RePEc:anc:wpaper:440.

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2018Forecasting Methods in Finance. (2018). Timmermann, Allan. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:10:y:2018:p:449-479.

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2019Influence of Excessive Expenditure of the Government in Perspective of Interest Rate and Money Circulation Which in Turn Affects the Growing Process in Pakistan. (2019). RAHMAN, ZIA ; Zia-Ur- Rahman, . In: Asian Journal of Economics and Empirical Research. RePEc:aoj:ajeaer:2019:p:120-129.

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2019Demand for Imports and Components of Final Expenditure An Empirical Study with Special Reference to the Korean Import Demand Function. (2019). Seddighi, H R ; Yoon, Il-Hyun. In: Asian Journal of Economics and Empirical Research. RePEc:aoj:ajeaer:2019:p:52-58.

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2019Oil Consumption and Economic Growth in Turkey: An ARDL Bounds Test Approach in the Presence of Structural Breaks. (2019). Gzel, Alper H ; Zaydan, Zgr. In: Business, Management and Economics Research. RePEc:arp:bmerar:2019:p:77-85.

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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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2020Assessing the Stability of Money Demand Function in Saudi Arabia. (2020). Al Rasasi, Moayad. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2020:p:22-28.

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2019The Influence of Price and Non-Price Factors on Acreage Response of Maize in Eswatini. (2019). Jele, Q ; Akelrele, D ; Dlamini, S G. In: Journal of Agriculture and Crops. RePEc:arp:jacarp:2019:p:38-42.

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2019An Analysis of Factors Influencing Rice Export in Egypt Based on Vector Autoregressive Model. (2019). Sayed, Hanan Mahmoud. In: The Journal of Social Sciences Research. RePEc:arp:tjssrr:2019:p:876-887.

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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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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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2018Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables. (2018). Baruník, Jozef ; Kley, Tobias. In: Papers. RePEc:arx:papers:1510.06946.

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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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2019Combining Dimension Reduction, Distance Measures and Covariance. (2017). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1603.09060.

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2019Quantile 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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2017Elicitability and backtesting: Perspectives for banking regulation. (2017). Nolde, Natalia ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1608.05498.

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2019Multivariate 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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2017Time Series Copulas for Heteroskedastic Data. (2017). Maneesoonthorn, Worapree ; Smith, Michael S ; Loaiza-Maya, Rub'En . 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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2019Representation of I(1) and I(2) autoregressive Hilbertian processes. (2019). Seo, Won-Ki ; Beare, Brendan K. In: Papers. RePEc:arx:papers:1701.08149.

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

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

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

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2019Dynamic 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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2017Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Gerlach, Richard ; Chen, Qian ; Wang, Chao. In: Papers. RePEc:arx:papers:1707.03715.

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2017Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk). (2017). Chen, Rui ; Ziegel, Johanna F ; Patton, Andrew J. In: Papers. RePEc:arx:papers:1707.05108.

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2019Spectral backtests of forecast distributions with application to risk management. (2019). Gordy, Michael ; McNeil, Alexander J ; Lok, Hsiao Yen . In: Papers. RePEc:arx:papers:1708.01489.

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2017Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece. (2017). Dikaiakos, Christos ; Stratigakos, Akylas ; Siettos, Kostas ; Papaioannou, George P. In: Papers. RePEc:arx:papers:1708.07063.

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

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

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2019Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2019). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1709.02502.

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

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2019A Justification of Conditional Confidence Intervals. (2019). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1710.00643.

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2019Forecasting dynamic return distributions based on ordered binary choice. (2019). Baruník, Jozef ; Anatolyev, Stanislav. In: Papers. RePEc:arx:papers:1711.05681.

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2019A nonparametric copula approach to conditional Value-at-Risk. (2019). Dunn, Richard ; Geenens, Gery. In: Papers. RePEc:arx:papers:1712.05527.

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

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

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2019A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2019). Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo ; Buccheri, Giuseppe . In: Papers. RePEc:arx:papers:1803.04894.

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2019Bi-Demographic Changes and Current Account using SVAR Modeling. (2019). Ghassan, Hassan ; Balli, Faruk ; Al-Hajhoj, Hassan R. In: Papers. RePEc:arx:papers:1803.11161.

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

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

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2020LASSO-Driven Inference in Time and Space. (2019). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen ; Hardle, Wolfgang K. In: Papers. RePEc:arx:papers:1806.05081.

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2019Tail Risks, Asset prices, and Investment Horizons. (2018). Baruník, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148.

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

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2019Forecasting market states. (2019). Aste, Tomaso ; Procacci, Pier Francesco. In: Papers. RePEc:arx:papers:1807.05836.

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2018Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities. (2018). Baruník, Jozef ; Vcech, Frantivsek. In: Papers. RePEc:arx:papers:1807.11823.

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

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2018Analytic Moments for GARCH Processes. (2018). Alexander, Carol ; Stanescu, Silvia ; Lazar, Emese. In: Papers. RePEc:arx:papers:1808.09666.

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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.
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paper1
2012Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks In: American Economic Review.
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article244
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.
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article124
2003Risk and Volatility: Econometric Models and Financial Practice.(2003) In: Nobel Prize in Economics documents.
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paper
2001GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics In: Journal of Economic Perspectives.
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article202
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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1979EXOGENEITY In: Economic Research Papers.
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paper49
1983Exogeneity.(1983) In: CORE Discussion Papers RP.
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paper
1983Exogeneity..(1983) In: Econometrica.
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article
1979Exogeneity.(1979) In: The Warwick Economics Research Paper Series (TWERPS).
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This paper has another version. Agregated cites: 49
paper
2018Systemic Risk 10 Years Later In: Annual Review of Financial Economics.
[Full Text][Citation analysis]
article0
2010The Underlying Dynamics of Credit Correlations In: Papers.
[Full Text][Citation analysis]
paper0
2016Copula--based Specification of vector MEMs In: Papers.
[Full Text][Citation analysis]
paper1
2016Copula--based Specification of vector MEMs.(2016) In: Econometrics Working Papers Archive.
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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.
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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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article
2009High and Low Frequency Correlations in Global Equity Markets In: Working Papers.
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paper7
1993Common Volatility in International Equity Markets. In: Journal of Business & Economic Statistics.
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article142
1993Testing for Common Features. In: Journal of Business & Economic Statistics.
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article337
1990Testing For Common Features.(1990) In: NBER Technical Working Papers.
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paper
1993Testing for Common Features: Reply. In: Journal of Business & Economic Statistics.
[Citation analysis]
article304
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.
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article1596
2004CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles In: Journal of Business & Economic Statistics.
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article654
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: 654
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: 654
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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article34
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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article203
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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article1298
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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article226
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]
article14
1975POLICY PILLS FOR A METROPOLITAN ECONOMY In: Papers in Regional Science.
[Full Text][Citation analysis]
article0
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]
paper15
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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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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paper31
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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paper481
2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH.(2001) In: NBER Working Papers.
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paper
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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paper67
2004Impacts of trades in an error-correction model of quote prices.(2004) In: Journal of Financial Markets.
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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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paper24
1999Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market.(1999) In: NBER Working Papers.
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paper
1998Macroeconomic Announcements and Volatility of Treasury Futures In: University of California at San Diego, Economics Working Paper Series.
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paper49
1998Trades and Quotes: A Bivariate Point Process In: University of California at San Diego, Economics Working Paper Series.
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paper49
2003Trades and Quotes: A Bivariate Point Process.(2003) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 49
article
1998Stochastic Permanent Breaks In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]
paper122
1999Stochastic Permanent Breaks.(1999) In: The Review of Economics and Statistics.
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This paper has another version. Agregated cites: 122
article
2019Hedging climate change news In: CESifo Working Paper Series.
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paper3
2019Hedging Climate Change News.(2019) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 3
paper
2019Hedging Climate Change News.(2019) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2020Hedging Climate Change News.(2020) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
2007A GARCH Option Pricing Model in Incomplete Markets In: Swiss Finance Institute Research Paper Series.
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paper1
2012Systemic Risk in Europe In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper38
2015Systemic Risk in Europe.(2015) In: Review of Finance.
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article
1985Small-Sample Properties of ARCH Estimators and Tests. In: Canadian Journal of Economics.
[Full Text][Citation analysis]
article37
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]
paper103
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: 103
paper
2014Testing macroprudential stress tests: The risk of regulatory risk weights.(2014) In: Journal of Monetary Economics.
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This paper has another version. Agregated cites: 103
article
2013Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2013) In: NBER Working Papers.
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paper
1995Multivariate Simultaneous Generalized ARCH In: Econometric Theory.
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article1562
2001Value at risk models in finance In: Working Paper Series.
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paper59
2003Asymmetric dynamics in the correlations of global equity and bond returns In: Working Paper Series.
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paper704
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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article0
1978Testing Price Equations for Stability across Spectral Frequency Bands. In: Econometrica.
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article34
1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. In: Econometrica.
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article4832
1987Co-integration and Error Correction: Representation, Estimation, and Testing. In: Econometrica.
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article7311
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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article694
1990Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market. In: Econometrica.
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article418
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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This paper has another version. Agregated cites: 418
paper
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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article113
1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data In: Econometrica.
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article598
2000The Econometrics of Ultra-High Frequency Data In: Econometrica.
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article192
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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article50
1984Wald, likelihood ratio, and Lagrange multiplier tests in econometrics In: Handbook of Econometrics.
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chapter82
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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article247
2003A Multiple Indicators Model For Volatility Using Intra-Daily Data..(2003) In: Econometrics Working Papers Archive.
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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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article30
2011A component model for dynamic correlations In: Journal of Econometrics.
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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.
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article0
1982A general approach to lagrange multiplier model diagnostics In: Journal of Econometrics.
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article87
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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article15
1987Forecasting and testing in co-integrated systems In: Journal of Econometrics.
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article647
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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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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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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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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1995Estimating common sectoral cycles 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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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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1973De Facto Discrimination in Residential Assessments: Boston In: Working papers.
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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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1977Simultaneous Estimation of the Supply and Demand for Housing Location in a Multizoned Metropolitan Area In: NBER Chapters.
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1978Estimating Structural Models of Seasonality 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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1999Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks In: NBER Working Papers.
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2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes In: Review of Financial Studies.
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