Robert F. Engle : Citation Profile

New York University (NYU) (34% share)
National Bureau of Economic Research (NBER) (33% share)
New York University (NYU) (33% share)

69

H index

127

i10 index

52214

Citations

RESEARCH PRODUCTION:

132

Articles

121

Papers

9

Chapters

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   59 years (1966 - 2025). See details.
   Cites by year: 884
   Journals where Robert F. Engle has often published
   Relations with other researchers
   Recent citing documents: 2393.    Total self citations: 98 (0.19 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pen9
   Updated: 2025-12-20    RAS profile: 2025-04-24    
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Relations with other researchers

Works with:

Jung, Hyeyoon (6)

Stroebel, Johannes (5)

Acharya, Viral (4)

De Nard, Gianluca (4)

Manganelli, Simone (3)

Conrad, Christian (2)

Parisi, Laura (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:

GUPTA, RANGAN (383)

Chang, Chia-Lin (363)

Caporin, Massimiliano (324)

Gallo, Giampiero (261)

Bollerslev, Tim (260)

Diebold, Francis (258)

Issler, João (208)

Bauwens, Luc (204)

Hecq, Alain (198)

Hautsch, Nikolaus (188)

Hafner, Christian (188)

Cites to:

Bollerslev, Tim (123)

Campbell, John (42)

Diebold, Francis (41)

Jagannathan, Ravi (31)

Schwert, G. (30)

Gallo, Giampiero (28)

Shephard, Neil (27)

French, Kenneth (26)

Andersen, Torben (25)

pagan, adrian (19)

Bekaert, Geert (18)

Main data

Where Robert F. Engle has published?

Journals with more than one article published# docs
Journal of Econometrics22
Econometrica12
Journal of Business & Economic Statistics9
Journal of Financial Econometrics8
The Review of Financial Studies8
Journal of Business & Economic Statistics5
The Review of Economics and Statistics4
Journal of Urban Economics4
Journal of Money, Credit and Banking3
Journal of Financial Economics3
International Economic Review3
Journal of Applied Econometrics3
Journal of Monetary Economics3
American Economic Review3
Annual Review of Financial Economics2
Journal of Empirical Finance2
Journal of Financial Markets2
Corporate Social Responsibility and Environmental Management2
Review of Finance2
Journal of Applied Econometrics2
Journal of Finance2
Journal of Credit Risk2
Financial Markets, Institutions & Instruments2
Quantitative Finance2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc30
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
Staff Reports / Federal Reserve Bank of New York4
Working Paper Series / European Central Bank4
The Warwick Economics Research Paper Series (TWERPS) / University of Warwick, Department of Economics2
Working Papers / Banco de Mxico2
Economics Series Working Papers / University of Oxford, Department of Economics2
Papers / arXiv.org2
Economic Research Papers / University of Warwick - Department of Economics2
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2
CESifo Working Paper Series / CESifo2

Recent works citing Robert F. Engle (2025 and 2024)

YearTitle of citing document
2025Sectoral interdependence and causal dynamics in Jordanian financial markets: Evidence from benchmark and sectoral indices. (2025). Arafat, Mohd Yasir ; Othman, Mahdy ; Syed, Abdul Malik. In: International Journal of Innovative Research and Scientific Studies. RePEc:aac:ijirss:v:8:y:2025:i:4:p:447-459:id:7871.

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2025Analyzing the impact of macroeconomic variables on agricultural derivatives performance in the SAFEX market. (2025). Mudau, Tanganedzani ; Mokatsanyane, Daniel. In: Finance, Accounting and Business Analysis. RePEc:aan:journl:v:7:y:2025:i:1:p:16-29.

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2025ESG Reporting and Systemic Risk: Evidence from European Markets. (2025). Filip, Radu Ion ; Cosoveanu, Georgiana ; Tigu, Gabriela ; Hurduzeu, Gheorghe ; Lupu, Iulia. In: The AMFITEATRU ECONOMIC journal. RePEc:aes:amfeco:v:27:y:2025:i:70:p:869.

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2024Gendered Study Choice and Prestige of Professions: France in the Long 20th Century. (2024). DIEBOLT, Claude ; Jaoul-Grammare, Magali. In: Working Papers. RePEc:afc:wpaper:05-24.

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2024Financial Market Development and the Microstructure of Corporate Bond Markets in Africa: A Survey. (2024). Ojah, Kalu ; Oluoch, Wycliffe. In: The African Finance Journal. RePEc:afj:journl:v:26:y:2024:i:1:p:1-33.

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2024Energy Efficiency Investment in a Developing Economy: Financial Development and Debt Status Implication. (2024). Ogwu, Stephen ; Ekesiobi, Chukwunonso ; Emmanuel, Precious Muhammed ; Ifebi, Ogonna ; Ashibogwu, Kingsley Nze ; Onwe, Joshua Chukwuma. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:24/016.

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2025Takatoshi Ito: Scholarship on Japans Economy Transformed. (2025). Horioka, Charles ; Aoki, Kosuke ; Kashyap, Anil ; Auerbach, Alan ; Watanabe, Tsutomu ; Weinstein, David. In: AGI Working Paper Series. RePEc:agi:wpaper:02000256.

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2024Modelling the relationship between inflation and uncertainty with existence of structural break: evidence from Azerbaijan. (2024). Rahimov, Vugar. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxxi:y:2024:i:4(641):p:85-96.

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2025Exploring the relationship between the Put Call Ratio and Market Indices: a comparative analysis of S&P 500 and BET. (2025). Abr, Genia-Iulia. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxxii:y:2025:i:1(642):p:187-210.

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2049Modeling Price Transmission between Farm and Retail Prices: A Soft Switches Approach. (2015). Hahn, William ; Blayney, Don ; Stewart, Hayden ; Davis, Christopher G. In: 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California. RePEc:ags:aaea15:204951.

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2024Dynamic Linkages in Agricultural and Energy Markets: A Quantile Impulse Response Approach. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jean-Paul. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343541.

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2024Option Pricing Revisited: The Role of Price Volatility and Dynamics. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jean-Paul. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343544.

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2024Is the Chinese gold product a hedge or safe haven for Chinese overseas investors?. (2024). Jia, Ruixin ; Zhang, Yu Yvette ; Liu, Mengqiao. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343698.

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2024Food & Oil Price Volatility Dynamics: Insights from a TVP-SVAR-DCC-MIDAS Model. (2024). Stewart, Shamar ; Massa, Olga Isengildina. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343936.

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2024Dynamic Linkages in Agricultural and Energy Markets: A Quantile Impulse Response Approach. (2024). Li, Jian ; Chavas, Jean-Paul ; Wang, Linjie. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea24:343541.

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2024Option Pricing Revisited: The Role of Price Volatility and Dynamics. (2024). Wang, Linjie ; Chavas, Jean-Paul ; Li, Jian. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea24:343544.

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2024Food & Oil Price Volatility Dynamics: Insights from a TVP-SVAR-DCC-MIDAS Model. (2024). Massa, Olga Isengildina ; Stewart, Shamar L. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea24:343936.

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2025Effect of Changes in the Interest Rate on the Interest Expenditure. (2025). Kropp, Jaclyn D ; Moss, Charles. In: 2025 AAEA & WAEA Joint Annual Meeting, July 27-29, 2025, Denver, CO. RePEc:ags:aaea25:360681.

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2025Stochastic modelling of food insecurity risk in Africa: Use of Vine Copulas and cointegration approaches. (2025). Pede, Valerien O ; Okou, Cyrille Guei ; Jeremy, Ronald ; Amar, Amine. In: 2025 AAEA & WAEA Joint Annual Meeting, July 27-29, 2025, Denver, CO. RePEc:ags:aaea25:360696.

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2024Modeling Asymmetric Effects of Exchange Rate Fluctuations on Agricultural Trade Balance: Evidence from Iran and Iraq. (2024). Falsafian, Azadeh ; Hamad, Mudhafar Ahmed. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:348977.

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2025Volatility Spillover in Regional Ethanol and Grain Markets: Evidence from The Expansion of Corn-Based Ethanol Production in Brazil. (2025). Gaio, Luiz Eduardo ; Dario, Daniel Henrique. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:374828.

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2024Makroekonomiczne determinanty decyzji inwestycyjnych średnich i dużych przedsiębiorstw sektora przetwórstwa przemysłowego w Polsce. (2024). Smole, Krzysztof ; Wielechowski, Micha ; Kara, Dariusz ; Zajc, Adam Andrzej. In: Gospodarka Narodowa-The Polish Journal of Economics. RePEc:ags:polgne:361245.

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2024Ocena wpływów makroekonomicznych na rentowność indyjskich obligacji skarbowych – spostrzeżenia z podejścia opartego na teście granic ARDL. (2024). Patra, Suresh Kumar ; Naik, Pramod Kumar. In: Gospodarka Narodowa-The Polish Journal of Economics. RePEc:ags:polgne:361246.

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2024Makroekonomiczne determinanty decyzji inwestycyjnych średnich i dużych przedsiębiorstw sektora przetwórstwa przemysłowego w Polsce. (2024). Wielechowski, Micha ; Zajc, Adam Andrzej ; Kara, Dariusz ; Smole, Krzysztof. In: Gospodarka Narodowa-The Polish Journal of Economics. RePEc:ags:polgne:361249.

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2024Assessing the Effect of Monetary Policy on the Competitiveness of Agricultural Enterprises. (2024). Kozelsk, Robert ; Zelenka, Ondej ; Maitah, Mansoor ; Cvik, Eva Daniela ; Flegel, Emil ; Toth, Daniel ; Sindi, Ali. In: Research on World Agricultural Economy. RePEc:ags:reowae:343477.

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2065The Transmission of World Maize Price to South African Maize Market: A Threshold Cointegration Approach. (2012). Marlene, Labuschagne ; Abidoye, Babatunde O.. In: Working Papers. RePEc:ags:upaewp:206515.

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2024Dynamic Connectedness between Crypto and Conventional Financial Assets: Novel Findings from Russian Financial Market. (2024). Ullah, Mirzat. In: Journal of Applied Economic Research. RePEc:aiy:jnjaer:v:23:y:2024:i:1:p:110-135.

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2024Analysis of Long-Term and Short-Term Relationships between Electricity Consumption and Economic Growth in Industrialized Regions of Russia. (2024). Petrov, Mikhail B ; Serkov, Leonid A. In: Journal of Applied Economic Research. RePEc:aiy:jnjaer:v:23:y:2024:i:1:p:136-158.

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2024Financial Contagion of the Commodity Markets from the Stock Market during Pandemic and New Sanctions Shocks. (2024). Yu, Marina. In: Journal of Applied Economic Research. RePEc:aiy:jnjaer:v:23:y:2024:i:2:p:452-475.

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024022.

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2024Calendar Effects on Returns, Volatility and Higher Moments: Evidence from Crypto Markets. (2024). Lawuobahsumo, Kokulo ; Algieri, Bernardina ; Leccadito, Arturo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2024001.

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2025Exploring the Nexus Between Short- and Long-Run Rate of Interests in Turkey’s Bond Market. (2025). Tuncer, Ayse ; Ivrendi, Mehmet. In: World Journal of Applied Economics. RePEc:ana:journl:v:11:y:2025:i:1:p:39-62.

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2025Green versus Conventional Corporate Debt:From Issuances to Emissions. (2025). Williams, Tomas ; Schmukler, Sergio ; Raddatz, Claudio ; Cortina, Juan J. In: Mo.Fi.R. Working Papers. RePEc:anc:wmofir:193.

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2024Univariate inflation forecasts in Costa Rica: model evaluation and selection. (2024). Brenes-Soto, Carlos ; Jimnez-Montero, Susan ; Sand-Esquivel, Adriana ; Vindas-Quesada, Alberto. In: Notas Técnicas. RePEc:apk:nottec:2405.

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2024Time-varying parameters error correction model for real ruble exchange rate and oil prices: What has changed due to capital control and sanctions?. (2024). Fokin, Nikita ; Malikova, Ekaterina V ; Polbin, Andrey V. In: Russian Journal of Economics. RePEc:arh:jrujec:v:10:y:2024:i:1:p:20-33.

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2024Do Depth, Accessibility, and Efficiency of Financial Institutions Matter for Renewable Energy Development in Azerbaijan?. (2024). PATA, Uğur ; Kartal, Mustafa Tevfik. In: Journal of Sustainable Development Issues (JOSDI). RePEc:arv:journl:v:2:y:2024:i:1:p:42-50.

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2024The Impact of Dirty and Clean Energy Consumption on Carbon Emissions in Azerbaijan. (2024). Musayev, Gunduz. In: Journal of Sustainable Development Issues (JOSDI). RePEc:arv:journl:v:2:y:2024:i:2:p:76-88.

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2025Joint News, Attention Spillover,and Market Returns. (2022). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715.

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2025Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy. (2022). Hol, Vladim'Ir ; Tomanov, Petra. In: Papers. RePEc:arx:papers:1811.09312.

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2024Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2024). Blasques, Francisco ; Hol, Vladim'Ir ; Tomanov, Petra. In: Papers. RePEc:arx:papers:1812.07318.

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2025When do common time series estimands have nonparametric causal meaning?. (2025). Shephard, Neil ; Rambachan, Ashesh. In: Papers. RePEc:arx:papers:1903.01637.

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2025Quantile-Frequency Analysis and Spectral Divergence Metrics for Diagnostic Checks of Time Series With Nonlinear Dynamics. (2019). Li, Ta-Hsin. In: Papers. RePEc:arx:papers:1908.02545.

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2024Measuring the Time-Varying Market Efficiency in the Prewar and Wartime Japanese Stock Market, 1924-1943. (2024). Noda, Akihiko. In: Papers. RePEc:arx:papers:1911.04059.

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2024Volatility Depends on Market Trades and Macro Theory. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2008.07907.

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2025A Multivariate Realized GARCH Model. (2025). Hansen, Peter ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2024To VaR, or Not to VaR, That is the Question. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2101.08559.

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2024Nonparametric Test for Volatility in Clustered Multiple Time Series. (2024). Barrios, Erniel ; Victor, Paolo. In: Papers. RePEc:arx:papers:2104.14412.

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2024Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2024). Zohren, Stefan ; Poon, Ser-Huang ; Rahimikia, Eghbal. In: Papers. RePEc:arx:papers:2108.00480.

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2024Options Pricing under Bayesian MS-VAR Process. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2109.05998.

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2024Estimations of the Local Conditional Tail Average Treatment Effect. (2024). Chen, Le-Yu ; Yen, Yu-Min. In: Papers. RePEc:arx:papers:2109.08793.

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2024Data-Driven Risk Measurement by SV-GARCH-EVT Model. (2024). , Shibo. In: Papers. RePEc:arx:papers:2201.09434.

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2025From Semi-Infinite Constraints to Structured Robust Policies: Optimal Gain Selection for Financial Systems. (2025). Hsieh, Chung-Han. In: Papers. RePEc:arx:papers:2202.02300.

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2024A Neural Phillips Curve and a Deep Output Gap. (2024). Goulet Coulombe, Philippe. In: Papers. RePEc:arx:papers:2202.04146.

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2024Predicting Value at Risk for Cryptocurrencies With Generalized Random Forests. (2024). Schienle, Melanie ; Gorgen, Konstantin ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224.

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2025Option Pricing with Time-Varying Volatility Risk Aversion. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2204.06943.

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2025Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2025Stochastic arbitrage with market index options. (2025). Beare, Brendan ; Seo, Juwon. In: Papers. RePEc:arx:papers:2207.00949.

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2024A semi-parametric dynamic conditional correlation framework for risk forecasting. (2024). Storti, Giuseppe ; Wang, Chao. In: Papers. RePEc:arx:papers:2207.04595.

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2024Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2024). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

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2024Option pricing in Sandwiched Volterra Volatility model. (2024). Mishura, Yuliya ; di Nunno, Giulia ; Yurchenko-Tytarenko, Anton. In: Papers. RePEc:arx:papers:2209.10688.

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2024DeepVol: Volatility Forecasting from High-Frequency Data with Dilated Causal Convolutions. (2024). Zohren, Stefan ; Moreno-Pino, Fernando. In: Papers. RePEc:arx:papers:2210.04797.

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2024Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2024). van Huellen, Sophie ; Dellaportas, Petros ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Ortega, Juan-Pablo ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363.

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2025On conditional distortion risk measures under uncertainty. (2025). Hu, Yijun ; Gong, Shuo ; Wei, Linxiao. In: Papers. RePEc:arx:papers:2211.00520.

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2024An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2024). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

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2024Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications. (2024). Rossini, Luca ; Iacopini, Matteo ; Ravazzolo, Francesco. In: Papers. RePEc:arx:papers:2211.16121.

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2024Dynamic CVaR Portfolio Construction with Attention-Powered Generative Factor Learning. (2024). Yan, Xing ; Ma, Wenxuan ; Sun, Chuting. In: Papers. RePEc:arx:papers:2301.07318.

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2024Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2024). Wilms, Ines ; Hecq, Alain ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592.

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2024Learning to Predict Short-Term Volatility with Order Flow Image Representation. (2024). Hao, Mingyu ; Lenskiy, Artem. In: Papers. RePEc:arx:papers:2304.02472.

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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2024). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2024Inference in Predictive Quantile Regressions. (2024). Maynard, Alex ; Kuriyama, Nina ; Shimotsu, Katsumi. In: Papers. RePEc:arx:papers:2306.00296.

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2024Maximally Machine-Learnable Portfolios. (2024). Goulet Coulombe, Philippe ; Goebel, Maximilian. In: Papers. RePEc:arx:papers:2306.05568.

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2025Latent Factor Analysis in Short Panels. (2024). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004.

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2024Liquidity Premium, Liquidity-Adjusted Return and Volatility, and Extreme Liquidity. (2024). Deng, QI. In: Papers. RePEc:arx:papers:2306.15807.

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2025The Bayesian Context Trees State Space Model for time series modelling and forecasting. (2023). Papageorgiou, Ioannis ; Kontoyiannis, Ioannis. In: Papers. RePEc:arx:papers:2308.00913.

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2024GARCHX-NoVaS: A Model-free Approach to Incorporate Exogenous Variables. (2024). GUPTA, RANGAN ; Karmakar, Sayar ; Wu, Kejin. In: Papers. RePEc:arx:papers:2308.13346.

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2024A hidden Markov model for statistical arbitrage in international crude oil futures markets. (2024). Fanelli, Viviana ; Rotondi, Francesco ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2309.00875.

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2025From constant to rough: A survey of continuous volatility modeling. (2023). Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia ; Yurchenko-Tytarenko, Anton. In: Papers. RePEc:arx:papers:2309.01033.

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2025Measuring risk contagion in financial networks with CoVaR. (2024). Fasen-Hartmann, Vicky ; Das, Bikramjit. In: Papers. RePEc:arx:papers:2309.15511.

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2024Optimal Entry and Exit with Signature in Statistical Arbitrage. (2024). Chakraborty, Prakash ; Lee, Kiseop ; Ning, Boming. In: Papers. RePEc:arx:papers:2309.16008.

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2025From Transcripts to Insights: Uncovering Corporate Risks Using Generative AI. (2025). Nikolaev, Valeri ; Muhn, Maximilian ; Kim, Alex. In: Papers. RePEc:arx:papers:2310.17721.

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2025Regressions under Adverse Conditions. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327.

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2024From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks. (2024). Goulet Coulombe, Philippe ; Frenette, Mikael ; Klieber, Karin. In: Papers. RePEc:arx:papers:2311.16333.

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2024Rough volatility: evidence from range volatility estimators. (2024). Mouti, Saad. In: Papers. RePEc:arx:papers:2312.01426.

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2024Scalable Agent-Based Modeling for Complex Financial Market Simulations. (2024). Varner, Jeffrey D ; Wheeler, Aaron. In: Papers. RePEc:arx:papers:2312.14903.

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2024Price predictability at ultra-high frequency: Entropy-based randomness test. (2024). Marmi, Stefano ; Shternshis, Andrey. In: Papers. RePEc:arx:papers:2312.16637.

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2024Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches. (2024). Jeleskovic, Vahidin ; Chinazzo, Cristina. In: Papers. RePEc:arx:papers:2401.02049.

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2025Volatility models in practice: Rough, Path-dependent or Markovian?. (2025). , Shaun ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2401.03345.

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2024Modelling and Predicting the Conditional Variance of Bitcoin Daily Returns: Comparsion of Markov Switching GARCH and SV Models. (2024). Younas, Zahid I ; Jeleskovic, Vahidin ; Koch, Dennis. In: Papers. RePEc:arx:papers:2401.03393.

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2025SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: Papers. RePEc:arx:papers:2401.06249.

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2024Deep Generative Modeling for Financial Time Series with Application in VaR: A Comparative Review. (2024). Han, Xusi ; Zhu, Xuejun ; Guo, Steve ; Li, Shuang ; Fu, Rao ; Ericson, Lars. In: Papers. RePEc:arx:papers:2401.10370.

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2024Stylized Facts and Market Microstructure: An In-Depth Exploration of German Bond Futures Market. (2024). Carlier, Laurent ; Bodor, Hamza. In: Papers. RePEc:arx:papers:2401.10722.

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2025Realized Stochastic Volatility Model with Skew-t Distributions for Improved Volatility and Quantile Forecasting. (2024). Takahashi, Makoto ; Yamauchi, Yuta ; Omori, Yasuhiro ; Watanabe, Toshiaki. In: Papers. RePEc:arx:papers:2401.13179.

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2025Self and mutually exciting point process embedding flexible residuals and intensity with discretely Markovian dynamics. (2025). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2401.13890.

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2024ESG driven pairs algorithm for sustainable trading: Analysis from the Indian market. (2024). Chakrabarty, Siddhartha P ; Diwan, Sarthak ; Dutta, Eeshaan. In: Papers. RePEc:arx:papers:2401.14761.

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2024Predicting the volatility of major energy commodity prices: the dynamic persistence model. (2024). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2402.01354.

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2024The general solution to an autoregressive law of motion. (2024). Franchi, Massimo ; Beare, Brendan ; Howlett, Phil. In: Papers. RePEc:arx:papers:2402.01966.

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2024Tweet Influence on Market Trends: Analyzing the Impact of Social Media Sentiment on Biotech Stocks. (2024). Sarai, C. In: Papers. RePEc:arx:papers:2402.03353.

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2024Navigating Market Turbulence: Insights from Causal Network Contagion Value at Risk. (2024). Cook, Samantha ; Rigana, Katerina ; Wit, Ernst C. In: Papers. RePEc:arx:papers:2402.06032.

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2024Tail risk forecasting with semi-parametric regression models by incorporating overnight information. (2024). Shau, Wei-Hsuan ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2402.07134.

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2024Analyzing Currency Fluctuations: A Comparative Study of GARCH, EWMA, and IV Models for GBP/USD and EUR/GBP Pairs. (2024). Tondapu, Narayan. In: Papers. RePEc:arx:papers:2402.07435.

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2024Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization. (2024). Schmelzer, Thomas ; Boyd, Stephen ; Johansson, Kasper. In: Papers. RePEc:arx:papers:2402.08108.

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

Robert F. Engle has edited the books:

YearTitleTypeCited

Works by Robert F. Engle:

YearTitleTypeCited
2012And Now, The Rest of the News: Volatility and Firm Specific News Arrival In: CREATES Research Papers.
[Full Text][Citation analysis]		paper6
2012Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks In: American Economic Review.
[Full Text][Citation analysis]		article626
1972An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government. In: American Economic Review.
[Citation analysis]		article8
2004Risk and Volatility: Econometric Models and Financial Practice In: American Economic Review.
[Full Text][Citation analysis]		article202
2003Risk and Volatility: Econometric Models and Financial Practice.(2003) In: Nobel Prize in Economics documents.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 202		paper
2001GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics In: Journal of Economic Perspectives.
[Full Text][Citation analysis]		article338
1990A GENERAL APPROACH TO THE CONSTRUCTION OF MODEL DIAGNOSTICS BASED UPON THE LAGRANGE MULTIPLIER PRINCIPLE In: Economic Research Papers.
[Full Text][Citation analysis]		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).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
1990EXOGENEITY In: Economic Research Papers.
[Full Text][Citation analysis]		paper49
1983Exogeneity.(1983) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 49		paper
1983Exogeneity..(1983) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49		article
1979Exogeneity.(1979) In: The Warwick Economics Research Paper Series (TWERPS).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49		paper
2014Testing macroprudential stress tests: The risk of regulatory risk weights In: LIDAM Reprints ISBA.
[Citation analysis]		paper195
2013Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2013) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 195		paper
2014Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2014) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 195		paper
2014Testing macroprudential stress tests: The risk of regulatory risk weights.(2014) In: Journal of Monetary Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 195		article
2013Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2013) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 195		paper
2018Systemic Risk 10 Years Later In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article25
2023Climate Stress Testing In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article27
2023Climate Stress Testing.(2023) In: CESifo Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		paper
2023Climate Stress Testing.(2023) In: Staff Reports.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		paper
2023Climate Stress Testing.(2023) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		paper
2010The Underlying Dynamics of Credit Correlations In: Papers.
[Full Text][Citation analysis]		paper0
The underlying dynamics of credit correlations.() In: Journal of Credit Risk.
[Full Text][Citation analysis]
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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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
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.
[Citation analysis]
This paper has nother version. Agregated cites: 11		paper
1991Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns.(1991) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2009The Factor-Spline-GARCH Model for High and Low Frequency Correlations In: Working Papers.
[Full Text][Citation analysis]		paper82
2011The Factor--Spline--GARCH Model for High and Low Frequency Correlations.(2011) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 82		article
2012The Factor–Spline–GARCH Model for High and Low Frequency Correlations.(2012) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 82		article
2009High and Low Frequency Correlations in Global Equity Markets In: Working Papers.
[Full Text][Citation analysis]		paper8
1993Common Volatility in International Equity Markets. In: Journal of Business & Economic Statistics.
[Citation analysis]		article169
1993Testing for Common Features. In: Journal of Business & Economic Statistics.
[Citation analysis]		article431
1990Testing For Common Features.(1990) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 431		paper
1993Testing for Common Features: Reply. In: Journal of Business & Economic Statistics.
[Citation analysis]		article346
1994Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]		article0
2002Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article2956
2004CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article1192
1999CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles.(1999) In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1192		paper
2000CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1192		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.
[Full Text][Citation analysis]		article61
2006Testing and Valuing Dynamic Correlations for Asset Allocation In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article165
1991Semiparametric ARCH Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article251
2018GLOBALIZATION: CONTENTS AND DISCONTENTS In: Contemporary Economic Policy.
[Full Text][Citation analysis]		article1
1993 Measuring and Testing the Impact of News on Volatility. In: Journal of Finance.
[Full Text][Citation analysis]		article1710
1991Measuring and Testing the Impact of News on Volatility.(1991) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1710		paper
2000Time and the Price Impact of a Trade In: Journal of Finance.
[Full Text][Citation analysis]		article272
1999Time and the Price Impact of a Trade.(1999) In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 272		paper
1996Common Seasonal Features: Global Unemployment. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]		article20
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]		paper31
1998Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model.(1998) In: CRSP working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		paper
2000Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper50
2001Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper805
2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 805		paper
2000Impacts of Trades in an Error-Correction Model of Quote Prices In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper78
2004Impacts of trades in an error-correction model of quote prices.(2004) In: Journal of Financial Markets.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 78		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.
[Full Text][Citation analysis]		paper39
1999Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market.(1999) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		paper
1998Macroeconomic Announcements and Volatility of Treasury Futures In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper57
1998Trades and Quotes: A Bivariate Point Process In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper63
2003Trades and Quotes: A Bivariate Point Process.(2003) In: Journal of Financial Econometrics.
[Citation analysis]
This paper has nother version. Agregated cites: 63		article
1998Stochastic Permanent Breaks In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper135
1999Stochastic Permanent Breaks.(1999) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 135		article
2019Hedging climate change news In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper381
2019Hedging Climate Change News.(2019) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 381		paper
2019Hedging Climate Change News.(2019) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 381		paper
2020Hedging Climate Change News.(2020) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 381		article
2007A GARCH Option Pricing Model in Incomplete Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper5
2012Systemic Risk in Europe In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper130
2015Systemic Risk in Europe.(2015) In: Review of Finance.
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1985Small-Sample Properties of ARCH Estimators and Tests. In: Canadian Journal of Economics.
[Full Text][Citation analysis]		article40
2005The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes In: Working Papers.
[Full Text][Citation analysis]		paper37
2021Why did bank stocks crash during COVID-19? In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper43
2021Why Did Bank Stocks Crash During COVID-19?.(2021) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 43		paper
2024Why Did Bank Stocks Crash during COVID-19?.(2024) In: The Review of Financial Studies.
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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.
[Full Text][Citation analysis]		paper1048
2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns.(2006) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 1048		article
2021The risk management approach to macro-prudential policy In: Working Paper Series.
[Full Text][Citation analysis]		paper13
2023Estimating systemic risk for non-listed euro-area banks In: Working Paper Series.
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2024Estimating systemic risk for non-listed Euro-area banks.(2024) In: Journal of Financial Stability.
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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.
[Full Text][Citation analysis]		article8
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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This paper has nother version. Agregated cites: 10662		article
1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model. In: Econometrica.
[Full Text][Citation analysis]		article1062
1990Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market. In: Econometrica.
[Full Text][Citation analysis]		article621
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 nother version. Agregated cites: 621		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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1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data 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: Econometrics Working Papers Archive.
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2003A Multiple Indicators Model for Volatility Using Intra-Daily Data.(2003) In: NBER Working Papers.
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2006A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones In: Journal of Econometrics.
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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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2017Scenario generation for long run interest rate risk assessment In: Journal of Econometrics.
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1982A general approach to lagrange multiplier model diagnostics In: Journal of Econometrics.
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2020Liquidity and volatility in the U.S. Treasury market In: Journal of Econometrics.
[Full Text][Citation analysis]		article28
2012Liquidity and volatility in the U.S. treasury market.(2012) In: Staff Reports.
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This paper has nother version. Agregated cites: 28		paper
1983Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models In: Journal of Econometrics.
[Full Text][Citation analysis]		article231
2025Multiplicative factor model for volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
1985A dymimic model of housing price determination In: Journal of Econometrics.
[Full Text][Citation analysis]		article18
1987Forecasting and testing in co-integrated systems In: Journal of Econometrics.
[Full Text][Citation analysis]		article731
1989Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting In: Journal of Econometrics.
[Full Text][Citation analysis]		article80
1990Seasonal integration and cointegration In: Journal of Econometrics.
[Full Text][Citation analysis]		article680
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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This paper has nother version. Agregated cites: 680		paper
1990Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills In: Journal of Econometrics.
[Full Text][Citation analysis]		article378
1988Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills.(1988) In: NBER Technical Working Papers.
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This paper has nother version. Agregated cites: 378		paper
1992A multi-dynamic-factor model for stock returns In: Journal of Econometrics.
[Full Text][Citation analysis]		article104
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.
[Full Text][Citation analysis]		article170
1990TESTING SUPER EXOGENEITY AND INVARIANCE IN REGRESSION MODELS..(1990) In: Economics Series Working Papers.
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This paper has nother version. Agregated cites: 170		paper
1997Codependent cycles In: Journal of Econometrics.
[Full Text][Citation analysis]		article91
1979Residential load curves and time-of-day pricing : An econometric analysis In: Journal of Econometrics.
[Full Text][Citation analysis]		article9
1993A long memory property of stock market returns and a new model In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article1778
1997Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article102
1984The billing cycle and weather variables in models of electricity sales In: Energy.
[Full Text][Citation analysis]		article7
2001Predicting VNET: A model of the dynamics of market depth In: Journal of Financial Markets.
[Full Text][Citation analysis]		article40
1992Where does the meteor shower come from? : The role of stochastic policy coordination In: Journal of International Economics.
[Full Text][Citation analysis]		article51
1990Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination.(1990) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 51		paper
1997Shorte-run forecasts of electricity loads and peaks In: International Journal of Forecasting.
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2022Large dynamic covariance matrices: Enhancements based on intraday data In: Journal of Banking & Finance.
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2021Large dynamic covariance matrices: enhancements based on intraday data.(2021) In: ECON - Working Papers.
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2023What are the events that shake our world? Measuring and hedging global COVOL In: Journal of Financial Economics.
[Full Text][Citation analysis]		article31
2025CRISK: Measuring the climate risk exposure of the financial system In: Journal of Financial Economics.
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2021CRISK: Measuring the Climate Risk Exposure of the Financial System.(2021) In: Staff Reports.
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2002Empirical pricing kernels In: Journal of Financial Economics.
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2000Empirical Pricing Kernels.(2000) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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1994Hourly volatility spillovers between international equity markets In: Journal of International Money and Finance.
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1974Issues in the specification of an econometric model of metropolitan growth, In: Journal of Urban Economics.
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1973Issues in the Specification of an Econometric Model of Metropolitan Growth.(1973) In: Working papers.
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1987Transportation costs and the rent gradient In: Journal of Urban Economics.
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1992On the theory of growth controls In: Journal of Urban Economics.
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1979Estimation of the price elasticity of demand facing metropolitan producers In: Journal of Urban Economics.
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1975Estimation of the Price Elasticity of Demand Facing Metropolitan Producers.(1975) In: Working papers.
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1995Estimating common sectoral cycles In: Journal of Monetary Economics.
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2010The intertemporal capital asset pricing model with dynamic conditional correlations In: Journal of Monetary Economics.
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1992On the determination of regional base and regional base multipliers In: Regional Science and Urban Economics.
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1994Estimating sectoral cycles using cointegration and common features In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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1993Estimating Sectoral Cycles Using Cointegration and Common Features.(1993) In: NBER Working Papers.
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1993Common trends and common cycles in Latin America In: Revista Brasileira de Economia - RBE.
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2024Physical Climate Risk and Insurers In: Liberty Street Economics.
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2023Physical Climate Risk Factors and an Application to Measuring Insurers’ Climate Risk Exposure In: Staff Reports.
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2006Vector Multiplicative Error Models: Representation and Inference In: Econometrics Working Papers Archive.
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2006Vector Multiplicative Error Models: Representation and Inference.(2006) In: NBER Technical Working Papers.
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