Robert F. Engle : Citation Profile

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

69

H index

126

i10 index

50813

Citations

RESEARCH PRODUCTION:

128

Articles

121

Papers

9

Chapters

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   59 years (1966 - 2025). See details.
   Cites by year: 861
   Journals where Robert F. Engle has often published
   Relations with other researchers
   Recent citing documents: 1640.    Total self citations: 94 (0.18 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pen9
   Updated: 2025-04-12    RAS profile: 2023-03-11    
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Relations with other researchers

Works with:

Jung, Hyeyoon (6)

Stroebel, Johannes (5)

Acharya, Viral (4)

Manganelli, Simone (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:

Chang, Chia-Lin (363)

GUPTA, RANGAN (357)

Caporin, Massimiliano (323)

Bollerslev, Tim (260)

Diebold, Francis (258)

Gallo, Giampiero (248)

Issler, João (208)

Bauwens, Luc (203)

Hecq, Alain (195)

Hafner, Christian (187)

Hautsch, Nikolaus (187)

Cites to:

Bollerslev, Tim (115)

Campbell, John (42)

Diebold, Francis (39)

Jagannathan, Ravi (31)

Schwert, G. (30)

Gallo, Giampiero (28)

Shephard, Neil (26)

French, Kenneth (25)

Andersen, Torben (23)

pagan, adrian (19)

Bekaert, Geert (18)

Main data

Production by document typechapterpaperarticle198019811982198319841985198619871988198919901991199219931994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024202501020Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published1966196719681969197019711972197319741975197619771978197919801981198219831984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250100200300Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received1966196719681969197019711972197319741975197619771978197919801981198219831984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250k1k2k3kCitations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year1972197319741975197619771978197919801981198219831984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250k5k10k15kCitations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 69Most cited documents12345678910111213141516171819202122232425262728293031323334353637383940414243444546474849505152535455565758596061626364656667686970710k5k10k15kNumber of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2013082013092013102013112013122014012014022014032014042014052014062014072014082014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025032025040255075h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Robert F. Engle has published?

Journals with more than one article published# docs
Journal of Econometrics21
Econometrica12
Journal of Business & Economic Statistics9
Journal of Financial Econometrics8
The Review of Financial Studies8
Journal of Business & Economic Statistics5
The Review of Economics and Statistics4
Journal of Urban Economics4
International Economic Review3
Journal of Money, Credit and Banking3
American Economic Review3
Journal of Monetary Economics3
Quantitative Finance2
Journal of Financial Markets2
Journal of Empirical Finance2
Journal of Credit Risk2
Annual Review of Financial Economics2
Journal of Applied Econometrics2
Financial Markets, Institutions & Instruments2
Corporate Social Responsibility and Environmental Management2
Journal of Financial Economics2
Review of Finance2
Journal of 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
Staff Reports / Federal Reserve Bank of New York4
Working Paper Series / European Central Bank4
CEPR Discussion Papers / C.E.P.R. Discussion Papers4
Economics Series Working Papers / University of Oxford, Department of Economics2
CESifo Working Paper Series / CESifo2
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2
Working Papers / Banco de M�xico2
The Warwick Economics Research Paper Series (TWERPS) / University of Warwick, Department of Economics2
Papers / arXiv.org2
Economic Research Papers / University of Warwick - Department of Economics2

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

Year  ↓Title of citing document  ↓
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 Obinozie ; Ekesiobi, Chukwunonso ; Ashibogwu, Kingsley Nze ; Emmanuel, Precious Muhammed ; Ifebi, Ogonna ; Onwe, Joshua Chukwuma. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:24/016.

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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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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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2024.

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2024.

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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 ; Polbin, Andrey V ; Malikova, Ekaterina V. In: Russian Journal of Economics. RePEc:arh:jrujec:v:10:y:2024:i:1:p:20-33.

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2024.

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2024.

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2024Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2025A Nonparametric Dynamic Causal Model for Macroeconometrics. (2019). Shephard, Neil ; Rambachan, Ashesh. In: Papers. RePEc:arx:papers:1903.01637.

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2024Measuring the Time-Varying Market Efficiency in the Prewar Japanese Stock Market. (2019). Noda, Akihiko. In: Papers. RePEc:arx:papers:1911.04059.

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2024Volatility Depend on Market Trades and Macro Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2008.07907.

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2025A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; 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. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2101.08559.

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2024Nonparametric Test for Volatility in Clustered Multiple Time Series. (2021). Barrios, Erniel B ; Victor, Paolo. In: Papers. RePEc:arx:papers:2104.14412.

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2024Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2021). Poon, Ser-Huang ; Zohren, Stefan ; Rahimikia, Eghbal. In: Papers. RePEc:arx:papers:2108.00480.

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2024Option Pricing under Bayesian MS-VAR Process. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2109.05998.

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2024Estimations of the Conditional Tail Average Treatment Effect. (2021). Yen, Yu-Min ; Chen, Le-Yu. In: Papers. RePEc:arx:papers:2109.08793.

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2024Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434.

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2025On Robust Optimal Linear Feedback Stock Trading. (2022). Hsieh, Chung-Han. In: Papers. RePEc:arx:papers:2202.02300.

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2024A Neural Phillips Curve and a Deep Output Gap. (2022). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2202.04146.

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2024Predicting Value at Risk for Cryptocurrencies Using Generalized Random Forests. (2022). Gorgen, Konstantin ; Schienle, Melanie ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224.

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2025Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2025Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2025Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949.

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2024A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. 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. (2022). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

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2024Option pricing in Volterra sandwiched volatility model. (2022). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2209.10688.

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2024DeepVol: Volatility Forecasting from High-Frequency Data with Dilated Causal Convolutions. (2022). 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. (2022). Ortega, Juan-Pablo ; van Huellen, Sophie ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Dellaportas, Petros ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363.

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2024An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

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2024Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications. (2022). Rossini, Luca ; Ravazzolo, Francesco ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2211.16121.

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2024A GRU-Based Dynamic Generative Factor Model for CVaR Portfolio Optimization. (2023). 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. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592.

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2024Short-Term Volatility Prediction Using Deep CNNs Trained on Order Flow. (2023). Lenskiy, Artem ; Hao, Mingyu. In: Papers. RePEc:arx:papers:2304.02472.

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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2024Inference in Predictive Quantile Regressions. (2023). Kuriyama, Nina ; Shimotsu, Katsumi ; Maynard, Alex. In: Papers. RePEc:arx:papers:2306.00296.

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2024Maximally Machine-Learnable Portfolios. (2023). Goebel, Maximilian ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2306.05568.

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2024Latent Factor Analysis in Short Panels. (2023). 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 a Unified Modern Portfolio Theory: illustrated with Crypto Assets. (2023). Deng, QI. In: Papers. RePEc:arx:papers:2306.15807.

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2024GARHCX-NoVaS: A Model-free Approach to Incorporate Exogenous Variables. (2023). 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. (2023). Rotondi, Francesco ; Fontana, Claudio ; Fanelli, Viviana. In: Papers. RePEc:arx:papers:2309.00875.

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2024Systemic risk in financial networks: the effects of asymptotic independence. (2023). 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. (2023). Lee, Kiseop ; Chakraborty, Prakash ; Ning, Boming. In: Papers. RePEc:arx:papers:2309.16008.

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2025From Transcripts to Insights: Uncovering Corporate Risks Using Generative AI. (2023). Muhn, Maximilian ; Kim, Alex ; Nikolaev, Valeri. In: Papers. RePEc:arx:papers:2310.17721.

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2025Regressions under Adverse Conditions. (2023). 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. (2023). Frenette, Mikael ; Coulombe, Philippe Goulet ; Klieber, Karin. In: Papers. RePEc:arx:papers:2311.16333.

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2024Rough volatility: evidence from range volatility estimators. (2023). Mouti, Saad. In: Papers. RePEc:arx:papers:2312.01426.

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2024Quantifying neural network uncertainty under volatility clustering. (2024). Azizi, Lamiae. In: Papers. RePEc:arx:papers:2402.14476.

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2024Extremal quantiles of intermediate orders under two-way clustering. (2024). Sasaki, Yuya ; Kato, Ryutah ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2402.19268.

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2024RVRAE: A Dynamic Factor Model Based on Variational Recurrent Autoencoder for Stock Returns Prediction. (2024). Guo, Shengjie ; Wang, Yilun. In: Papers. RePEc:arx:papers:2403.02500.

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2024Impact of COVID-19 on Exchange rate volatility of Bangladesh: Evidence through GARCH model. (2024). Karim, Rizwanul. In: Papers. RePEc:arx:papers:2403.02560.

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2024Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector. (2024). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2403.02591.

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2024Advanced Statistical Arbitrage with Reinforcement Learning. (2024). Lee, Kiseop ; Ning, Boming. In: Papers. RePEc:arx:papers:2403.12180.

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2024Dynamic Analyses of Contagion Risk and Module Evolution on the SSE A-Shares Market Based on Minimum Information Entropy. (2024). Huang, Difang ; Wu, Boyao ; Wang, Yuhang ; Chen, Muzi. In: Papers. RePEc:arx:papers:2403.19439.

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2024On the potential of quantum walks for modeling financial return distributions. (2024). Schoors, Koen ; Ryckebusch, Jan ; de Backer, Stijn. In: Papers. RePEc:arx:papers:2403.19502.

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2024The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model. (2024). Zhou, Wei-Xing ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2404.01641.

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2024A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962.

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2024Factor risk measures. (2024). Liu, Peng ; Assa, Hirbod. In: Papers. RePEc:arx:papers:2404.08475.

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2024Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification. (2024). Zhao, Yimiao ; Liu, Yang ; Geng, Bingzhen. In: Papers. RePEc:arx:papers:2404.18029.

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2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012.

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2024On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures. (2024). Zhang, Yiying ; Pu, Tong. In: Papers. RePEc:arx:papers:2405.07549.

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2024Financial Interactions and Capital Accumulation. (2024). Lotz, Aileen ; Gosselin, Pierre. In: Papers. RePEc:arx:papers:2405.10338.

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

Robert F. Engle has edited the books:

Year  ↓Title  ↓Type  ↓Cited  ↓

Works by Robert F. Engle:

Year  ↓Title  ↓Type  ↓Cited  ↓
2012And Now, The Rest of the News: Volatility and Firm Specific News Arrival In: CREATES Research Papers.
[Full Text][Citation analysis]		paper5
2012Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks In: American Economic Review.
[Full Text][Citation analysis]		article605
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]		article195
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: 195		paper
2001GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics In: Journal of Economic Perspectives.
[Full Text][Citation analysis]		article331
1979A 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
1979EXOGENEITY 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]
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1979Exogeneity.(1979) In: The Warwick Economics Research Paper Series (TWERPS).
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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]		paper193
2013Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2013) In: CEPR Discussion Papers.
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2014Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2014) In: CEPR Discussion Papers.
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2014Testing macroprudential stress tests: The risk of regulatory risk weights.(2014) In: Journal of Monetary Economics.
[Full Text][Citation analysis]
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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: 193		paper
2018Systemic Risk 10 Years Later In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article22
2023Climate Stress Testing In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article16
2023Climate Stress Testing.(2023) In: CESifo Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2023Climate Stress Testing.(2023) In: Staff Reports.
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2023Climate Stress Testing.(2023) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 16		paper
2010The Underlying Dynamics of Credit Correlations In: Papers.
[Full Text][Citation analysis]		paper0
.() In: .
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This paper has nother version. Agregated cites: 0		article
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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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]		paper78
2011The Factor--Spline--GARCH Model for High and Low Frequency Correlations.(2011) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 78		article
2012The Factor–Spline–GARCH Model for High and Low Frequency Correlations.(2012) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 78		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]		article424
1990Testing For Common Features.(1990) In: NBER Technical Working Papers.
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This paper has nother version. Agregated cites: 424		paper
1993Testing for Common Features: Reply. In: Journal of Business & Economic Statistics.
[Citation analysis]		article342
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]		article2839
2004CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles In: Journal of Business & Economic Statistics.
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