Robert F. Engle : Citation Profile

Are you Robert F. Engle?

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

69

H index

121

i10 index

48474

Citations

RESEARCH PRODUCTION:

119

Articles

119

Papers

9

Chapters

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   57 years (1966 - 2023). See details.
   Cites by year: 850
   Journals where Robert F. Engle has often published
   Relations with other researchers
   Recent citing documents: 1486.    Total self citations: 94 (0.19 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pen9
   Updated: 2024-04-18    RAS profile: 2023-03-11    
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Relations with other researchers

Works with:

Jung, Hyeyoon (5)

Stroebel, Johannes (4)

Giglio, Stefano (4)

Acharya, Viral (3)

Lagasio, Valentina (2)

Ledoit, Olivier (2)

Cucari, Nicola (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 (360)

Caporin, Massimiliano (320)

GUPTA, RANGAN (299)

Bollerslev, Tim (256)

Diebold, Francis (254)

Gallo, Giampiero (234)

Issler, João (207)

Bauwens, Luc (193)

Hecq, Alain (192)

Shahbaz, Muhammad (186)

Hafner, Christian (181)

Cites to:

Bollerslev, Tim (115)

Campbell, John (41)

Diebold, Francis (39)

Jagannathan, Ravi (31)

Gallo, Giampiero (28)

Shephard, Neil (26)

Schwert, G. (25)

French, Kenneth (25)

Andersen, Torben (23)

pagan, adrian (19)

merton, robert (19)

Main data

Where Robert F. Engle has published?

Journals with more than one article published# docs
Journal of Econometrics21
Econometrica12
Journal of Business & Economic Statistics9
Journal of Financial Econometrics8
The Review of Financial Studies7
Journal of Business & Economic Statistics5
The Review of Economics and Statistics4
Journal of Urban Economics4
American Economic Review3
Journal of Money, Credit and Banking3
International Economic Review3
Journal of Monetary Economics3
Journal of Empirical Finance2
Journal of Financial Economics2
Journal of Finance2
Quantitative Finance2
Review of Finance2
Journal of Applied Econometrics2
Journal of Financial Markets2
Corporate Social Responsibility and Environmental Management2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc29
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
CEPR Discussion Papers / C.E.P.R. Discussion Papers4
Working Paper Series / European Central Bank4
CESifo Working Paper Series / CESifo2
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 México2
Economic Research Papers / University of Warwick - Department of Economics2
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2

Recent works citing Robert F. Engle (2024 and 2023)

YearTitle of citing document
2023Impact of Financial Liberalization on Firm Risk. (2023). Lin, Oshamah Lin ; Chang, Chong-Chuo ; Hsu, Oshamah Kun-Zhan. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:27:y:2023:i:3:p:14-45.

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2023.

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2023The Relative Effectiveness of Monetary Policy Transmission Channels in Tanzania: Empirical Lesson for Post COVID-19 Recovery. (2023). Mwamkonko, Mussa Ally. In: African Journal of Economic Review. RePEc:ags:afjecr:330411.

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2023Factors Influencing the Prices of Rice, Maize and Wheat Prices in Nigeria. (2023). Obayelu, Abiodun Elijah ; Verter, Nahanga ; Ogunmola, Omotoso Oluseye. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:334664.

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2023Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps. (2023). Ugolini, Andrea ; Ojea-Ferreiro, Javier ; Reboredo, Juan Carlos. In: FEEM Working Papers. RePEc:ags:feemwp:330720.

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2023Analyzing Food Import Demand in Indonesia: An ARDL Bounds Testing Approach. (2023). Khoiriyah, Nikmatul ; Forgenie, David. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:330861.

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2023Price Transmission in the Wheat Market in Algeria: Threshold Cointegration Approach. (2023). Kaci, Ahcene ; Benmehaia, Mohamed Amine ; Bekkis, Soumeya. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:330862.

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2023Volatility Transmissionin Agricultural Markets: Evidence from the Russia-Ukraine Conflict. (2023). Gaio, Luiz Eduardo ; Dario, Daniel Henrique. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:334707.

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2023THE EFFECT OF MARKET SHOCKS ON THE VOLATILITY OF CORN PRICE. (2023). Tenkorang, Frank ; Bridges, Deborah ; Nies, Greg. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2023:j:31:bridgesd.

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2023The Impact of Trade Openness on Economic Growth in Landlocked Developing Countries. (2023). Yan, Wenshou ; Cao, Liang ; Khurelchuluun, Bolor. In: International Journal of Science and Business. RePEc:aif:journl:v:28:y:2023:i:1:p:84-97.

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2023.

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2023Analysis of Dynamic Connectedness among Sovereign CDS Premia. (2023). Ceylan, Ozcan. In: World Journal of Applied Economics. RePEc:ana:journl:v:9:y:2023:i:1:p:33-47.

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2023Financial Stability and Economic Growth in the Cemac Zone: A Panel Cointegration Approach. (2023). Mungong, Wilfred Kem ; Wabo, Vivien Narcisse. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2023:p:1-8.

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2023Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542.

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2023Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

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2023A Residual Bootstrap for Conditional Value-at-Risk. (2018). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1808.09125.

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2023Distribution Regression with Sample Selection, with an Application to Wage Decompositions in the UK. (2019). Chernozhukov, Victor ; Luo, Siyi ; Fern, Iv'An. In: Papers. RePEc:arx:papers:1811.11603.

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2023Scoring Functions for Multivariate Distributions and Level Sets. (2020). Li, Siran ; Ben Taieb, Souhaib ; Taylor, James W ; Meng, Xiaochun. In: Papers. RePEc:arx:papers:2002.09578.

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2023Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning. (2020). Challet, Damien ; Bongiorno, Christian. In: Papers. RePEc:arx:papers:2005.08703.

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2023New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191.

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2023New Approaches to Robust Inference on Market (Non-)Efficiency, Volatility Clustering and Nonlinear Dependence. (2020). Skrobotov, Anton ; Pedersen, Rasmus ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01212.

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2023Deep Dynamic Factor Models. (2020). Ricco, Giovanni ; Izzo, Cosimo ; Andreini, Paolo. In: Papers. RePEc:arx:papers:2007.11887.

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2023Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2023Large Non-Stationary Noisy Covariance Matrices: A Cross-Validation Approach. (2020). , Vincent ; Vincent, ; Zohren, Stefan. In: Papers. RePEc:arx:papers:2012.05757.

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2023Nonparametric 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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2023A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

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2023Realised 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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2023Option Pricing under Bayesian MS-VAR Process. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2109.05998.

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2023Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes. (2021). Rachev, Svetlozar T ; Lindquist, Brent W ; Mittnik, Stefan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2109.15051.

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2023Factor-augmented tree ensembles. (2021). Pellegrino, Filippo. In: Papers. RePEc:arx:papers:2111.14000.

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2023Spread Option Pricing in a Copula Affine GARCH(p,q) Model. (2021). Mercuri, Lorenzo ; Berton, Edoardo. In: Papers. RePEc:arx:papers:2112.11968.

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2023Location-Scale and Compensated Effects in Unconditional Quantile Regressions. (2022). Montes-Rojas, Gabriel ; Martinez-Iriarte, Julian ; Sun, Yixiao. In: Papers. RePEc:arx:papers:2201.02292.

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2023Dynamic 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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2023Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962.

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2023Canonical Portfolios: Optimal Asset and Signal Combination. (2022). Tan, Vincent ; Zohren, Stefan ; Firoozye, Nick. In: Papers. RePEc:arx:papers:2202.10817.

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2023Does non-linear factorization of financial returns help build better and stabler portfolios?. (2022). Hardle, Wolfgang Karl ; Spilak, Bruno. In: Papers. RePEc:arx:papers:2204.02757.

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2023Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity. (2022). Saikkonen, Pentti ; Meitz, Mika. In: Papers. RePEc:arx:papers:2205.11953.

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2024Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2023A 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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2023Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market. (2022). Grzeszkiewicz, Karolina ; Koziell, Warrick Poklewski ; de Iorio, Maria ; Beskos, Alexandros ; Franzolini, Beatrice. In: Papers. RePEc:arx:papers:2208.00952.

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2023Option 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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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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2023Distortion risk measures in random environments: construction and axiomatic characterization. (2022). Wei, Linxiao ; Hu, Yijun ; Gong, Shuo. In: Papers. RePEc:arx:papers:2211.00520.

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2023On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness. (2022). Yilmaz, Kamil ; Diebold, Francis X. In: Papers. RePEc:arx:papers:2211.04184.

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2023An 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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2023Systemic robustness: a mean-field particle system approach. (2022). Bayraktar, Erhan ; Zhang, Yuming Paul ; Tang, Wenpin ; Guo, Gaoyue. In: Papers. RePEc:arx:papers:2212.08518.

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2023Measuring price impact and information content of trades in a time-varying setting. (2022). Lillo, F ; Bormetti, G ; Campigli, F. In: Papers. RePEc:arx:papers:2212.12687.

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2023Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors. (2023). Trapin, Luca ; Sun, LI ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2301.01362.

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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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2023Decarbonization of financial markets: a mean-field game approach. (2023). Tankov, Peter ; Lavigne, Pierre. In: Papers. RePEc:arx:papers:2301.09163.

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2023Hierarchical 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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2023A Deep Neural Network Algorithm for Linear-Quadratic Portfolio Optimization with MGARCH and Small Transaction Costs. (2023). Khorrami, Farshad ; Krishnamurthy, Prashanth ; Fu, Hao ; Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:2301.10869.

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2023Factor Model of Mixtures. (2023). Uryasev, Stanislav ; Peng, Cheng. In: Papers. RePEc:arx:papers:2301.13843.

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2023Risk Budgeting Portfolios from Simulations. (2023). Targino, Rodrigo S ; Pesenti, Silvana M ; Paulo, Bernardo Freitas. In: Papers. RePEc:arx:papers:2302.01196.

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2023Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747.

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2023Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002.

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2023A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208.

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2023Forecasting the Turkish Lira Exchange Rates through Univariate Techniques: Can the Simple Models Outperform the Sophisticated Ones?. (2023). Sarkandiz, Mostafa R. In: Papers. RePEc:arx:papers:2302.08897.

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2023Exploring the Advantages of Transformers for High-Frequency Trading. (2023). Lisitsyn, Nikita ; Gervais, Arthur ; Bilokon, Paul ; Barez, Fazl. In: Papers. RePEc:arx:papers:2302.13850.

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2023A Comparative Analysis of Forecasting Models Using Moroccan Economic Data: The Factor-Augmented Error Correction Model in Perspective. (2023). Marouane, Daoui. In: Papers. RePEc:arx:papers:2302.14180.

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2023Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651.

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2023Constructing High Frequency Economic Indicators by Imputation. (2023). Scanlan, Susannah ; Ng, Serena. In: Papers. RePEc:arx:papers:2303.01863.

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2023The Financial Market of Indices of Socioeconomic Wellbeing. (2023). Rachev, Svetlozar ; Shirvani, Abootaleb ; Mahanama, Thilini V. In: Papers. RePEc:arx:papers:2303.05654.

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2023Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models. (2023). Choi, Jae Hyung ; Kim, Hyangju. In: Papers. RePEc:arx:papers:2303.08760.

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2023Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage. (2023). Ribeiro, Ruy M ; Medeiros, Marcelo C ; de Brito, Diego S ; Alves, Rafael. In: Papers. RePEc:arx:papers:2303.16151.

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2023Mastering Pair Trading with Risk-Aware Recurrent Reinforcement Learning. (2023). Peng, Min ; Lai, Yanzhao ; Zhang, Boyi ; Xie, Qianqian ; Huang, Jimin. In: Papers. RePEc:arx:papers:2304.00364.

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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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2023Adjust factor with volatility model using MAXFLAT low-pass filter and construct portfolio in China A share market. (2023). Zhang, KE. In: Papers. RePEc:arx:papers:2304.04676.

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2023Collective dynamics, diversification and optimal portfolio construction for cryptocurrencies. (2023). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2304.08902.

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2023The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349.

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2023Estimating the impact of supply chain network contagion on financial stability. (2023). Burger, Csaba ; Borsos, Andr'As ; Diem, Christian ; Tabachov, Zlata ; Thurner, Stefan. In: Papers. RePEc:arx:papers:2305.04865.

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2023What is mature and what is still emerging in the cryptocurrency market?. (2023). Wkatorek, Marcin ; Kwapie, Jaroslaw ; Zd, Stanislaw Dro. In: Papers. RePEc:arx:papers:2305.05751.

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2023Band-Pass Filtering with High-Dimensional Time Series. (2023). Proietti, Tommaso ; Lippi, Marco ; Giovannelli, Alessandro. In: Papers. RePEc:arx:papers:2305.06618.

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

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2023Copula Variational LSTM for High-dimensional Cross-market Multivariate Dependence Modeling. (2023). Cao, Longbing ; Xu, Jia. In: Papers. RePEc:arx:papers:2305.08778.

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2023Semiparametrically Optimal Cointegration Test. (2023). Zhou, BO. In: Papers. RePEc:arx:papers:2305.08880.

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2023Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, Edoardo ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2305.12192.

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2023Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991.

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2023A Simple Method for Predicting Covariance Matrices of Financial Returns. (2023). Boyd, Stephen ; Schmelzer, Thomas ; Pelger, Markus ; Ogut, Mehmet Giray ; Johansson, Kasper. In: Papers. RePEc:arx:papers:2305.19484.

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2023Modeling and evaluating conditional quantile dynamics in VaR forecasts. (2023). Gallo, Giampiero ; Palandri, Alessandro ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2305.20067.

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2023Discrete $q$-exponential limit order cancellation time distribution. (2023). Gontis, Vygintas. In: Papers. RePEc:arx:papers:2306.00093.

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

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2023HireVAE: An Online and Adaptive Factor Model Based on Hierarchical and Regime-Switch VAE. (2023). Lin, Dahua ; Dai, BO ; Rao, Anyi ; Wei, Zikai. In: Papers. RePEc:arx:papers:2306.02848.

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2023Matrix GARCH Model: Inference and Application. (2023). Zhu, KE ; Jiang, Feiyu ; Li, Dong ; Yu, Cheng. In: Papers. RePEc:arx:papers:2306.05169.

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

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2023Comparing Deep Learning Models for the Task of Volatility Prediction Using Multivariate Data. (2023). Suominen, Hanna ; Lensky, Artem ; Isai, Leigh ; Lalbakhsh, Pooia ; Ge, Wenbo. In: Papers. RePEc:arx:papers:2306.12446.

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2023Latent 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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2023A Classical Model of Speculative Asset Price Dynamics. (2023). Smith, Vernon ; Inoua, Sabiou. In: Papers. RePEc:arx:papers:2307.00410.

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2023Asymptotics for the Generalized Autoregressive Conditional Duration Model. (2023). Cavaliere, Giuseppe ; Vilandt, Frederik ; Rahbek, Anders ; Mikosch, Thomas. In: Papers. RePEc:arx:papers:2307.01779.

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2023Systemic risk indicator based on implied and realized volatility. (2023). Åšlepaczuk, Robert ; Sieradzki, Rafal ; Sakowski, Pawel. In: Papers. RePEc:arx:papers:2307.05719.

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2023Estimation of an Order Book Dependent Hawkes Process for Large Datasets. (2023). Sancetta, Alessio ; Mucciante, Luca. In: Papers. RePEc:arx:papers:2307.09077.

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2023The Effect of COVID-19 on Cryptocurrencies and the Stock Market Volatility -- A Two-Stage DCC-EGARCH Model Analysis. (2023). Ampountolas, Apostolos. In: Papers. RePEc:arx:papers:2307.09137.

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2023VolTS: A Volatility-based Trading System to forecast Stock Markets Trend using Statistics and Machine Learning. (2023). Letteri, Ivan. In: Papers. RePEc:arx:papers:2307.13422.

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

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2023Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418.

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2023Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419.

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2023LOB-Based Deep Learning Models for Stock Price Trend Prediction: A Benchmark Study. (2023). Cannistraci, Irene ; Coletta, Andrea ; Arrigoni, Viviana ; Berti, Leonardo ; Masi, Giuseppe ; Prata, Matteo ; Bartolini, Novella ; Velardi, Paola ; Vyetrenko, Svitlana. In: Papers. RePEc:arx:papers:2308.01915.

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2023Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617.

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2023Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061.

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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]		paper5
2012Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks In: American Economic Review.
[Full Text][Citation analysis]		article555
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]		article184
2003Risk and Volatility: Econometric Models and Financial Practice.(2003) In: Nobel Prize in Economics documents.
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This paper has nother version. Agregated cites: 184		paper
2001GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics In: Journal of Economic Perspectives.
[Full Text][Citation analysis]		article307
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).
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1979EXOGENEITY In: Economic Research Papers.
[Full Text][Citation analysis]		paper49
1983Exogeneity.(1983) In: LIDAM Reprints CORE.
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1983Exogeneity..(1983) In: Econometrica.
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1979Exogeneity.(1979) In: The Warwick Economics Research Paper Series (TWERPS).
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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]		paper180
2013Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2013) In: CEPR Discussion Papers.
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2014Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2014) In: CEPR Discussion Papers.
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2014Testing macroprudential stress tests: The risk of regulatory risk weights.(2014) In: Journal of Monetary Economics.
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2013Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2013) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 180		paper
2018Systemic Risk 10 Years Later In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article19
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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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.
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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]		paper71
2011The Factor--Spline--GARCH Model for High and Low Frequency Correlations.(2011) In: Journal of Business & Economic Statistics.
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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: 71		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]		article418
1990Testing For Common Features.(1990) In: NBER Technical Working Papers.
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This paper has nother version. Agregated cites: 418		paper
1993Testing for Common Features: Reply. In: Journal of Business & Economic Statistics.
[Citation analysis]		article336
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]		article2604
2004CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article1030
1999CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles.(1999) In: University of California at San Diego, Economics Working Paper Series.
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2000CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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This paper has nother version. Agregated cites: 1030		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]		article59
2006Testing and Valuing Dynamic Correlations for Asset Allocation In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article153
1991Semiparametric ARCH Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article245
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]		article1635
1991Measuring and Testing the Impact of News on Volatility.(1991) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 1635		paper
2000Time and the Price Impact of a Trade In: Journal of Finance.
[Full Text][Citation analysis]		article264
1999Time and the Price Impact of a Trade.(1999) In: University of California at San Diego, Economics Working Paper Series.
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1996Common Seasonal Features: Global Unemployment. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]		article20
1975POLICY PILLS FOR A METROPOLITAN ECONOMY In: Papers in Regional Science.
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1998Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper32
1998Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model.(1998) In: CRSP working papers.
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2000Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper49
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]		paper741
2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH.(2001) In: NBER Working Papers.
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2000Impacts of Trades in an Error-Correction Model of Quote Prices In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper74
2004Impacts of trades in an error-correction model of quote prices.(2004) In: Journal of Financial Markets.
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1999Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper35
1999Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market.(1999) In: NBER Working Papers.
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1998Macroeconomic Announcements and Volatility of Treasury Futures In: University of California at San Diego, Economics Working Paper Series.
[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]		paper134
1999Stochastic Permanent Breaks.(1999) In: The Review of Economics and Statistics.
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2023Climate Stress Testing In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper2
2023Climate Stress Testing.(2023) In: Staff Reports.
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This paper has nother version. Agregated cites: 2		paper
2023Climate Stress Testing.(2023) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 2		paper
2019Hedging climate change news In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper158
2019Hedging Climate Change News.(2019) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 158		paper
2019Hedging Climate Change News.(2019) In: NBER Working Papers.
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2020Hedging Climate Change News.(2020) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 158		article
2007A GARCH Option Pricing Model in Incomplete Markets In: Swiss Finance Institute Research Paper Series.
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2012Systemic Risk in Europe In: Swiss Finance Institute Research Paper Series.
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2015Systemic Risk in Europe.(2015) In: Review of Finance.
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1985Small-Sample Properties of ARCH Estimators and Tests. In: Canadian Journal of Economics.
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2005The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes In: Working Papers.
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2021Why did bank stocks crash during COVID-19? In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper28
2021Why Did Bank Stocks Crash During COVID-19?.(2021) In: NBER Working Papers.
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1995Multivariate Simultaneous Generalized ARCH In: Econometric Theory.
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2001Value at risk models in finance In: Working Paper Series.
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2003Asymmetric dynamics in the correlations of global equity and bond returns In: Working Paper Series.
[Full Text][Citation analysis]		paper968
2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns.(2006) In: Journal of Financial Econometrics.
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2021The risk management approach to macro-prudential policy In: Working Paper Series.
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2023Estimating systemic risk for non-listed euro-area banks In: Working Paper Series.
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1974Specification of the Disturbance for Efficient Estimation. In: Econometrica.
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1971The Specification of the Disturbance for Efficient Estimation.(1971) In: Working papers.
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1976Some Finite Sample Properties of Spectral Estimators of a Linear Regression. In: Econometrica.
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1973Some Finite Sample Properties of Spectral Estimators of a Linear Regression.(1973) In: Working papers.
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1976Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment. In: Econometrica.
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1978Testing Price Equations for Stability across Spectral Frequency Bands. In: Econometrica.
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1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. In: Econometrica.
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1987Co-integration and Error Correction: Representation, Estimation, and Testing. In: Econometrica.
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2015Co-integration and error correction: Representation, estimation, and testing.(2015) In: Applied Econometrics.
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This paper has nother version. Agregated cites: 10119		article
1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model. In: Econometrica.
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1990Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market. In: Econometrica.
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1988METEOR SHOWERS OR HEAT WAGES? HETEROSKEDASTIC INTRA-DAILY VOLATILITY IN A THE FOREIGN EXCHANGE MARKET..(1988) In: Minnesota - Center for Economic Research.
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1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market.(1988) In: NBER Working Papers.
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1993Common Persistence in Conditional Variances. In: Econometrica.
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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.
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2012Liquidity and volatility in the U.S. treasury market.(2012) In: Staff Reports.
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1983Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models In: Journal of Econometrics.
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1985A dymimic model of housing price determination In: Journal of Econometrics.
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1987Forecasting and testing in co-integrated systems In: Journal of Econometrics.
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1989Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting In: Journal of Econometrics.
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1990Seasonal integration and cointegration In: Journal of Econometrics.
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1988SEASONAL INTEGRATION AND COINTEGRATION.(1988) In: Pennsylvania State - Department of Economics.
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1988SEASONAL, INTEGRATION AND COINTEGRATION..(1988) In: Pennsylvania State - Department of Economics.
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1990Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills In: Journal of Econometrics.
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1988Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills.(1988) In: NBER Technical Working Papers.
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This paper has nother version. Agregated cites: 369		paper
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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This paper has nother version. Agregated cites: 166		paper
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.
[Full Text][Citation analysis]		article5
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.
[Full Text][Citation analysis]		article50
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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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.
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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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2021CRISK: Measuring the Climate Risk Exposure of the Financial System In: Staff Reports.
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2023Measuring the Climate Risk Exposure of Insurers 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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2006Vector Multiplicative Error Models: Representation and Inference.(2006) In: NBER Working Papers.
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2007A Model for Multivariate Non-negative Valued Processes in Financial Econometrics In: Econometrics Working Papers Archive.
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2008A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets In: Econometrics Working Papers Archive.
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2009Semiparametric vector MEM In: Econometrics Working Papers Archive.
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2013SEMIPARAMETRIC VECTOR MEM.(2013) In: Journal of Applied Econometrics.
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2017Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity In: Econometrics Working Papers Archive.
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1966Testing the Volatility Term Structure Using Option Hedging Criteria In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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1989COINTEGRATED ECONOMIC TIME SERIES: A SURVEY WITH NEW RESULTS. In: Pennsylvania State - Department of Economics.
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2006GARCH Options in Incomplete Markets In: CEI Working Paper Series.
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1974Band Spectrum Regression. In: International Economic Review.
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1972Band Spectrum Regressions.(1972) In: Working papers.
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1975An Asset Price Model of Aggregate Investment. In: International Economic Review.
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1980Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions. In: International Economic Review.
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2017Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns In: Management Science.
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2013Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns.(2013) In: Koç University-TUSIAD Economic Research Forum Working Papers.
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2002New frontiers for arch models In: Journal of Applied Econometrics.
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1993Common Trends and Common Cycles. In: Journal of Applied Econometrics.
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1983Estimates of the Variance of U.S. Inflation Based upon the ARCH Model. In: Journal of Money, Credit and Banking.
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1988Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: Reply. In: Journal of Money, Credit and Banking.
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1993Time-Varying Volatility and the Dynamic Behavior of the Term Structure. In: Journal of Money, Credit and Banking.
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1991Time-Varying Volatility and the Dynamic Behavior of the Term Structure.(1991) In: NBER Working Papers.
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1973De Facto Discrimination in Residential Assessments: Boston In: Working papers.
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1973A Disequilibrium Model of Regional Investment In: Working papers.
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1974Testing Price Equations for Stability Across Frequencies In: Working papers.
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1975Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area In: Working papers.
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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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1990Valuation of Variance Forecast with Simulated Option Markets In: NBER Working Papers.
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1991Measuring Risk Aversion From Excess Returns on a Stock Index In: NBER Working Papers.
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1993Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts In: NBER Working Papers.
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1993A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts In: NBER Working Papers.
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1994Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models In: NBER Working Papers.
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1994Forecasting Transaction Rates: The Autoregressive Conditional Duration Model In: NBER Working Papers.
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1995GARCH Gamma In: NBER Working Papers.
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1997Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market In: NBER Working Papers.
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1997Option Hedging Using Empirical Pricing Kernels 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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1999CAViaR: Conditional Value at Risk by Quantile Regression In: NBER Working Papers.
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2020Measuring and Hedging Geopolitical Risk In: NIPE Working Papers.
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2014Structural GARCH: The Volatility-Leverage Connection In: Working Papers.
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2018Structural GARCH: The Volatility-Leverage Connection.(2018) In: The Review of Financial Studies.
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2016Dynamic Conditional Beta In: Journal of Financial Econometrics.
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2021News and Idiosyncratic Volatility: The Public Information Processing Hypothesis* In: Journal of Financial Econometrics.
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2008Time-Varying Arrival Rates of Informed and Uninformed Trades In: Journal of Financial Econometrics.
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2002Time-Varying Arrival Rates of Informed and Uninformed Trades.(2002) In: Finance.
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2010Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis In: Journal of Financial Econometrics.
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2015Modeling the Dynamics of Correlations among Implied Volatilities In: Review of Finance.
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2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes In: The Review of Financial Studies.
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2008A GARCH Option Pricing Model with Filtered Historical Simulation In: The Review of Financial Studies.
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2014A GARCH Option Pricing Model with Filtered Historical Simulation.(2014) In: Palgrave Macmillan Books.
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2017SRISK: A Conditional Capital Shortfall Measure of Systemic Risk In: The Review of Financial Studies.
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2017SRISK: a conditional capital shortfall measure of systemic risk.(2017) In: ESRB Working Paper Series.
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1990Stock Volatility and the Crash of 87: Discussion. In: The Review of Financial Studies.
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1994Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility. In: The Review of Financial Studies.
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2008Fitting vast dimensional time-varying covariance models.(2008) In: OFRC Working Papers Series.
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2021Fitting Vast Dimensional Time-Varying Covariance Models.(2021) In: Journal of Business & Economic Statistics.
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2000The ACD Model: Predictability of the Time Between Concecutive Trades In: ICMA Centre Discussion Papers in Finance.
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2004Autobiography In: Nobel Prize in Economics documents.
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2003Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III In: Nobel Prize in Economics documents.
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2005HIGH FREQUENCY MULTIPLICATIVE COMPONENT GARCH In: Computing in Economics and Finance 2005.
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1999Modeling a Time-Varying Order Statistic In: Computing in Economics and Finance 1999.
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2011Dynamic Equicorrelation In: Journal of Business & Economic Statistics.
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2019Large Dynamic Covariance Matrices In: Journal of Business & Economic Statistics.
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2017Large dynamic covariance matrices.(2017) In: ECON - Working Papers.
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2001What good is a volatility model? In: Quantitative Finance.
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2004Robert F Engle: Understanding volatility as a process In: Quantitative Finance.
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2012Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach In: The Review of Economics and Statistics.
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2013Stock Market Volatility and Macroeconomic Fundamentals In: The Review of Economics and Statistics.
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1988A Capital Asset Pricing Model with Time-Varying Covariances. In: Journal of Political Economy.
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2013MEASURING SYSTEMIC RISK In: World Scientific Book Chapters.
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