#2,599

Most Influential Person

American economist

According to Wikipedia, Robert Fry Engle III is an American economist and statistician. He won the 2003 Nobel Memorial Prize in Economic Sciences, sharing the award with Clive Granger, "for methods of analyzing economic time series with time-varying volatility ".

- Co-integration and error correction: representation, estimation and testing (1987) (27864)
- Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation (1982) (19623)
- COINTEGRATION AND ERROR CORRECTION: REPRESENTATION (1987) (4488)
- Dynamic Conditional Correlation (2002) (4399)
- Multivariate Simultaneous Generalized ARCH (1995) (4158)
- A long memory property of stock market returns and a new model (1993) (3365)
- A Capital Asset Pricing Model with Time-Varying Covariances (1988) (3150)
- Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987) (2579)
- Forecasting and testing in co-integrated systems (1987) (2046)
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998) (1824)
- Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2003) (1675)
- Dynamic Conditional Correlation : A Simple Class of Multivariate GARCH Models (2000) (1544)
- Seasonal integration and cointegration (1990) (1425)
- CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles * (1999) (1237)
- GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001) (1129)
- Long-Run Economic Relationships: Readings in Cointegration (1991) (970)
- Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks † (2012) (923)
- Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988) (910)
- Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994) (907)
- The Econometrics of Ultra-High Frequency Data (1996) (844)
- Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills (1988) (818)
- The Spline-Garch Model for Low Frequency Volatility and its Global Macroeconomic Causes (2004) (785)
- SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2015) (773)
- What good is a volatility model? (2001) (749)
- Semiparametric Estimates of the Relation between Weather and Electricity Sales (1986) (736)
- Wald, likelihood ratio, and Lagrange multiplier tests in econometrics (1984) (716)
- Empirical Pricing Kernels (1999) (696)
- Volatility, Correlation and Tails for Systemic Risk Measurement (2012) (695)
- New Frontiers for Arch Models (2002) (667)
- Time and the Price Impact of a Trade (1999) (638)
- A Permanent and Transitory Component Model of Stock Return Volatility (1993) (629)
- Testing for Common Features (1990) (583)
- A SIMPLE ESTIMATOR OF COINTEGRATING VECTORS IN HIGHER ORDER INTEGRATED SYSTEMS (2007) (577)
- Chapter 49 Arch models (1994) (548)
- Stock Market Volatility and Macroeconomic Fundamentals (2013) (536)
- A Multiple Indicators Model for Volatility Using Intra-Daily Data (2003) (522)
- Common Trends and Common Cycles (1993) (517)
- Risk and Volatility: Econometric Models and Financial Practice (2003) (512)
- Stock Volatility and the Crash of '87: Discussion (1990) (496)
- Alternative Algorithms for the Estimation of Dynamic Factor (1983) (489)
- Estimates of the Variance of U. S. Inflation Based upon the ARCH Model (1983) (484)
- A One-Factor Multivariate Time Series Model of Metropolitan Wage Rates (1981) (438)
- Hourly volatility spillovers between international equity markets (1994) (402)
- CAViaR (2004) (386)
- Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990) (365)
- Semiparametric ARCH Models (1991) (358)
- ARCH: Selected Readings (1995) (349)
- Implied ARCH models from options prices (1992) (345)
- Common Volatility in International Equity Markets (1993) (327)
- Time-Varying Arrival Rates of Informed and Uninformed Trades (2001) (325)
- Testing and Valuing Dynamic Correlations for Asset Allocation (2005) (322)
- Testing superexogeneity and invariance in regression models (1993) (322)
- Band Spectrum Regression (1974) (320)
- Semiparametric estimates of the relation between weather and electricity sales (2001) (305)
- COMMON PERSISTENCE IN CONDITIONAL VARIANCES (1993) (304)
- Value at Risk Models in Finance (2001) (296)
- A general approach to lagrange multiplier model diagnostics (1982) (293)
- Large Scale Conditional Covariance Matrix Modeling, Estimation and Testing (2001) (292)
- Short-run forecasts of electricity loads and peaks (1997) (285)
- A GARCH Option Pricing Model with Filtered Historical Simulation (2008) (280)
- Anticipating Correlations: A New Paradigm for Risk Management (2009) (254)
- Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model (1997) (254)
- Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights (2013) (251)
- The intertemporal capital asset pricing model with dynamic conditional correlations (2010) (248)
- Dynamic Equicorrelation (2011) (241)
- A Component Model for Dynamic Correlations (2009) (241)
- Cointegration, causality, and forecasting : a festschrift in honour of Clive W.J. Granger (1999) (237)
- Stochastic Permanent Breaks (1999) (227)
- Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting (1989) (217)
- A multi-dynamic-factor model for stock returns (1992) (214)
- Premiums-Discounts and Exchange Traded Funds (2006) (198)
- Measuring Risk Aversion from Excess Returns on a Stock Index (1991) (192)
- On the Economic Sources of Stock Market Volatility (2008) (192)
- Forecasting Volatility and Option Prices of the S&P 500 Index (1994) (187)
- Combining competing forecasts of inflation using a bivariate arch model (1984) (173)
- Modelling peak electricity demand (1992) (171)
- Statistical Models for Financial Volatility (1993) (166)
- A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times (2004) (163)
- A Practical Guide to Volatility Forecasting through Calm and Storm (2011) (160)
- Large Dynamic Covariance Matrices (2019) (156)
- Testing for Common Features: Reply (1993) (154)
- The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes (2005) (147)
- Fitting Vast Dimensional Time-Varying Covariance Models (2017) (146)
- Forecasting intraday volatility in the US equity market. Multiplicative component GARCH (2012) (141)
- Small-Sample Properties of ARCH Estimators and Tests (1985) (135)
- Systemic Risk in Europe (2012) (135)
- The Japanese consumption function (1993) (129)
- Estimating common sectoral cycles (1995) (128)
- Correlations and Volatilities of Asynchronous Data (1998) (127)
- Macroeconomic Announcements and Volatility of Treasury Futures (1998) (126)
- Impacts of Trades in an Error-Correction Model of Quote Prices (2000) (125)
- Empirical Asset Pricing: The Cross Section of Stock Returns (2016) (124)
- Predicting VNET: A model of the dynamics of market depth (2001) (122)
- A long memory property of stock market returns and a new model (2001) (121)
- Hedging Climate Change News (2019) (118)
- Time-Varying Volatility and the Dynamic Behavior of the Term Structure (1991) (116)
- Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market (1999) (112)
- Testing for Common Features (1993) (109)
- Testing for Common Features (1993) (109)
- Where Does the Meteor Shower Come from? the Role of Stochastic Policy Coordination (1990) (108)
- Dynamic Equicorrelation (2012) (106)
- Systemic Risk in Europe (2015) (106)
- Estimating Structural Models of Seasonality (1978) (105)
- Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks (1999) (102)
- Measuring and Modeling Execution Cost and Risk (2006) (98)
- Short-run forecasts of electricity loads and peaks (2001) (97)
- Cointegrated Economic Time Series: A Survey With New Results (1989) (93)
- Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach (2012) (91)
- Advances in Econometrics: The Kalman filter: applications to forecasting and rational-expectations models (1987) (89)
- The Factor-Spline-GARCH Model for High- and Low-Frequency Correlations (2011) (88)
- Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model (1998) (88)
- Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market (1997) (86)
- Testing Price Equations for Stability across Spectral Frequency Bands (1978) (85)
- Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns (1991) (84)
- Long Term Skewness and Systemic Risk (2011) (80)
- Forecasting Transaction Rates: The Autoregressive Conditional Duration Model (1994) (78)
- Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative (1985) (78)
- Analysis of High-Frequency Data (2010) (78)
- Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills (1988) (77)
- The ACD Model: Predictability of the Time Between Concecutive Trades (2000) (71)
- Long-Run Economic Relationships: Readings in Cointegration. (1993) (71)
- Execution Risk (2006) (71)
- Centralized Clearing for Credit Derivatives (2009) (68)
- Index-option pricing with stochastic volatility and the value of accurate variance forecasts (1993) (65)
- Meteor showers or heat waves (1990) (64)
- Evaluating the Specification of Covariance Models for Large Portfolios (2007) (64)
- On the Theory of Growth Controls (1992) (62)
- Testing the Volatility Term Structure Using Option Hedging Criteria (1997) (62)
- Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns (2017) (62)
- GARCH 101: An Introduction to the Use of Arch/Garch Models in Applied Econometrics (2001) (61)
- GARCH Options in Incomplete Markets (2006) (61)
- A dymimic model of housing price determination (1985) (60)
- Modeling the Dynamics of Correlations Among Implied Volatilities (2014) (59)
- Hedging Climate Change News (2020) (58)
- Liquidity, Volatility, and Flights to Safety in the U.S. Treasury Market: Evidence from a New Class of Dynamic Order Book Models (2012) (57)
- Band spectrum regressions (1972) (57)
- Measuring and Modeling Execution Cost and Risk (2012) (56)
- Fitting and Testing Vast Dimensional Time-Varying Covariance Models (2007) (56)
- Testing macroprudential stress tests: The risk of regulatory risk weights (2014) (55)
- Vector Multiplicative Error Models:Representation and Inference (2006) (54)
- Model selection for forecasting (1986) (52)
- Common trends and common cycles in Latin America (1993) (52)
- Priced Risk and Asymmetric Volatility in the Cross-Section of Skewness (2009) (52)
- Analysis of High Frequency Financial Data (2004) (49)
- Transportation costs and the rent gradient (1987) (49)
- A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones (2006) (47)
- Financial econometrics : A new discipline with new methods (2001) (46)
- ARCH/GARCH Models in Applied Financial Econometrics (2008) (46)
- On the determination of regional base and regional base multipliers (1992) (45)
- 11 – Estimating Diffusion Models of Stochastic Volatility (1996) (44)
- Pricing Exchange Traded Funds (2002) (44)
- Effects of Aggregation Over Time on Dynamic Characteristics of an Econometric Model (1972) (43)
- An Asset Price Model of Aggregate Investment (1975) (43)
- A Model for Multivariate Non-Negative Valued Processes in Financial Econometrics (2009) (42)
- High Dimension Dynamic Correlations (2007) (42)
- Semiparametric Vector MEM (2008) (42)
- Impacts of Trades in an Error-Correction Model of Quote Prices (2000) (41)
- The Specification of the Disturbance for Efficient Estimation (1974) (40)
- Seasonal integration and cointegration (2001) (40)
- A GARCH Option Pricing Model in Incomplete Markets (2007) (37)
- Common Seasonal Features: Global Unemployment (1996) (36)
- Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions (1980) (36)
- When is Noise Not Noise - A Microstructure Estimate of Realized Volatility (2007) (35)
- Banks Non-Interest Income and Global Financial Stability (2014) (35)
- Where Does the Meteor Shower Come from? the Role of Stochastic Policy Coordination (1992) (34)
- Applications of spectral analysis in econometrics (1983) (33)
- Residential load curves and time-of-day pricing: An econometric analysis (1979) (33)
- A disequilibrium model of regional investment (1974) (33)
- An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government (1972) (31)
- The Risk that Risk Will Change (2010) (31)
- The Kalman Filter: Applications to Forecasting and Rational Expectations Models // Invited Paper to the World Congress of the Econometric Society, Cambridge, 1985, in Advances in Econometrics Fifth World Congress, Volume I, ed. Truman Bewley), pp. 245-283. (1994) (30)
- Modeling Variance of Variance: The Square-Root, the Affine, and the CEV GARCH Models ∗ (2002) (30)
- Value at risk models in finance ECB Working (2001) (28)
- Some finite sample properties of spectral estimators of a linear regression (1976) (28)
- DE FACTO DISCRIMINATION IN RESIDENTIAL ASSESSMENTS: BOSTON (1975) (28)
- Value at risk models in finance ECB Working (2001) (28)
- SEMIPARAMETRIC VECTOR MEM (2013) (27)
- Conditional Volatility of Exchange Rates Under a Target Zone (1997) (27)
- Valuation of Variance Forecast with Simulated Option Markets (1990) (26)
- And Now, The Rest of the News: Volatility and Firm Specific News Arrival (2012) (26)
- Structural GARCH: The Volatility-Leverage Connection (2016) (25)
- Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share (1990) (25)
- Issues in the specification of an econometric model of metropolitan growth (1974) (25)
- Derivatives: The Ultimate Financial Innovation (2009) (25)
- The Underlying Dynamics of Credit Correlations (2005) (24)
- A comparison of adaptive structural forecasting methods for electricity sales (1988) (24)
- Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns (2016) (24)
- Forecasting Volatility Using Tick by Tick Data (2005) (23)
- Option Hedging Using Empirical Pricing Kernels (1997) (23)
- Dynamic Conditional Beta (2012) (23)
- Systemic Risk 10 Years Later (2018) (22)
- GARCH Gamma (1995) (21)
- A MEM-Based Analysis of Volatility Spillovers in East Asian Financial Markets (2008) (21)
- The Factor–Spline–GARCH Model for High and Low Frequency Correlations (2012) (20)
- Estimating Sectoral Cycles Using Cointegration and Common Features (1993) (20)
- Liquidity and volatility in the U.S. Treasury market (2011) (20)
- Resurrecting the Conditional CAPM with Dynamic Conditional Correlations (2010) (19)
- Autoregressive Condditional Duration: A New Model for. . . (1997) (18)
- Measuring the probability of a financial crisis (2019) (18)
- SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2017) (17)
- TESTING SOME PROPOSITIONS ABOUT PROPOSITION 13 (1979) (17)
- Hedging Climate Change News (2019) (17)
- Investigating Icapm with Dynamic Conditional Correlations (2007) (17)
- Simultaneous Estimation of the Supply and Demand for Housing Location in a Multizoned Metropolitan Area (1977) (17)
- High Frequency Multiplicative Component GARCH (2005) (16)
- Why Did Bank Stocks Crash During COVID-19? (2021) (16)
- A general Approach to the Construction of Model Diagnostics based upon the Lagrange Multiplier Principle (1979) (16)
- A Multiple Indicators Model for Volatility Using Intra-Daily Data (2003) (15)
- Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models (1994) (14)
- High and Low Frequency Correlations in Global Equity Markets (2009) (14)
- Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns (2016) (11)
- What Type of Process Underlies Options ? (2002) (11)
- A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts (1993) (10)
- Estimation of the price elasticity of demand facing metropolitan producers (1979) (10)
- The Conditional CAPM Explains the Value Premium (2014) (10)
- Probabilistic methods in forecasting hourly loads (1993) (10)
- ERROR-CORRECTION MODEL OF QUOTE PRICES * (2001) (10)
- Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic (1980) (9)
- Scenario Generation for Long-Run Interest Rate Risk Assessment (2016) (9)
- The billing cycle and weather variables in models of electricity sales (1984) (9)
- Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity (2017) (8)
- VALUE AT RISK MODELS IN FINANCE BY SIMONE MANGANELLI AND ROBERT F. ENGLE (2001) (8)
- VALUE AT RISK MODELS IN FINANCE BY SIMONE MANGANELLI AND ROBERT F. ENGLE (2001) (8)
- Econometric forecasting: A brief survey of current and future techniques (1987) (8)
- Liquidity and Volatility in the U.S. Treasury Market (2012) (8)
- Globalization: Contents and Discontents (2018) (7)
- On the limitations of comṕaring mean square forecast errors: Comment (1993) (7)
- SYMPOSIUM ON FORECASTING AND EMPIRICAL METHODS IN MACROECONOMICS AND FINANCE (1999) (6)
- Term Structure of Risk, the Role of Known and Unknown Risks and Non-Stationary Distributions (2007) (6)
- How Much SRISK Is Too Much? (2018) (6)
- A Cross-Sectional Investigation of the Conditional ICAPM (2009) (6)
- Measuring and Hedging Geopolitical Risk (2020) (6)
- Large Dynamic Covariance Matrices: Enhancements Based on Intraday Data (2020) (6)
- Time-Varying Arrival Rates of Informed and Uninformed Trades (2001) (6)
- Environmental, social, governance: Implications for businesses and effects for stakeholders (2019) (5)
- Handbook on Systemic Risk: Measuring Systemic Risk (2013) (5)
- Multi-regime Forecasting Model for the Impact of COVID-19 Pandemic on Volatility in Global Equity Markets (2020) (5)
- Systemic Risk in the Financial System: Capital Shortfalls Under Brexit, the US Elections and the Italian Referendum (2018) (5)
- The econometrics of macroeconomics, finance, and the interface (2006) (5)
- POLICY PILLS FOR A METROPOLITAN ECONOMY (1975) (5)
- An Exploratory Policy-Oriented Econometric Model of a Metropolitan Area: Boston (1980) (5)
- Bayesian Analysis of Stochastic Volatility Models: Comment (1994) (5)
- Modeling Commodity Prices with Dynamic Conditional Beta (2014) (5)
- News and Idiosyncratic Volatility: The Public Information Processing Hypothesis* (2020) (5)
- Why Did Bank Stocks Crash during COVID-19? (2021) (4)
- Multiperiod Asset Allocation with Dynamic Volatilities (2004) (4)
- The Risk Management Approach to Macro-Prudential Policy (2021) (4)
- Reply to Cosimano and Jansen (1988) (3)
- Anatomy of Trading and Liquidity in the Credit Default Swaps Market (2009) (3)
- ARCH/GARCH Models in Applied Financial Econometrics (2012) (3)
- Vector Multiplicative Error Models: Representation and Inference (2006) (3)
- ARCH MODELS Prepared for The Handbook of Econometrics , Volume 4 (1993) (3)
- CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue (2014) (2)
- TERM STRUCTURE FORECASTING AND SCENARIO GENERATION (2015) (2)
- Modelling Volatility Cycles: The (MF)^2 GARCH Model (2021) (2)
- Regional load-curve models: QUERI's model specification, estimation and validation. Final report (1981) (2)
- Aspects of Regional Financial Stability: A Policy Approach (2014) (2)
- ARCH/GARCH Models in Applied (2007) (2)
- Modeling a Time-Varying Order Statistic (1999) (2)
- The inconsistency of distributed lag estimators due to misspecification by time aggregation (1970) (2)
- COMMON SEASONAL FEATURES: GLOBAL UNEMPLOYMENT: COMMON SEASONAL FEATURES: GLOBAL UNEMPLOYMENT (2009) (2)
- Department of Economics Multivariate Simultaneous Generalized Arch Multivariate Simultaneous Generalized Arch* (1993) (2)
- Global Systemic Risk: What's Driving the Shadow Banking System? (2015) (2)
- Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management (2016) (2)
- Econometric Views Version I.0 (Micro TSP for Windows and the Macintosh). (1995) (1)
- 9. Anticipating Correlations (2009) (1)
- Paradise Lost and Found? The Econometric Contributions of Clive W. J. Granger and (2004) (1)
- Policy pills for a metropolitan economy (1975) (1)
- MODEL OF HOUSING PRICE DETERMINATION (1985) (1)
- Execution Risk (2007) (1)
- Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III (2003) (1)
- EQUILIBRIUM IN REGIONAL INVESTMENT: A REPLY (1975) (1)
- Volatility and Firm Specic News Arrival (2013) (1)
- Stress Testing with Market Data (2020) (1)
- Testing Price Equations for Stability Across Frequencies (1974) (1)
- Analysis of High Freqeuncy Data (2002) (1)
- COMMON PERSISTENCE IN CONDITIONAL VARIANCES' BY TIM (2007) (1)
- What Is Happening With Financial Market Volatility and Why (2011) (1)
- Handbook of Econometrics, volume 4: Econometric Theory (1997) (1)
- Robert F Engle: Understanding volatility as a process (2004) (1)
- Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment (1976) (1)
- Don ’ t Miss Cutting-Edge Insights From Over 100 Leading Global Academics And Derivatives Practitioners Including : Don ’ t Miss Presentations From These Renowned Global Financial Minds (2004) (0)
- Probabilistic methods in forecasting hourly loads. Final report (1993) (0)
- NBER's research program in Economic Fluctuations. Any opinions (1988) (0)
- Long-term residential load forecasting. Final report (1978) (0)
- The Risk Management Approach to Macro-Prudential Policy (2021) (0)
- Department of Economics Stochastic Permanent Breaks Stochastic Permanent Breaks (1998) (0)
- The volatility outlook for commodities prices (2012) (0)
- to establish bounds on parameters in single and simultaneous equation models based on a careful interpretation of the conventional specification. This note argues that these bounds are inefficient and uninformative when estimated from (1976) (0)
- On the Welfare Costs of Business-Cycle Fluc- tuations (2012) (0)
- 2. Correlations in Theory (2009) (0)
- Practical Applications of Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management (2016) (0)
- Large Dynamic Covariance Matrices: Enhancements Based On Intraday Data (2022) (0)
- Copula-Based Specification of Vector MEMs (2016) (0)
- Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis (2010) (0)
- Dynamic Conditional Beta (2012) (0)
- Title GARCH Options in Incomplete Markets (2018) (0)
- The Mathematics and Statistics of Quantitative Risk Management (2015) (0)
- Resurrecting the Conditional CAPM with Dynamic Conditional Correlations (2010) (0)
- Regional load-curve models: QUERI's model long-run forecasts and sensitivity analysis. Volume 4. Final report. [Hourly demand in 32 US regions] (1981) (0)
- Discussion of Paper by D.F. Hendry and J.-F. Richard (1983) (0)
- CORRELATIONS AND VOLATILITIES OF ASYNCHRONOUS DATA BY PATRICK BURNS (1998) (0)
- The Reviewof Economicsand Statistics (1999) (0)
- Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2003) (0)
- Large dynamic covariance matrices: enhancements based on intraday data (2020) (0)
- Common trends and common cydes in Latiu America * (2012) (0)
- FINANCIAL ECONOMETRICS FALL 2002 (2002) (0)
- WORKING PAPER SERIES 13 (2006) (0)
- Hedging Climate Change News (2019) (0)
- A GARCH Option Pricing Model with Filtered Historical Simulation (2008) (0)
- Empirical pricing kernels August 1999 (1999) (0)
- The ICL regression package (program XDS3) (1973) (0)
- Large Dynamic Covariance Matrices (2017) (0)
- DISCUSSION PAPER SERIES FITTING VAST DIMENSIONAL TIME-VARYING COVARIANCE MODELS (2008) (0)
- Climate Stress Testing (2021) (0)
- 10. Credit Risk and Correlations (2009) (0)
- Market Volatility Is the Highest Since Hoover‐FDR Transition (2009) (0)
- UC San Diego Recent Work Title Trades and Quotes : A Bivariate Point Process Permalink (1998) (0)
- Exploration and Comparison of New Methods for Electric Demand Forecasting (1985) (0)
- A Supply Function Model of Aggregate Investment (1972) (0)
- The Econometrics of Panel Data. Annales de l'insee 30-31. (1979) (0)
- R 2 0 1 6 / 0 4 Copula – based Specification of vector MEMs (2016) (0)
- CAHIER 29-2001 (2002) (0)
- An Agnostic and Practically Useful Estimator of the Stochastic Discount Factor By Kuntara Pukthuanthong and Richard Roll (2016) (0)
- Long-term residential load forecasting. Volume 2. Statistical appendix (1977) (0)
- Weather normalization of electricity sales. Final report (1983) (0)
- Housing Location in a Multizoned Metropolitan Area (2007) (0)
- Financial Institutions Center Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think (1999) (0)
- Forecast Master Program case studies: Final report (1987) (0)
- Invited Editorial Comment (2010) (0)
- CENTRE FOR ECONOMETRIC ANALYSIS CEA@Cass (2009) (0)
- NBER WORKING PAPER SERIES WHY DID BANK STOCKS CRASH DURING COVID-19? (2021) (0)

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