Robert F. Engle
Names
| first: |
Robert |
| middle: |
F. |
| last: |
Engle |
| suffix: |
III |
Identifer
Contact
Affiliations
-
New York University (NYU)
/ Stern School of Business
/ Finance Department (weight: 34%)
-
National Bureau of Economic Research (NBER) (weight: 33%)
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New York University (NYU)
/ Stern School of Business
/ Volatility Institute (weight: 33%)
Research profile
author of:
- And Now, The Rest of the News: Volatility and Firm Specific News Arrival (repec:aah:create:2012-56)
by Robert F. Engle & Martin Klint Hansen & Asger Lunde - Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks (repec:aea:aecrev:v:102:y:2012:i:3:p:59-64)
by Viral Acharya & Robert Engle & Matthew Richardson - An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government (repec:aea:aecrev:v:62:y:1972:i:2:p:87-97)
by Engle, Robert F, III, et al - Risk and Volatility: Econometric Models and Financial Practice (repec:aea:aecrev:v:94:y:2004:i:3:p:405-420)
by Robert Engle - GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (repec:aea:jecper:v:15:y:2001:i:4:p:157-168)
by Robert Engle - A General Approach To The Construction Of Model Diagnostics Based Upon The Lagrange Multiplier Principle (repec:ags:uwarer:269054)
by Engle, Robert F. - Exogeneity (repec:ags:uwarer:269060)
by Engle, Robert F. & Hendry, David F. & Richard, Jean-Francois - Testing macroprudential stress tests: The risk of regulatory risk weights (repec:aiz:louvar:2014022)
by Acharya, Viral & Engle, Robert & Pierret, Diane - Systemic Risk 10 Years Later (repec:anr:refeco:v:10:y:2018:p:125-152)
by Robert Engle - Climate Stress Testing (repec:anr:refeco:v:15:y:2023:p:291-326)
by Viral V. Acharya & Richard Berner & Robert Engle & Hyeyoon Jung & Johannes Stroebel & Xuran Zeng & Yihao Zhao - The Underlying Dynamics of Credit Correlations (repec:arx:papers:1001.0786)
by Arthur M. Berd & Robert F. Engle & Artem Voronov - Copula--based Specification of vector MEMs (repec:arx:papers:1604.01338)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns (repec:att:wimass:9121)
by Lin, W.L. & Engle, R.F. & Ito, T. - The Factor-Spline-GARCH Model for High and Low Frequency Correlations (repec:bdm:wpaper:2009-03)
by Rangel José Gonzalo & Engle Robert F. - High and Low Frequency Correlations in Global Equity Markets (repec:bdm:wpaper:2009-17)
by Engle Robert F. & Rangel José Gonzalo - Common Volatility in International Equity Markets (repec:bes:jnlbes:v:11:y:1993:i:2:p:167-76)
by Engle, Robert F & Susmel, Raul - Testing for Common Features (repec:bes:jnlbes:v:11:y:1993:i:4:p:369-80)
by Engle, Robert F & Kozicki, Sharon - Testing for Common Features: Reply (repec:bes:jnlbes:v:11:y:1993:i:4:p:393-95)
by Engle, Robert F & Kozicki, Sharon - Bayesian Analysis of Stochastic Volatility Models: Comment (repec:bes:jnlbes:v:12:y:1994:i:4:p:395-96)
by Engle, Robert F - Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models (repec:bes:jnlbes:v:20:y:2002:i:3:p:339-50)
by Engle, Robert - CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles (repec:bes:jnlbes:v:22:y:2004:p:367-381)
by Robert F. Engle & Simone Manganelli - A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model (repec:bes:jnlbes:v:23:y:2005:p:166-180)
by Russell, Jeffrey R. & Engle, Robert F. - Testing and Valuing Dynamic Correlations for Asset Allocation (repec:bes:jnlbes:v:24:y:2006:p:238-253)
by Engle, Robert & Colacito, Riccardo - Semiparametric ARCH Models (repec:bes:jnlbes:v:9:y:1991:i:4:p:345-59)
by Engle, Robert F & Gonzalez-Rivera, Gloria - Globalization: Contents And Discontents (repec:bla:coecpo:v:36:y:2018:i:1:p:29-43)
by Orley Ashenfelter & Robert F. Engle & Daniel L. McFadden & Klaus Schmidt‐Hebbel - Measuring and Testing the Impact of News on Volatility (repec:bla:jfinan:v:48:y:1993:i:5:p:1749-78)
by Engle, Robert F & Ng, Victor K - Time and the Price Impact of a Trade (repec:bla:jfinan:v:55:y:2000:i:6:p:2467-2498)
by Alfonso Dufour & Robert F. Engle - Common Seasonal Features: Global Unemployment (repec:bla:obuest:v:58:y:1996:i:4:p:615-30)
by Engle, Robert F & Hylleberg, Svend - Policy Pills For A Metropolitan Economy (repec:bla:presci:v:35:y:1975:i:1:p:191-205)
by Robert F. Engle - Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model (repec:cdl:ucsdec:qt00m2c5hk)
by Russell, Jeffrey & Engle, Robert F - CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles (repec:cdl:ucsdec:qt06m3d6nv)
by Engle, Robert F & Manganelli, Simone - Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models (repec:cdl:ucsdec:qt56j4143f)
by Engle, Robert F - Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH (repec:cdl:ucsdec:qt5s2218dp)
by Engle, Robert F & Sheppard, Kevin K - Time and the Price Impact of a Trade (repec:cdl:ucsdec:qt62c0h04j)
by Dufour, Alfonso & Engle, Robert F - Impacts of Trades in an Error-Correction Model of Quote Prices (repec:cdl:ucsdec:qt6dm6093f)
by Engle, Robert F & Patton, Andrew J - Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market (repec:cdl:ucsdec:qt6rp7g17q)
by Engle, Robert F - Macroeconomic Announcements and Volatility of Treasury Futures (repec:cdl:ucsdec:qt7rd4g3bk)
by Engle, Robert F - Trades and Quotes: A Bivariate Point Process (repec:cdl:ucsdec:qt8bh079sq)
by Engle, Robert F & Lunde, Asger - Stochastic Permanent Breaks (repec:cdl:ucsdec:qt99v0s0zx)
by Engle, Robert F & Smith, Aaron - Climate Stress Testing (repec:ces:ceswps:_10345)
by Viral V Acharya & Richard Berner & Robert Engle & Hyeyoon Jung & Johannes Stroebel & Xuran Zeng & Yihao Zhao - Hedging climate change news (repec:ces:ceswps:_7655)
by Robert Engle & Stefano Giglio & Heebum Lee & Bryan Kelly & Johannes Stroebel - A GARCH Option Pricing Model in Incomplete Markets (repec:chf:rpseri:rp0703)
by Giovanni Barone-Adesi & Robert F. Engle & Loriano Mancini - Systemic Risk in Europe (repec:chf:rpseri:rp1245)
by Robert F. Engle & Eric Jondeau & Michael Rockinger - Small-Sample Properties of ARCH Estimators and Tests (repec:cje:issued:v:18:y:1985:i:1:p:66-93)
by Robert F. Engle & David F. Hendry & David Trumble - The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes (repec:cnb:wpaper:2005/13)
by Robert F. Engle & Jose Gonzalo Rangel - Exogeneity (repec:cor:louvrp:516)
by ENGLE, Robert F. & HENDRY, David F. & RICHARD, Jean-François - Hedging Climate Change News (repec:cpr:ceprdp:13730)
by Ströbel, Johannes & Engle, Robert & Giglio, Stefano & Kelly, Bryan & Lee, Heebum - Why did bank stocks crash during COVID-19? (repec:cpr:ceprdp:15901)
by Acharya, Viral & Engle, Robert & Steffen, Sascha - Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights (repec:cpr:ceprdp:9431)
by Engle, Robert & Acharya, Viral & Pierret, Diane - Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights (repec:cpr:ceprdp:9800)
by Engle, Robert & Acharya, Viral & Pierret, Diane - Multivariate Simultaneous Generalized ARCH (repec:cup:etheor:v:11:y:1995:i:01:p:122-150_00)
by Engle, Robert F. & Kroner, Kenneth F. - Value at risk models in finance (repec:ecb:ecbwps:200175)
by Engle, Robert F. & Manganelli, Simone - Asymmetric dynamics in the correlations of global equity and bond returns (repec:ecb:ecbwps:2003204)
by Cappiello, Lorenzo & Engle, Robert F. & Sheppard, Kevin - The risk management approach to macro-prudential policy (repec:ecb:ecbwps:20212565)
by Chavleishvili, Sulkhan & Engle, Robert F. & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd - Estimating systemic risk for non-listed euro-area banks (repec:ecb:ecbwps:20232856)
by Engle, Robert F. & Emambakhsh, Tina & Manganelli, Simone & Parisi, Laura & Pizzeghello, Riccardo - Specification of the Disturbance for Efficient Estimation (repec:ecm:emetrp:v:42:y:1974:i:1:p:135-46)
by Engle, Robert F - Some Finite Sample Properties of Spectral Estimators of a Linear Regression (repec:ecm:emetrp:v:44:y:1976:i:1:p:149-65)
by Engle, Robert F & Gardner, Roy - Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment (repec:ecm:emetrp:v:44:y:1976:i:3:p:617-18)
by Engle, Robert F - Testing Price Equations for Stability across Spectral Frequency Bands (repec:ecm:emetrp:v:46:y:1978:i:4:p:869-81)
by Engle, Robert F - Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (repec:ecm:emetrp:v:50:y:1982:i:4:p:987-1007)
by Engle, Robert F - Exogeneity (repec:ecm:emetrp:v:51:y:1983:i:2:p:277-304)
by Engle, Robert F & Hendry, David F & Richard, Jean-Francois - Co-integration and Error Correction: Representation, Estimation, and Testing (repec:ecm:emetrp:v:55:y:1987:i:2:p:251-76)
by Engle, Robert F & Granger, Clive W J - Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (repec:ecm:emetrp:v:55:y:1987:i:2:p:391-407)
by Engle, Robert F & Lilien, David M & Robins, Russell P - Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market (repec:ecm:emetrp:v:58:y:1990:i:3:p:525-42)
by Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling - Common Persistence in Conditional Variances (repec:ecm:emetrp:v:61:y:1993:i:1:p:167-86)
by Bollerslev, Tim & Engle, Robert F - Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (repec:ecm:emetrp:v:66:y:1998:i:5:p:1127-1162)
by Robert F. Engle & Jeffrey R. Russell - The Econometrics of Ultra-High Frequency Data (repec:ecm:emetrp:v:68:y:2000:i:1:p:1-22)
by Robert F. Engle - CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles (repec:ecm:wc2000:0841)
by Robert Engle & Simone Manganelli - Combining competing forecasts of inflation using a bivariate arch model (repec:eee:dyncon:v:8:y:1984:i:2:p:151-165)
by Engle, Robert F. & Granger, C. W. J. & Kraft, Dennis - Wald, likelihood ratio, and Lagrange multiplier tests in econometrics (repec:eee:ecochp:2-13)
by Engle, Robert F. - Arch models (repec:eee:ecochp:4-49)
by Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B. - Handbook of Econometrics (repec:eee:econhb:4)
by R. F. Engle & D. McFadden (ed.) - Financial econometrics - A new discipline with new methods (repec:eee:econom:v:100:y:2001:i:1:p:53-56)
by Engle, Robert - The econometrics of macroeconomics, finance, and the interface (repec:eee:econom:v:131:y:2006:i:1-2:p:1-2)
by Diebold, F.X. & Engle, R.F. & Favero, C. & Gallo, G.M. & Schorfheide, F. - A multiple indicators model for volatility using intra-daily data (repec:eee:econom:v:131:y:2006:i:1-2:p:3-27)
by Engle, Robert F. & Gallo, Giampiero M. - A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones (repec:eee:econom:v:132:y:2006:i:1:p:7-42)
by Engle, Robert F. & Marcucci, Juri - A component model for dynamic correlations (repec:eee:econom:v:164:y:2011:i:1:p:45-59)
by Colacito, Riccardo & Engle, Robert F. & Ghysels, Eric - Priced risk and asymmetric volatility in the cross section of skewness (repec:eee:econom:v:182:y:2014:i:1:p:135-144)
by Engle, Robert & Mistry, Abhishek - A general approach to lagrange multiplier model diagnostics (repec:eee:econom:v:20:y:1982:i:1:p:83-104)
by Engle, Robert F. - Scenario generation for long run interest rate risk assessment (repec:eee:econom:v:201:y:2017:i:2:p:333-347)
by Engle, Robert & Roussellet, Guillaume & Siriwardane, Emil - Liquidity and volatility in the U.S. Treasury market (repec:eee:econom:v:217:y:2020:i:2:p:207-229)
by Nguyen, Giang & Engle, Robert & Fleming, Michael & Ghysels, Eric - Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models (repec:eee:econom:v:23:y:1983:i:3:p:385-400)
by Watson, Mark W. & Engle, Robert F. - Multiplicative factor model for volatility (repec:eee:econom:v:249:y:2025:i:pb:s0304407625000132)
by Ding, Yi & Engle, Robert & Li, Yingying & Zheng, Xinghua - A dymimic model of housing price determination (repec:eee:econom:v:28:y:1985:i:3:p:307-326)
by Engle, Robert F. & Lilien, David M. & Watson, Mark - Forecasting and testing in co-integrated systems (repec:eee:econom:v:35:y:1987:i:1:p:143-159)
by Engle, Robert F. & Yoo, Byung Sam - Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting (repec:eee:econom:v:40:y:1989:i:1:p:45-62)
by Engle, R. F. & Granger, C. W. J. & Hallman, J. J. - Seasonal integration and cointegration (repec:eee:econom:v:44:y:1990:i:1-2:p:215-238)
by Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S. - Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills (repec:eee:econom:v:45:y:1990:i:1-2:p:213-237)
by Engle, Robert F. & Ng, Victor K. & Rothschild, Michael - A multi-dynamic-factor model for stock returns (repec:eee:econom:v:52:y:1992:i:1-2:p:245-266)
by Ng, Victor & Engle, Robert F. & Rothschild, Michael - Implied ARCH models from options prices (repec:eee:econom:v:52:y:1992:i:1-2:p:289-311)
by Engle, Robert F. & Mustafa, Chowdhury - The Japanese consumption function (repec:eee:econom:v:55:y:1993:i:1-2:p:275-298)
by Engle, R. F. & Granger, C. W. J. & Hylleberg, S. & Lee, H. S. - Testing superexogeneity and invariance in regression models (repec:eee:econom:v:56:y:1993:i:1-2:p:119-139)
by Engle, Robert F. & Hendry, David F. - Codependent cycles (repec:eee:econom:v:80:y:1997:i:2:p:199-221)
by Vahid, Farshid & Engle, Robert F. - Residential load curves and time-of-day pricing : An econometric analysis (repec:eee:econom:v:9:y:1979:i:1-2:p:13-32)
by Granger, Clive W. J. & Engle, Robert & Ramanathan, Ramu & Andersen, Allan - A long memory property of stock market returns and a new model (repec:eee:empfin:v:1:y:1993:i:1:p:83-106)
by Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F. - Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model (repec:eee:empfin:v:4:y:1997:i:2-3:p:187-212)
by Engle, Robert F. & Russell, Jeffrey R. - The billing cycle and weather variables in models of electricity sales (repec:eee:energy:v:9:y:1984:i:11:p:1041-1047)
by Train, Kenneth & Ignelzi, Patrice & Engle, Robert & Granger, Clive & Ramanathan, Ramu - Predicting VNET: A model of the dynamics of market depth (repec:eee:finmar:v:4:y:2001:i:2:p:113-142)
by Engle, Robert F. & Lange, Joe - Impacts of trades in an error-correction model of quote prices (repec:eee:finmar:v:7:y:2004:i:1:p:1-25)
by Engle, Robert F. & Patton, Andrew J. - Estimating systemic risk for non-listed Euro-area banks (repec:eee:finsta:v:75:y:2024:i:c:s1572308924001244)
by Engle, Robert F. & Emambakhsh, Tina & Manganelli, Simone & Parisi, Laura & Pizzeghello, Riccardo - Where does the meteor shower come from? : The role of stochastic policy coordination (repec:eee:inecon:v:32:y:1992:i:3-4:p:221-240)
by Ito, Takatoshi & Engle, Robert F. & Lin, Wen-Ling - Shorte-run forecasts of electricity loads and peaks (repec:eee:intfor:v:13:y:1997:i:2:p:161-174)
by Ramanathan, Ramu & Engle, Robert & Granger, Clive W. J. & Vahid-Araghi, Farshid & Brace, Casey - Large dynamic covariance matrices: Enhancements based on intraday data (repec:eee:jbfina:v:138:y:2022:i:c:s0378426622000267)
by De Nard, Gianluca & Engle, Robert F. & Ledoit, Olivier & Wolf, Michael - What are the events that shake our world? Measuring and hedging global COVOL (repec:eee:jfinec:v:147:y:2023:i:1:p:221-242)
by Engle, Robert F. & Campos-Martins, Susana - CRISK: Measuring the climate risk exposure of the financial system (repec:eee:jfinec:v:171:y:2025:i:c:s0304405x25000844)
by Jung, Hyeyoon & Engle, Robert F. & Berner, Richard - Empirical pricing kernels (repec:eee:jfinec:v:64:y:2002:i:3:p:341-372)
by Rosenberg, Joshua V. & Engle, Robert F. - Hourly volatility spillovers between international equity markets (repec:eee:jimfin:v:13:y:1994:i:1:p:3-25)
by Susmel, Raul & Engle, Robert F. - Issues in the specification of an econometric model of metropolitan growth (repec:eee:juecon:v:1:y:1974:i:2:p:250-267)
by Engle, Robert F. - Transportation costs and the rent gradient (repec:eee:juecon:v:21:y:1987:i:3:p:287-297)
by Coulson, N. Edward & Engle, Robert F. - On the theory of growth controls (repec:eee:juecon:v:32:y:1992:i:3:p:269-283)
by Engle, Robert & Navarro, Peter & Carson, Richard - Estimation of the price elasticity of demand facing metropolitan producers (repec:eee:juecon:v:6:y:1979:i:1:p:42-64)
by Engle, Robert F. - Estimating common sectoral cycles (repec:eee:moneco:v:35:y:1995:i:1:p:83-113)
by Engle, Robert F. & Issler, Joao Victor - The intertemporal capital asset pricing model with dynamic conditional correlations (repec:eee:moneco:v:57:y:2010:i:4:p:377-390)
by Bali, Turan G. & Engle, Robert F. - Testing macroprudential stress tests: The risk of regulatory risk weights (repec:eee:moneco:v:65:y:2014:i:c:p:36-53)
by Acharya, Viral & Engle, Robert & Pierret, Diane - On the determination of regional base and regional base multipliers (repec:eee:regeco:v:22:y:1992:i:4:p:619-635)
by Brown, Scott J. & Coulson, N. Edward & Engle, Robert F. - Estimating sectoral cycles using cointegration and common features (repec:fgv:epgewp:232)
by Engle, R. F. & Issler, João Victor - Common trends and common cycles in Latin America (repec:fgv:epgrbe:v:47:y:1993:i:2:a:2646)
by Engle, Robert F. & Issler, João Victor - Physical Climate Risk and Insurers (repec:fip:fednls:98025)
by Robert Engle & Shan Ge & Hyeyoon Jung & Xuran Zeng - Liquidity and volatility in the U.S. treasury market (repec:fip:fednsr:590)
by Robert Engle & Michael J. Fleming & Eric Ghysels & Giang Nguyen - CRISK: Measuring the Climate Risk Exposure of the Financial System (repec:fip:fednsr:93069)
by Richard Berner & Robert Engle & Hyeyoon Jung - Climate Stress Testing (repec:fip:fednsr:95943)
by Viral V. Acharya & Richard Berner & Robert Engle & Hyeyoon Jung & Johannes Stroebel & Xuran Zeng & Yihao Zhao - Physical Climate Risk Factors and an Application to Measuring Insurers’ Climate Risk Exposure (repec:fip:fednsr:96484)
by Robert Engle & Shan Ge & Hyeyoon Jung & Xuran Zeng - A Multiple Indicators Model For Volatility Using Intra-Daily Data (repec:fir:econom:wp2003_07)
by Robert F. Engle & Giampiero M. Gallo - Vector Multiplicative Error Models: Representation and Inference (repec:fir:econom:wp2006_15)
by Fabrizio Cipollini & Robert F. Engle & Giampiero Gallo - A Model for Multivariate Non-negative Valued Processes in Financial Econometrics (repec:fir:econom:wp2007_16)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets (repec:fir:econom:wp2008_09)
by Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi - Semiparametric vector MEM (repec:fir:econom:wp2009_03)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - Copula--based Specification of vector MEMs (repec:fir:econom:wp2016_04)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity (repec:fir:econom:wp2017_02)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - Meteor Showers Or Heat Wages? Heteroskedastic Intra-Daily Volatility In A The Foreign Exchange Market (repec:fth:minner:246)
by Engel, R.F. & Ito, T. & Lin, W-L. - Testing the Volatility Term Structure Using Option Hedging Criteria (repec:fth:nystfi:96-24)
by Robert F. Engle & Joshua Rosenberg - Testing the Volatility Term Structure using Option Hedging Criteria (repec:fth:nystfi:98-031)
by Robert F. Engle & Joshua Rosenberg - Empirical Pricing Kernels (repec:fth:nystfi:99-014)
by Joshua Rosenberg & Robert F. Engle - Seasonal Integration And Cointegration (repec:fth:pensta:0-88-2)
by Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S. - Seasonal, Integration And Cointegration (repec:fth:pensta:6-88-2)
by Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S. - Cointegrated Economic Time Series: A Survey With New Results (repec:fth:pensta:8-89-13)
by Engle, R.F. & Yoo, B.S. - Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity (repec:gam:jecnmx:v:5:y:2017:i:2:p:16-:d:95642)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - GARCH Options in Incomplete Markets (repec:hit:hitcei:2005-12)
by Barone-Adesi, Giovanni & Engle, Robert & Mancini, Loriano - Do Bulls and Bears Move Acoross Borders: International Transimission of Stock Returns and Volatility as the World Turns (repec:hit:hituec:a253)
by Wen-Ling Lin & Robert F. Engle & Takatoshi Ito - Band Spectrum Regression (repec:ier:iecrev:v:15:y:1974:i:1:p:1-11)
by Engle, Robert F - An Asset Price Model of Aggregate Investment (repec:ier:iecrev:v:16:y:1975:i:3:p:625-47)
by Engle, Robert F & Foley, Duncan K - Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions (repec:ier:iecrev:v:21:y:1980:i:2:p:391-407)
by Engle, Robert F - Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns (repec:inm:ormnsc:v:63:y:2017:i:11:p:3760-3779)
by Turan G. Bali & Robert F. Engle & Yi Tang - New frontiers for arch models (repec:jae:japmet:v:17:y:2002:i:5:p:425-446)
by Robert Engle - Common Trends and Common Cycles (repec:jae:japmet:v:8:y:1993:i:4:p:341-60)
by Vahid, F & Engle, Robert F - Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns (repec:koc:wpaper:1305)
by Turan G. Bali & Robert F. Engle & Yi Tang - Estimates of the Variance of U.S. Inflation Based upon the ARCH Model (repec:mcb:jmoncb:v:15:y:1983:i:3:p:286-301)
by Engle, Robert F - Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: Reply (repec:mcb:jmoncb:v:20:y:1988:i:3:p:422-23)
by Engle, Robert F - Time-Varying Volatility and the Dynamic Behavior of the Term Structure (repec:mcb:jmoncb:v:25:y:1993:i:3:p:336-49)
by Engle, Robert F & Ng, Victor K - De Facto Discrimination in Residential Assessments: Boston (repec:mit:worpap:119)
by R. F. Engle - Issues in the Specification of an Econometric Model of Metropolitan Growth (repec:mit:worpap:120)
by R. F. Engle - A Disequilibrium Model of Regional Investment (repec:mit:worpap:121)
by R. F. Engle - Some Finite Sample Properties of Spectral Estimators of a Linear Regression (repec:mit:worpap:122)
by R. F. Engle & R. Gardner - Testing Price Equations for Stability Across Frequencies (repec:mit:worpap:144)
by R. F. Engle - Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area (repec:mit:worpap:160)
by K. Bradbury & R. Engle et al. - Estimation of the Price Elasticity of Demand Facing Metropolitan Producers (repec:mit:worpap:162)
by R. F. Engle - The Inconsistency of Distributed Lag Estimators Due to Misspecification by Time Aggregation (repec:mit:worpap:63)
by R. E. Engle - The Specification of the Disturbance for Efficient Estimation (repec:mit:worpap:76)
by R. F. Engle - A Supply Function Model of Aggregate Investment (repec:mit:worpap:89)
by R. Engle & D. Foley - Band Spectrum Regressions (repec:mit:worpap:96)
by R. F. Engle - Measuring the probability of a financial crisis (repec:nas:journl:v:116:y:2019:p:18341-18346)
by Robert F. Engle & Tianyue Ruan - Interpreting Spectral Analyses in Terms of Time-Domain Models (repec:nbr:nberch:10429)
by Robert F. Engle - Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic (repec:nbr:nberch:11707)
by Robert F. Engle - Effects of Aggregation Over Time on Dynamic Characteristics of an Econometric Model (repec:nbr:nberch:2787)
by Robert F. Engle & Ta-Chung Liu - Simultaneous Estimation of the Supply and Demand for Housing Location in a Multizoned Metropolitan Area (repec:nbr:nberch:4308)
by Katharine Bradbury & Robert Engle & Owen Irvine & Jerome Rothenberg - Estimating Structural Models of Seasonality (repec:nbr:nberch:4328)
by Robert F. Engle - Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills (repec:nbr:nberte:0065)
by Robert F. Engle & Victor Ng & Michael Rothschild - Testing For Common Features (repec:nbr:nberte:0091)
by Robert F. Engle & Sharon Kozicki - Vector Multiplicative Error Models: Representation and Inference (repec:nbr:nberte:0331)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - Interpreting Spectral Analyses in Terms of Time-Domain Models (repec:nbr:nberwo:0037)
by Robert F. Engle - A Multiple Indicators Model for Volatility Using Intra-Daily Data (repec:nbr:nberwo:10117)
by Robert F. Engle & Giampiero M. Gallo - Execution Risk (repec:nbr:nberwo:12165)
by Robert Engle & Robert Ferstenberg - Vector Multiplicative Error Models: Representation and Inference (repec:nbr:nberwo:12690)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights (repec:nbr:nberwo:18968)
by Viral V. Acharya & Robert Engle & Diane Pierret - Hedging Climate Change News (repec:nbr:nberwo:25734)
by Robert F. Engle III & Stefano Giglio & Bryan T. Kelly & Heebum Lee & Johannes Stroebel - Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (repec:nbr:nberwo:2609)
by Robert F. Engle & Takatoshi Ito & Wen-Ling Lin - Why Did Bank Stocks Crash During COVID-19? (repec:nbr:nberwo:28559)
by Viral V. Acharya & Robert F. Engle III & Maximilian Jager & Sascha Steffen - Climate Stress Testing (repec:nbr:nberwo:31097)
by Viral V. Acharya & Richard Berner & Robert F. Engle III & Hyeyoon Jung & Johannes Stroebel & Xuran Zeng & Yihao Zhao - Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share (repec:nbr:nberwo:3291)
by Scott J. Brown & N. Edward Coulson & Robert F. Engle - Strategic Commitments to Decarbonize: The Role of Large Firms, Common Ownership, and Governments (repec:nbr:nberwo:33335)
by Viral V. Acharya & Robert F. Engle III & Olivier Wang - Valuation of Variance Forecast with Simulated Option Markets (repec:nbr:nberwo:3350)
by Robert F. Engle & Che-Hsiung Hong & Alex Kane - Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination (repec:nbr:nberwo:3504)
by Takatoshi Ito & Robert F. Engle & Wen-Ling Lin - Measuring Risk Aversion From Excess Returns on a Stock Index (repec:nbr:nberwo:3643)
by Ray Chou & Robert F. Engle & Alex Kane - Measuring and Testing the Impact of News on Volatility (repec:nbr:nberwo:3681)
by Robert F. Engle & Victor K. Ng - Time-Varying Volatility and the Dynamic Behavior of the Term Structure (repec:nbr:nberwo:3682)
by Robert F. Engle & Victor K. Ng - Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns (repec:nbr:nberwo:3911)
by Wen-Ling Lin & Robert F. Engle & Takatoshi Ito - Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts (repec:nbr:nberwo:4519)
by Robert F. Engle & Alex Kane & Jaesun Noh - A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts (repec:nbr:nberwo:4520)
by Jaesun Noh & Robert F. Engle & Alex Kane - Estimating Sectoral Cycles Using Cointegration and Common Features (repec:nbr:nberwo:4529)
by Robert F. Engle & Joao Victor Issler - Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models (repec:nbr:nberwo:4958)
by Robert F. Engle & Joshua Rosenberg - Forecasting Transaction Rates: The Autoregressive Conditional Duration Model (repec:nbr:nberwo:4966)
by Robert F. Engle & Jeffrey R. Russell - GARCH Gamma (repec:nbr:nberwo:5128)
by Robert F. Engle & Joshua V. Rosenberg - The Econometrics of Ultra-High Frequency Data (repec:nbr:nberwo:5816)
by Robert F. Engle - Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market (repec:nbr:nberwo:6129)
by Robert F. Engle & Joe Lange - Option Hedging Using Empirical Pricing Kernels (repec:nbr:nberwo:6222)
by Joshua V. Rosenberg & Robert F. Engle - Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks (repec:nbr:nberwo:7330)
by Young-Hye Cho & Robert F. Engle - Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market (repec:nbr:nberwo:7331)
by Young-Hye Cho & Robert F. Engle - CAViaR: Conditional Value at Risk by Quantile Regression (repec:nbr:nberwo:7341)
by Robert F. Engle & Simone Manganelli - Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (repec:nbr:nberwo:8554)
by Robert F. Engle & Kevin Sheppard - Measuring and Hedging Geopolitical Risk (repec:nip:nipewp:08/2020)
by Robert F. Engle & Susana Campos-Martins - Structural GARCH: The Volatility-Leverage Connection (repec:ofr:wpaper:14-07)
by Robert Engle & Emil Siriwardane - Trades and Quotes: A Bivariate Point Process (repec:oup:jfinec:v:1:y:2003:i:2:p:159-188)
by Robert F. Engle & Asger Lunde - Forecasting intraday volatility in the US equity market. Multiplicative component GARCH (repec:oup:jfinec:v:10:y::i:1:p:54-83)
by Robert F. Engle & Magdalena E. Sokalska - Dynamic Conditional Beta (repec:oup:jfinec:v:14:y:2016:i:4:p:643-667.)
by Robert F. Engle - News and Idiosyncratic Volatility: The Public Information Processing Hypothesis
[A Theory of Intraday Patterns: Volume and Price Variability] (repec:oup:jfinec:v:19:y:2021:i:1:p:1-38.)
by Robert F Engle & Martin Klint Hansen & Ahmet K Karagozoglu & Asger Lunde - Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (repec:oup:jfinec:v:4:y:2006:i:4:p:537-572)
by Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard - Time-Varying Arrival Rates of Informed and Uninformed Trades (repec:oup:jfinec:v:6:y:2008:i:2:p:171-207)
by David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu - Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis (repec:oup:jfinec:v:8:y:2010:i:2:p:158-159)
by Robert F. Engle - Long-Term Skewness and Systemic Risk (repec:oup:jfinec:v:9:y:2011:i:3:p:437-468)
by Robert F. Engle - Systemic Risk in Europe (repec:oup:revfin:v:19:y:2015:i:1:p:145-190.)
by Robert Engle & Eric Jondeau & Michael Rockinger - Modeling the Dynamics of Correlations among Implied Volatilities (repec:oup:revfin:v:19:y:2015:i:3:p:991-1018.)
by Robert Engle & Stephen Figlewski - The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (repec:oup:rfinst:v:21:y:2008:i:3:p:1187-1222)
by Robert F. Engle & Jose Gonzalo Rangel - A GARCH Option Pricing Model with Filtered Historical Simulation (repec:oup:rfinst:v:21:y:2008:i:3:p:1223-1258)
by Giovanni Barone-Adesi & Robert F. Engle & Loriano Mancini - Stock Volatility and the Crash of '87: Discussion (repec:oup:rfinst:v:3:y:1990:i:1:p:103-06)
by Engle, Robert F - SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (repec:oup:rfinst:v:30:y:2017:i:1:p:48-79.)
by Christian Brownlees & Robert F. Engle - Structural GARCH: The Volatility-Leverage Connection (repec:oup:rfinst:v:31:y:2018:i:2:p:449-492.)
by Robert F. Engle & Emil N. Siriwardane - Hedging Climate Change News (repec:oup:rfinst:v:33:y:2020:i:3:p:1184-1216.)
by Robert F Engle & Stefano Giglio & Bryan Kelly & Heebum Lee & Johannes Stroebel - Why Did Bank Stocks Crash during COVID-19? (repec:oup:rfinst:v:37:y:2024:i:9:p:2627-2684.)
by Viral V Acharya & Robert Engle & Maximilian Jager & Sascha Steffen - Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility (repec:oup:rfinst:v:7:y:1994:i:3:p:507-38)
by Lin, Wen-Ling & Engle, Robert F & Ito, Takatoshi - Fitting vast dimensional time-varying covariance models (repec:oxf:wpaper:403)
by Neil Shephard & Kevin Sheppard & Robert F. Engle - Testing Super Exogeneity And Invariance In Regression Models (repec:oxf:wpaper:99100)
by Engle, R. & Hendry, D. - Long-Run Economic Relationships: Readings in Cointegration (repec:oxp:obooks:9780198283393)
by Engle, R. F. & Granger, C. W. J. (ed.) - Cointegration, Causality, and Forecasting: Festschrift in Honour of Clive W. J. Granger (repec:oxp:obooks:9780198296836)
by Engle, Robert F. & White (the late), Halbert (ed.) - ARCH: Selected Readings (repec:oxp:obooks:9780198774327)
by Engle, Robert F. (ed.) - A GARCH Option Pricing Model with Filtered Historical Simulation (repec:pal:palchp:978-1-137-46555-9_4)
by Giovanni Barone Adesi & Robert F. Engle & Loriano Mancini - The ACD Model: Predictability of the Time Between Concecutive Trades (repec:rdg:icmadp:icma-dp2000-05)
by Alfonso Dufour & Robert F Engle - Modelling Volatility Cycles: The (MF)2 GARCH Model (repec:rim:rimwps:21-05)
by Christian Conrad & Robert F. Engle - Co-integration and error correction: Representation, estimation, and testing (repec:ris:apltrx:0274)
by Engle, Robert & Granger, Clive - Autobiography (repec:ris:nobelp:2003_003)
by Engle III, Robert F. - Risk and Volatility: Econometric Models and Financial Practice (repec:ris:nobelp:2003_004)
by Engle III, Robert F. - Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III (repec:ris:nobelp:2003_005)
by Engle III, Robert F. & Granger, Clive W. J. - The underlying dynamics of credit correlations (repec:rsk:journ1:2160594)
by Arthur Berd & Robert Engle & Artem Voronov - Systemic risk in the financial system: capital shortfalls under Brexit, the US elections and the Italian referendum (repec:rsk:journ1:6201846)
by Robert Engle & Cristiano Zazzara - A practical guide to volatility forecasting through calm and storm (repec:rsk:journ4:2161026)
by Christian Brownlees & Robert Engle & Bryan Kelly - Fitting vast dimensional time-varying covariance models (repec:sbs:wpsefe:2008fe30)
by Robert Engle & Neil Shephard & Kevin Shepphard - High Frequency Multiplicative Component Garch (repec:sce:scecf5:409)
by Magdalena E. Sokalska & Ananda Chanda & Robert F. Engle - Modeling a Time-Varying Order Statistic (repec:sce:scecf9:952)
by Simone Manganelli & Robert F. Engle - SRISK: a conditional capital shortfall measure of systemic risk (repec:srk:srkwps:201737)
by Brownlees, Christian & Engle, Robert F. - The Factor--Spline--GARCH Model for High and Low Frequency Correlations (repec:taf:jnlbes:v:30:y:2011:i:1:p:109-124)
by José Gonzalo Rangel & Robert F. Engle - Dynamic Equicorrelation (repec:taf:jnlbes:v:30:y:2011:i:2:p:212-228)
by Robert Engle & Bryan Kelly - The Factor–Spline–GARCH Model for High and Low Frequency Correlations (repec:taf:jnlbes:v:30:y:2012:i:1:p:109-124)
by José Rangel & Robert Engle - Large Dynamic Covariance Matrices (repec:taf:jnlbes:v:37:y:2019:i:2:p:363-375)
by Robert F. Engle & Olivier Ledoit & Michael Wolf - Fitting Vast Dimensional Time-Varying Covariance Models (repec:taf:jnlbes:v:39:y:2021:i:3:p:652-668)
by Cavit Pakel & Neil Shephard & Kevin Sheppard & Robert F. Engle - What good is a volatility model? (repec:taf:quantf:v:1:y:2001:i:2:p:237-245)
by R. F. Engle & A. J. Patton - Robert F Engle: Understanding volatility as a process (repec:taf:quantf:v:4:y:2004:i:2:p:19-20)
by Robert Engle - Factor-Mimicking Portfolios for Climate Risk (repec:taf:ufajxx:v:80:y:2024:i:3:p:37-58)
by Gianluca De Nard & Robert F. Engle & Bryan Kelly - Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative (repec:tpr:restat:v:67:y:1985:i:2:p:341-46)
by Watson, Mark W & Engle, Robert F - Stochastic Permanent Breaks (repec:tpr:restat:v:81:y:1999:i:4:p:553-574)
by Robert F. Engle & Aaron D. Smith - Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach (repec:tpr:restat:v:94:y:2012:i:1:p:222-223)
by Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi - Stock Market Volatility and Macroeconomic Fundamentals (repec:tpr:restat:v:95:y:2013:i:3:p:776-797)
by Robert F. Engle & Eric Ghysels & Bumjean Sohn - A Capital Asset Pricing Model with Time-Varying Covariances (repec:ucp:jpolec:v:96:y:1988:i:1:p:116-31)
by Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M - Environmental, social, governance: Implications for businesses and effects for stakeholders (repec:wly:corsem:v:26:y:2019:i:6:p:1627-1628)
by Robert Engle & Marina Brogi & Nicola Cucari & Valentina Lagasio - Environmental, Social, Governance: Implications for businesses and effects for stakeholders (repec:wly:corsem:v:28:y:2021:i:5:p:1423-1425)
by Robert Engle & Marina Brogi & Nicola Cucari & Valentina Lagasio - Derivatives ‐ The Ultimate Financial Innovation (repec:wly:finmar:v:18:y:2009:i:2:p:166-167)
by Viral V. Acharya & Menachem Brenner & Robert Engle & Anthony Lynch & Matthew Richardson - Centralized Clearing for Credit Derivatives (repec:wly:finmar:v:18:y:2009:i:2:p:168-170)
by Viral V. Acharya & Robert Engle & Stephen Figlewski & Anthony Lynch & Marti Subrahmanyam - Semiparametric Vector Mem (repec:wly:japmet:v:28:y:2013:i:7:p:1067-1086)
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo - Modelling Volatility Cycles: The MF2‐GARCH Model (repec:wly:japmet:v:40:y:2025:i:4:p:438-454)
by Christian Conrad & Robert F. Engle - Common Trends And Common Cycles (repec:wly:japmet:v:8:y:1993:i:4:p:341-360)
by F. Vahid & R. F. Engle - Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model (repec:wop:chispw:470)
by Jeffrey R. Russell & Robert F. Engle - Time-Varying Arrival Rates of Informed and Uninformed Trades (repec:wpa:wuwpfi:0207017)
by David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu - A general Approach to the Construction of Model Diagnostics based upon the Lagrange Multiplier Principle (repec:wrk:warwec:156)
by Engle, Robert F - Exogeneity (repec:wrk:warwec:162)
by Engle, Robert F & Hendry, David F & Richard, Jean-Francois - Measuring Systemic Risk (repec:wsi:wschap:9789814417501_0003)
by Viral V. Acharya & Christian Brownlees & Robert Engle & Farhang Farazmand & Matthew Richardson - Large dynamic covariance matrices (repec:zur:econwp:231)
by Robert F. Engle & Olivier Ledoit & Michael Wolf - Large dynamic covariance matrices: enhancements based on intraday data (repec:zur:econwp:356)
by Gianluca De Nard & Robert F. Engle & Olivier Ledoit & Michael Wolf - Factor mimicking portfolios for climate risk (repec:zur:econwp:429)
by Gianluca De Nard & Robert F. Engle & Bryan Kelly