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List of works by Robert F. Engle

A Multiple Indicators Model for Volatility Using Intra-Daily Data

scholarly article published November 2003

A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts

scientific article published in November 1993

Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills

scientific article published in November 1988

CAViaR: Conditional Value at Risk by Quantile Regression

scientific article published in September 1999

Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns

scholarly article published November 1991

Estimating Sectoral Cycles Using Cointegration and Common Features

scientific article published in November 1993

Execution Risk

scientific article published in April 2006

Forecasting Transaction Rates: The Autoregressive Conditional Duration Model

scientific article published in December 1994

GARCH Gamma

scientific article published in May 1995

Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models

scientific article published in December 1994

Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts

scientific article published in November 1993

Interpreting Spectral Analyses in Terms of Time-Domain Models

scientific article published in April 1974

Measuring Risk Aversion From Excess Returns on a Stock Index

scientific article published in March 1991

Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market

scientific article published in August 1997

Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

scientific article published in June 1988

Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market

scientific article published in September 1999

Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share

scientific article published in March 1990

Option Hedging Using Empirical Pricing Kernels

scientific article published in October 1997

Testing For Common Features

scientific article published in October 1990

Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights

scientific article published in April 2013

The Econometrics of Ultra-High Frequency Data

scientific article published in November 1996

Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH

Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks

scientific article published in September 1999

Valuation of Variance Forecast with Simulated Option Markets

scientific article published in May 1990

Vector Multiplicative Error Models: Representation and Inference

scientific article published in November 2006

Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination

scientific article published in October 1990