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Robert Engle
Robert Engle
Verified email at stern.nyu.edu - Homepage
Title
Cited by
Cited by
Year
Co-integration and error correction: representation, estimation, and testing
RF Engle, CWJ Granger
Econometrica: journal of the Econometric Society, 251-276, 1987
529521987
Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
RF Engle
Econometrica: Journal of the econometric society, 987-1007, 1982
347341982
Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models
R Engle
Journal of Business & Economic Statistics 20 (3), 339-350, 2002
96602002
Multivariate simultaneous generalized ARCH
RF Engle, KF Kroner
Econometric theory 11 (1), 122-150, 1995
62431995
Measuring and testing the impact of news on volatility
RF Engle, VK Ng
The journal of finance 48 (5), 1749-1778, 1993
59991993
A long memory property of stock market returns and a new model
Z Ding, CWJ Granger, RF Engle
Journal of empirical finance 1 (1), 83-106, 1993
52031993
A capital asset pricing model with time-varying covariances
T Bollerslev, RF Engle, JM Wooldridge
Journal of political Economy 96 (1), 116-131, 1988
48931988
Estimating time varying risk premia in the term structure: The ARCH-M model
RF Engle, DM Lilien, RP Robins
Econometrica: journal of the Econometric Society, 391-407, 1987
41701987
Modelling the persistence of conditional variances
RF Engle, T Bollerslev
Econometric reviews 5 (1), 1-50, 1986
37001986
Forecasting and testing in co-integrated systems
RF Engle, BS Yoo
Journal of econometrics 35 (1), 143-159, 1987
34661987
ARCH models
T Bollerslev, RF Engle, DB Nelson
Handbook of econometrics 4, 2959-3038, 1994
29631994
Exogeneity
RF Engle, DF Hendry, JF Richard
Econometrica: Journal of the Econometric Society, 277-304, 1983
28341983
CAViaR: Conditional autoregressive value at risk by regression quantiles
RF Engle, S Manganelli
Journal of business & economic statistics 22 (4), 367-381, 2004
27672004
Autoregressive conditional duration: a new model for irregularly spaced transaction data
RF Engle, JR Russell
Econometrica, 1127-1162, 1998
24091998
Seasonal integration and cointegration
S Hylleberg, RF Engle, CWJ Granger, BS Yoo
Journal of econometrics 44 (1-2), 215-238, 1990
23341990
Asymmetric dynamics in the correlations of global equity and bond returns
L Cappiello, RF Engle, K Sheppard
Journal of Financial econometrics 4 (4), 537-572, 2006
23192006
GARCH 101: The use of ARCH/GARCH models in applied econometrics
R Engle
Journal of economic perspectives 15 (4), 157-168, 2001
21632001
Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH
RF Engle III, K Sheppard
National Bureau of Economic Research, 2001
21052001
Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market
RF Engle III, T Ito, WL Lin
National Bureau of Economic Research, 1988
16211988
SRISK: A conditional capital shortfall measure of systemic risk
C Brownlees, RF Engle
The Review of Financial Studies 30 (1), 48-79, 2017
14982017
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Articles 1–20