Details about Robert F. Engle

Homepage:	http://pages.stern.nyu.edu/~rengle/
Postal address:	Robert Engle obtained the Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel in 2003. His entry is maintained by the RePEc team. The listed email address will not respond to inquiries.
Workplace:	Finance Department, Stern School of Business, New York University, (more information at EDIRC) National Bureau of Economic Research (NBER), (more information at EDIRC) Volatility Institute, Stern School of Business, New York University, (more information at EDIRC)

Access statistics for papers by Robert F. Engle.

Last updated 2009-10-10. Update your information in the RePEc Author Service.

Short-id: pen9

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Working Papers

2009

1. Semiparametric vector MEM
   Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti"
2. The Factor-Spline-GARCH Model for High and Low Frequency Correlations
   Working Papers, Banco de México

2008

3. A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets
   Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti" View citations
4. Fitting vast dimensional time-varying covariance models
   Economics Series Working Papers, University of Oxford, Department of Economics
   Also in OFRC Working Papers Series, Oxford Financial Research Centre (2008)

2007

5. A GARCH Option Pricing Model in Incomplete Markets
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
6. A Model for Multivariate Non-negative Valued Processes in Financial Econometrics
   Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti"

2006

7. Execution Risk
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
8. GARCH Options in Incomplete Markets
   CEI Working Paper Series, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University
9. Vector Multiplicative Error Models: Representation and Inference
   NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations
   Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti" (2006) View citations

2005

10. HIGH FREQUENCY MULTIPLICATIVE COMPONENT GARCH
    Computing in Economics and Finance 2005, Society for Computational Economics View citations
11. The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes
    Working Papers, Czech National Bank, Research Department View citations

2004

12. Autobiography
    Nobel Prize in Economics documents, Nobel Prize Committee

2003

13. A Multiple Indicators Model For Volatility Using Intra-Daily Data
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti" View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations
    See also Journal Article in Journal of Econometrics (2006)
14. Asymmetric dynamics in the correlations of global equity and bond returns
    Working Paper Series, European Central Bank View citations
    See also Journal Article in Journal of Financial Econometrics (2006)
15. Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III
    Nobel Prize in Economics documents, Nobel Prize Committee
16. Risk and Volatility: Econometric Models and Financial Practice
    Nobel Prize in Economics documents, Nobel Prize Committee
    See also Journal Article in American Economic Review (2004)

2002

17. Time-Varying Arrival Rates of Informed and Uninformed Trades
    Finance, EconWPA View citations
    See also Journal Article in Journal of Financial Econometrics (2008)

2001

18. Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations
19. Value at risk models in finance
    Working Paper Series, European Central Bank View citations

2000

20. CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1999) View citations
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1999) View citations
    See also Journal Article in Journal of Business & Economic Statistics (2004)
21. Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
22. Empirical Pricing Kernels
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations
    See also Journal Article in Journal of Financial Economics (2002)
23. Impacts of Trades in an Error-Correction Model of Quote Prices
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    See also Journal Article in Journal of Financial Markets (2004)
24. The ACD Model: Predictability of the Time Between Concecutive Trades
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations

1999

25. CAViaR: Conditional Value at Risk by Quantile Regression
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
26. Modeling a Time-Varying Order Statistic
    Computing in Economics and Finance 1999, Society for Computational Economics
27. Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999) View citations
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1999) View citations
28. Time and the Price Impact of a Trade
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1999) View citations
    See also Journal Article in Journal of Finance (2000)
29. Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks
    NBER Working Papers, National Bureau of Economic Research, Inc View citations

1998

30. Correlations and Volatilities of Asynchronous Data
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
31. Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago (1998) View citations
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1998) View citations
32. Macroeconomic Announcements and Volatility of Treasury Futures
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1998) View citations
33. Stochastic Permanent Breaks
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1998)
    See also Journal Article in The Review of Economics and Statistics (1999)
34. Testing the Volatility Term Structure using Option Hedging Criteria
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1966)
35. Trades and Quotes: A Bivariate Point Process
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1998) View citations
    See also Journal Article in Journal of Financial Econometrics (2003)

1997

36. Conditional Volatility of Exchange Rates Under a Target Zone
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
37. Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1997) View citations
38. Option Hedging Using Empirical Pricing Kernels
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1997) View citations

1996

39. Common Seasonal Features: Global Unemployment
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    Also in Economics Working Papers, School of Economics and Management, University of Aarhus View citations
    See also Journal Article in Oxford Bulletin of Economics and Statistics (1996)
40. The Econometrics of Ultra-High Frequency Data
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1996) View citations
    See also Journal Article in Econometrica (2000)

1995

41. Autoregressive Conditional Duration: A New Model for Irregularly Spaced Time Series Data
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
42. Estimating Diffusion Models of Stochastic Volatility
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
43. Forecasting the Frequency of Changes in Quoted Foreign Exchange Prices with the Autoregressive Conditional Duration Model
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    See also Journal Article in Journal of Empirical Finance (1997)
44. GARCH Gamma
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1995) View citations
45. Testing the Term Structure of Stochastic Volatility Models Using Option Hedging Performance Criteria
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego

1994

46. Estimating Sectoral Cycles Using Cointegration and Common Features
    Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil) View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1993) View citations
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1992)
47. Forecasting Transaction Rates: The Autoregressive Conditional Duration Model
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
48. Forecasting Volatility and Option Prices of the S&P 500 Index
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
49. Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations

1993

50. A Permanent and Transitory Component Model of Stock Return Volatility
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
51. A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
52. ARCH Models
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    See also Chapter (1986)
53. Common Trends and Common Cycles in Latin America
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
54. Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1993) View citations
55. Long Run Volatility Forecasting for Individual Stocks in a One Factor Model
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
56. Multivariate Simultaneous Generalized ARCH
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    See also Journal Article in Econometric Theory (1995)
57. Non-Synchronous Common Cycles
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations

1992

58. A Long Memory Property of Stock Market Returns and a New Model
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    See also Journal Article in Journal of Empirical Finance (1993)
59. Arbitrage Valuation of Variance Forecasts with Simulated Options
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
60. Common Trends and Common Cycles
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    See also Journal Article in Journal of Applied Econometrics (1993)
61. Common Volatility in International Equity Markets
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    See also Journal Article in Journal of Business & Economic Statistics (1993)
62. Do Bulls and Bears Move Acoross Borders: International Transimission of Stock Returns and Volatility as the World Turns
    Discussion Paper Series, Institute of Economic Research, Hitotsubashi University
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1992)
    Working papers, Wisconsin Madison - Social Systems (1991)
    NBER Working Papers, National Bureau of Economic Research, Inc (1991) View citations
63. Hourly Volatility Spillovers Between International Equity Markets
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    See also Journal Article in Journal of International Money and Finance (1994)
64. Short-Run Forecasts of Electricity Loads and Peaks
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    See also Journal Article in International Journal of Forecasting (1997)
65. Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Journal of International Economics (1992)

1991

66. Measuring Risk Aversion From Excess Returns on a Stock Index
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
67. Measuring and Testing the Impact of News on Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Journal of Finance (1993)
68. Measuring and Testing the Impact of News on Volatility Download paper: PDF
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
69. Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Econometrica (1990)
70. Statistical Models for Financial Volatility Download paper: PDF
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
71. Time-Varying Volatility and the Dynamic Behavior of the Term Structure
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1991)
    See also Journal Article in Journal of Money, Credit and Banking (1993)

1990

72. Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
73. SEASONAL COINTEGRATION: THE JAPANESE CONSUMPTION FUNCTION
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations
74. Semiparametric Arch Models
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    See also Journal Article in Journal of Business & Economic Statistics (1991)
75. TESTING SUPER EXOGENEITY AND INVARIANCE IN REGRESSION MODELS
    Economics Series Working Papers, University of Oxford, Department of Economics View citations
    See also Journal Article in Journal of Econometrics (1993)
76. Testing For Common Features
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1990)
    See also Journal Article in Journal of Business & Economic Statistics (1993)
77. Valuation of Variance Forecast with Simulated Option Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1990) View citations

1989

78. COINTEGRATED ECONOMIC TIME SERIES: A SURVEY WITH NEW RESULTS
    Working Papers, Pennsylvania State - Department of Economics View citations

1988

79. Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Journal of Econometrics (1990)
80. METEOR SHOWERS OR HEAT WAGES? HETEROSKEDASTIC INTRA-DAILY VOLATILITY IN A THE FOREIGN EXCHANGE MARKET
    Working Papers, Minnesota - Center for Economic Research View citations
81. SEASONAL INTEGRATION AND COINTEGRATION
    Working Papers, Pennsylvania State - Department of Economics View citations
    Also in Working Papers, Pennsylvania State - Department of Economics (1988) View citations
    See also Journal Article in Journal of Econometrics (1990)

1979

82. A general Approach to the Construction of Model Diagnostics based upon the Lagrange Multiplier Principle
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics
83. Exogeneity
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics
    See also Journal Article in Econometrica (1983)

1975

84. Estimation of the Price Elasticity of Demand Facing Metropolitan Producers
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics
    See also Journal Article in Journal of Urban Economics (1979)
85. Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics

1974

86. Interpreting Spectral Analyses in Terms of Time-Domain Models
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Chapter (1976)
87. Testing Price Equations for Stability Across Frequencies
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics

1973

88. A Disequilibrium Model of Regional Investment
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics
89. De Facto Discrimination in Residential Assessments: Boston
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics
90. Issues in the Specification of an Econometric Model of Metropolitan Growth
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics
    See also Journal Article in Journal of Urban Economics (1974)
91. Some Finite Sample Properties of Spectral Estimators of a Linear Regression
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics
    See also Journal Article in Econometrica (1976)

1972

92. A Supply Function Model of Aggregate Investment
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics
93. Band Spectrum Regressions
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics
    See also Journal Article in International Economic Review (1974)

1971

94. The Specification of the Disturbance for Efficient Estimation
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics

1970

95. The Inconsistency of Distributed Lag Estimators Due to Misspecification by Time Aggregation
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics

Journal Articles

2008

1. A GARCH Option Pricing Model with Filtered Historical Simulation
   Review of Financial Studies, 2008, 21, (3), 1223-1258 View citations
2. The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes
   Review of Financial Studies, 2008, 21, (3), 1187-1222 View citations
3. Time-Varying Arrival Rates of Informed and Uninformed Trades
   Journal of Financial Econometrics, 2008, 6, (2), 171-207
   See also Working Paper (2002)

2006

4. A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones
   Journal of Econometrics, 2006, 132, (1), 7-42 View citations
5. A multiple indicators model for volatility using intra-daily data
   Journal of Econometrics, 2006, 131, (1-2), 3-27 View citations
   See also Working Paper (2003)
6. Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
   Journal of Financial Econometrics, 2006, 4, (4), 537-572 View citations
   See also Working Paper (2003)
7. Testing and Valuing Dynamic Correlations for Asset Allocation
   Journal of Business & Economic Statistics, 2006, 24, 238-253 View citations
8. The econometrics of macroeconomics, finance, and the interface
   Journal of Econometrics, 2006, 131, (1-2), 1-2

2005

9. A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model
   Journal of Business & Economic Statistics, 2005, 23, 166-180 View citations

2004

10. CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles
    Journal of Business & Economic Statistics, 2004, 22, 367-381 View citations
    See also Working Paper (2000)
11. Impacts of trades in an error-correction model of quote prices
    Journal of Financial Markets, 2004, 7, (1), 1-25 View citations
    See also Working Paper (2000)
12. Risk and Volatility: Econometric Models and Financial Practice
    American Economic Review, 2004, 94, (3), 405-420 View citations
    See also Working Paper (2003)

2003

13. Trades and Quotes: A Bivariate Point Process
    Journal of Financial Econometrics, 2003, 1, (2), 159-188 View citations
    See also Working Paper (1998)

2002

14. Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models
    Journal of Business & Economic Statistics, 2002, 20, (3), 339-50 View citations
15. Empirical pricing kernels
    Journal of Financial Economics, 2002, 64, (3), 341-372 View citations
    See also Working Paper (2000)
16. New frontiers for arch models
    Journal of Applied Econometrics, 2002, 17, (5), 425-446 View citations

2001

17. Financial econometrics - A new discipline with new methods
    Journal of Econometrics, 2001, 100, (1), 53-56 View citations
18. GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics
    Journal of Economic Perspectives, 2001, 15, (4), 157-168 View citations
19. Predicting VNET: A model of the dynamics of market depth
    Journal of Financial Markets, 2001, 4, (2), 113-142 View citations

2000

20. The Econometrics of Ultra-High Frequency Data
    Econometrica, 2000, 68, (1), 1-22 View citations
    See also Working Paper (1996)
21. Time and the Price Impact of a Trade
    Journal of Finance, 2000, 55, (6), 2467-2498 View citations
    See also Working Paper (1999)

1999

22. Stochastic Permanent Breaks
    The Review of Economics and Statistics, 1999, 81, (4), 553-574 View citations
    See also Working Paper (1998)

1998

23. Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
    Econometrica, 1998, 66, (5), 1127-1162 View citations

1997

24. Codependent cycles
    Journal of Econometrics, 1997, 80, (2), 199-221 View citations
25. Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
    Journal of Empirical Finance, 1997, 4, (2-3), 187-212 View citations
    See also Working Paper (1995)
26. Shorte-run forecasts of electricity loads and peaks
    International Journal of Forecasting, 1997, 13, (2), 161-174
    See also Working Paper (1992)

1996

27. Common Seasonal Features: Global Unemployment
    Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 615-30 View citations
    See also Working Paper (1996)

1995

28. Estimating common sectoral cycles
    Journal of Monetary Economics, 1995, 35, (1), 83-113 View citations
29. Multivariate Simultaneous Generalized ARCH
    Econometric Theory, 1995, 11, (01), 122-150 View citations
    See also Working Paper (1993)

1994

30. Bayesian Analysis of Stochastic Volatility Models: Comment
    Journal of Business & Economic Statistics, 1994, 12, (4), 395-96
31. Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility
    Review of Financial Studies, 1994, 7, (3), 507-38 View citations
32. Hourly volatility spillovers between international equity markets
    Journal of International Money and Finance, 1994, 13, (1), 3-25 View citations
    See also Working Paper (1992)

1993

33. A long memory property of stock market returns and a new model
    Journal of Empirical Finance, 1993, 1, (1), 83-106 View citations
    See also Working Paper (1992)
34. Common Persistence in Conditional Variances
    Econometrica, 1993, 61, (1), 167-86 View citations
35. Common Trends and Common Cycles
    Journal of Applied Econometrics, 1993, 8, (4), 341-60 View citations
    See also Working Paper (1992)
36. Common Volatility in International Equity Markets
    Journal of Business & Economic Statistics, 1993, 11, (2), 167-76 View citations
    See also Working Paper (1992)
37. Measuring and Testing the Impact of News on Volatility
    Journal of Finance, 1993, 48, (5), 1749-78 View citations
    See also Working Paper (1991)
38. Testing for Common Features
    Journal of Business & Economic Statistics, 1993, 11, (4), 369-80 View citations
    See also Working Paper (1990)
39. Testing for Common Features: Reply
    Journal of Business & Economic Statistics, 1993, 11, (4), 393-95 View citations
40. Testing superexogeneity and invariance in regression models
    Journal of Econometrics, 1993, 56, (1-2), 119-139 View citations
    See also Working Paper (1990)
41. The Japanese consumption function
    Journal of Econometrics, 1993, 55, (1-2), 275-298 View citations
42. Time-Varying Volatility and the Dynamic Behavior of the Term Structure
    Journal of Money, Credit and Banking, 1993, 25, (3), 336-49 View citations
    See also Working Paper (1991)

1992

43. A multi-dynamic-factor model for stock returns
    Journal of Econometrics, 1992, 52, (1-2), 245-266 View citations
44. Implied ARCH models from options prices
    Journal of Econometrics, 1992, 52, (1-2), 289-311 View citations
45. On the determination of regional base and regional base multipliers
    Regional Science and Urban Economics, 1992, 22, (4), 619-635 View citations
46. On the theory of growth controls
    Journal of Urban Economics, 1992, 32, (3), 269-283 View citations
47. Where does the meteor shower come from?: The role of stochastic policy coordination
    Journal of International Economics, 1992, 32, (3-4), 221-240 View citations
    See also Working Paper (1992)

1991

48. Semiparametric ARCH Models
    Journal of Business & Economic Statistics, 1991, 9, (4), 345-59 View citations
    See also Working Paper (1990)

1990

49. Asset pricing with a factor-arch covariance structure: Empirical estimates for treasury bills
    Journal of Econometrics, 1990, 45, (1-2), 213-237 View citations
    See also Working Paper (1988)
50. Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market
    Econometrica, 1990, 58, (3), 525-42 View citations
    See also Working Paper (1991)
51. Seasonal integration and cointegration
    Journal of Econometrics, 1990, 44, (1-2), 215-238 View citations
    See also Working Paper (1988)
52. Stock Volatility and the Crash of '87: Discussion
    Review of Financial Studies, 1990, 3, (1), 103-06

1989

53. Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting
    Journal of Econometrics, 1989, 40, (1), 45-62 View citations

1988

54. A Capital Asset Pricing Model with Time-Varying Covariances
    Journal of Political Economy, 1988, 96, (1), 116-31 View citations
55. Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: Reply
    Journal of Money, Credit and Banking, 1988, 20, (3), 422-23 View citations

1987

56. Co-integration and Error Correction: Representation, Estimation, and Testing
    Econometrica, 1987, 55, (2), 251-76 View citations
57. Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
    Econometrica, 1987, 55, (2), 391-407 View citations
58. Forecasting and testing in co-integrated systems
    Journal of Econometrics, 1987, 35, (1), 143-159 View citations
59. Transportation costs and the rent gradient
    Journal of Urban Economics, 1987, 21, (3), 287-297 View citations

1986

60. Modelling the persistence of conditional variances
    Econometric Reviews, 1986, 5, (1), 1-50 View citations
61. Reply
    Econometric Reviews, 1986, 5, (1), 81-87

1985

62. A dymimic model of housing price determination
    Journal of Econometrics, 1985, 28, (3), 307-326 View citations
63. Small-Sample Properties of ARCH Estimators and Tests
    Canadian Journal of Economics, 1985, 18, (1), 66-93 View citations
64. Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative
    The Review of Economics and Statistics, 1985, 67, (2), 341-46 View citations

1984

65. Combining competing forecasts of inflation using a bivariate arch model
    Journal of Economic Dynamics and Control, 1984, 8, (2), 151-165 View citations

1983

66. Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
    Journal of Econometrics, 1983, 23, (3), 385-400 View citations
67. Comment
    Econometric Reviews, 1983, 2, (2), 223-228
68. Estimates of the Variance of U.S. Inflation Based upon the ARCH Model
    Journal of Money, Credit and Banking, 1983, 15, (3), 286-301 View citations
69. Exogeneity
    Econometrica, 1983, 51, (2), 277-304 View citations
    See also Working Paper (1979)

1982

70. A general approach to lagrange multiplier model diagnostics
    Journal of Econometrics, 1982, 20, (1), 83-104 View citations
71. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
    Econometrica, 1982, 50, (4), 987-1007 View citations

1980

72. Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions
    International Economic Review, 1980, 21, (2), 391-407 View citations

1979

73. Estimation of the price elasticity of demand facing metropolitan producers
    Journal of Urban Economics, 1979, 6, (1), 42-64
    See also Working Paper (1975)
74. Residential load curves and time-of-day pricing: An econometric analysis
    Journal of Econometrics, 1979, 9, (1-2), 13-32 View citations

1978

75. Testing Price Equations for Stability across Spectral Frequency Bands
    Econometrica, 1978, 46, (4), 869-81 View citations

1976

76. Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment
    Econometrica, 1976, 44, (3), 617-18
77. Some Finite Sample Properties of Spectral Estimators of a Linear Regression
    Econometrica, 1976, 44, (1), 149-65 View citations
    See also Working Paper (1973)

1975

78. An Asset Price Model of Aggregate Investment
    International Economic Review, 1975, 16, (3), 625-47 View citations

1974

79. Band Spectrum Regression
    International Economic Review, 1974, 15, (1), 1-11 View citations
    See also Working Paper (1972)
80. Issues in the specification of an econometric model of metropolitan growth
    Journal of Urban Economics, 1974, 1, (2), 250-267
    See also Working Paper (1973)
81. Specification of the Disturbance for Efficient Estimation
    Econometrica, 1974, 42, (1), 135-46

1972

82. An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government
    American Economic Review, 1972, 62, (2), 87-97

Edited books

1986

1. Handbook of Econometrics, vol 4
   Handbook of Econometrics, Elsevier

Chapters

1986

1. Arch models
   Chapter 49 in Handbook of Econometrics, 1986, vol. 4, pp 2959-3038
   See also Working Paper (1993)

1984

2. Wald, likelihood ratio, and Lagrange multiplier tests in econometrics
   Chapter 13 in Handbook of Econometrics, 1984, vol. 2, pp 775-826 View citations

1980

3. Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic
   A chapter in Evaluation of Econometric Models, 1980, pp 309-321

1979

4. Estimating Structural Models of Seasonality
   A chapter in Seasonal Analysis of Economic Time Series, 1979, pp 281-308
   Also in A chapter in Seasonal Analysis of Economic Time Series, 1978, pp 281-308 (1978)

1978

5. Simultaneous Estimation of the Supply and Demand for Housing Location in a Multizoned Metropolitan Area
   A chapter in Residential Location and Urban Housing Markets, 1978, pp 51-92
   Also in A chapter in Residential Location and Urban Housing Markets, 1977, pp 51-92 (1977) View citations

1976

6. INTERPRETING SPECTRAL ANALYSES IN TERMS OF TIME-DOMAIN MODELS
   A chapter in Annals of Economic and Social Measurement, Volume 5, number 1, 1976, pp 90-110
   See also Working Paper (1974)

1972

7. Effects Of Aggregation Over Time On Dynamic Characteristics Of An Econometric Model
   A chapter in Econometric Models of Cyclical Behavior, Vols. 1 and 2, 1972, pp 673-738 View citations