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:	National Bureau of Economic Research (NBER), (more information at EDIRC) Finance Department, Stern School of Business, New York University (NYU), (more information at EDIRC) Volatility Institute, Stern School of Business, New York University (NYU), (more information at EDIRC)

Access statistics for papers by Robert F. Engle.

Last updated 2023-03-11. Update your information in the RePEc Author Service.

Short-id: pen9

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Working Papers

2023

1. Climate Stress Testing
   NBER Working Papers, National Bureau of Economic Research, Inc
   Also in Staff Reports, Federal Reserve Bank of New York (2023)
   CESifo Working Paper Series, CESifo (2023)
2. Factor mimicking portfolios for climate risk
   ECON - Working Papers, Department of Economics - University of Zurich
3. Measuring the Climate Risk Exposure of Insurers
   Staff Reports, Federal Reserve Bank of New York

2022

4. Large dynamic covariance matrices: enhancements based on intraday data
   ECON - Working Papers, Department of Economics - University of Zurich View citations (2)
   See also Journal Article in Journal of Banking & Finance (2022)

2021

5. CRISK: Measuring the Climate Risk Exposure of the Financial System
   Staff Reports, Federal Reserve Bank of New York View citations (2)
6. Modelling Volatility Cycles: The (MF)2 GARCH Model
   Working Paper series, Rimini Centre for Economic Analysis
7. The risk management approach to macro-prudential policy
   Working Paper Series, European Central Bank View citations (6)
8. Why Did Bank Stocks Crash During COVID-19?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021) View citations (21)

2020

9. Measuring and Hedging Geopolitical Risk
   NIPE Working Papers, NIPE - Universidade do Minho View citations (9)

2019

10. Hedging Climate Change News
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (26)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (26)
    CESifo Working Paper Series, CESifo (2019) View citations (26)
    See also Journal Article in Review of Financial Studies (2020)

2017

11. Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (6)
    See also Journal Article in Econometrics (2017)
12. Large dynamic covariance matrices
    ECON - Working Papers, Department of Economics - University of Zurich View citations (31)
    See also Journal Article in Journal of Business & Economic Statistics (2019)
13. SRISK: a conditional capital shortfall measure of systemic risk
    ESRB Working Paper Series, European Systemic Risk Board View citations (319)
    See also Journal Article in Review of Financial Studies (2017)

2016

14. Copula--based Specification of vector MEMs
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (1)
    Also in Papers, arXiv.org (2016) View citations (1)

2014

15. Structural GARCH: The Volatility-Leverage Connection
    Working Papers, Office of Financial Research, US Department of the Treasury View citations (2)
    See also Journal Article in Review of Financial Studies (2018)
16. Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (141)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) View citations (37)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (30)
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2014) View citations (140)
    See also Journal Article in Journal of Monetary Economics (2014)

2013

17. Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum View citations (1)
    See also Journal Article in Management Science (2017)

2012

18. And Now, The Rest of the News: Volatility and Firm Specific News Arrival
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
19. Liquidity and volatility in the U.S. treasury market
    Staff Reports, Federal Reserve Bank of New York View citations (10)
    See also Journal Article in Journal of Econometrics (2020)
20. Systemic Risk in Europe
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (12)
    See also Journal Article in Review of Finance (2015)

2010

21. The Underlying Dynamics of Credit Correlations
    Papers, arXiv.org

2009

22. High and Low Frequency Correlations in Global Equity Markets
    Working Papers, Banco de México View citations (9)
23. Semiparametric vector MEM
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (13)
    See also Journal Article in Journal of Applied Econometrics (2013)
24. The Factor-Spline-GARCH Model for High and Low Frequency Correlations
    Working Papers, Banco de México View citations (12)
    See also Journal Article in Journal of Business & Economic Statistics (2012)

2008

25. A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (10)
26. Fitting vast dimensional time-varying covariance models
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (128)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2008) View citations (131)
    See also Journal Article in Journal of Business & Economic Statistics (2021)

2007

27. A GARCH Option Pricing Model in Incomplete Markets
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (5)
28. A Model for Multivariate Non-negative Valued Processes in Financial Econometrics
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (22)

2006

29. Execution Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
30. GARCH Options in Incomplete Markets
    CEI Working Paper Series, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University
31. Vector Multiplicative Error Models: Representation and Inference
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (26)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2006) View citations (22)
    NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (24)

2005

32. HIGH FREQUENCY MULTIPLICATIVE COMPONENT GARCH
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (7)
33. The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes
    Working Papers, Czech National Bank View citations (35)

2004

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

2003

35. A Multiple Indicators Model For Volatility Using Intra-Daily Data
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (18)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (23)
    See also Journal Article in Journal of Econometrics (2006)
36. Asymmetric dynamics in the correlations of global equity and bond returns
    Working Paper Series, European Central Bank View citations (88)
    See also Journal Article in The Journal of Financial Econometrics (2006)
37. Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III
    Nobel Prize in Economics documents, Nobel Prize Committee
38. Risk and Volatility: Econometric Models and Financial Practice
    Nobel Prize in Economics documents, Nobel Prize Committee View citations (21)
    See also Journal Article in American Economic Review (2004)

2002

39. Time-Varying Arrival Rates of Informed and Uninformed Trades
    Finance, University Library of Munich, Germany View citations (15)
    See also Journal Article in The Journal of Financial Econometrics (2008)

2001

40. 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 (707)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (705)
41. Value at risk models in finance
    Working Paper Series, European Central Bank View citations (95)

2000

42. CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (47)
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1999) View citations (50)
    See also Journal Article in Journal of Business & Economic Statistics (2004)
43. 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 (48)
44. 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 (39)
    See also Journal Article in Journal of Financial Economics (2002)
45. 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 (5)
    See also Impacts of trades in an error-correction model of quote prices, Journal of Financial Markets, Elsevier View citations (70)
46. The ACD Model: Predictability of the Time Between Concecutive Trades
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (20)

1999

47. CAViaR: Conditional Value at Risk by Quantile Regression
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (30)
48. Modeling a Time-Varying Order Statistic
    Computing in Economics and Finance 1999, Society for Computational Economics
49. Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (29)
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1999) View citations (34)
50. 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 (2)
    See also Journal Article in Journal of Finance (2000)
51. 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 (47)

1998

52. 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 (28)
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago (1998) View citations (14)
53. 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 (58)
54. Stochastic Permanent Breaks
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (4)
    See also Journal Article in The Review of Economics and Statistics (1999)
55. 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 (13)
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1966)
56. 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 (13)
    See also Journal Article in The Journal of Financial Econometrics (2003)

1997

57. Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (28)
58. Option Hedging Using Empirical Pricing Kernels
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)

1996

59. The Econometrics of Ultra-High Frequency Data
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (19)
    See also Journal Article in Econometrica (2000)

1995

60. GARCH Gamma
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)

1994

61. Estimating sectoral cycles using cointegration and common features
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1993) View citations (6)
62. Forecasting Transaction Rates: The Autoregressive Conditional Duration Model
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
63. 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 (8)

1993

64. 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 (7)
65. Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (26)

1992

66. 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 Working papers, Wisconsin Madison - Social Systems (1991) View citations (9)
    NBER Working Papers, National Bureau of Economic Research, Inc (1991) View citations (10)

1991

67. Measuring Risk Aversion From Excess Returns on a Stock Index
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (59)
68. Measuring and Testing the Impact of News on Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
    See also Journal Article in Journal of Finance (1993)
69. Time-Varying Volatility and the Dynamic Behavior of the Term Structure
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
    See also Journal Article in Journal of Money, Credit and Banking (1993)

1990

70. Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
71. TESTING SUPER EXOGENEITY AND INVARIANCE IN REGRESSION MODELS
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (21)
    See also Journal Article in Journal of Econometrics (1993)
72. Testing For Common Features
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (20)
    See also Journal Article in Journal of Business & Economic Statistics (1993)
73. Valuation of Variance Forecast with Simulated Option Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (47)
74. Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (33)
    See also Journal Article in Journal of International Economics (1992)

1989

75. COINTEGRATED ECONOMIC TIME SERIES: A SURVEY WITH NEW RESULTS
    Working Papers, Pennsylvania State - Department of Economics View citations (20)

1988

76. 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 (7)
    See also Journal Article in Journal of Econometrics (1990)
77. METEOR SHOWERS OR HEAT WAGES? HETEROSKEDASTIC INTRA-DAILY VOLATILITY IN A THE FOREIGN EXCHANGE MARKET
    Working Papers, Minnesota - Center for Economic Research View citations (3)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1988) View citations (20)
    See also Journal Article in Econometrica (1990)
78. SEASONAL INTEGRATION AND COINTEGRATION
    Working Papers, Pennsylvania State - Department of Economics View citations (9)
    Also in Working Papers, Pennsylvania State - Department of Economics (1988) View citations (40)
    See also Journal Article in Journal of Econometrics (1990)

1983

79. Exogeneity
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    Also in Economic Research Papers, University of Warwick - Department of Economics (1979)
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1979)
    See also Journal Article in Econometrica (1983)

1979

80. A GENERAL APPROACH TO THE CONSTRUCTION OF MODEL DIAGNOSTICS BASED UPON THE LAGRANGE MULTIPLIER PRINCIPLE
    Economic Research Papers, University of Warwick - Department of Economics View citations (3)
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1979) View citations (3)

1975

81. 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)
82. 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 View citations (2)

1974

83. Interpreting Spectral Analyses in Terms of Time-Domain Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
    See also Chapter (1976)
84. Testing Price Equations for Stability Across Frequencies
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (1)

1973

85. A Disequilibrium Model of Regional Investment
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics
86. De Facto Discrimination in Residential Assessments: Boston
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics
87. 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)
88. Some Finite Sample Properties of Spectral Estimators of a Linear Regression
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (1)
    See also Journal Article in Econometrica (1976)

1972

89. A Supply Function Model of Aggregate Investment
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (1)
90. Band Spectrum Regressions
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (1)
    See also Journal Article in International Economic Review (1974)

1971

91. The Specification of the Disturbance for Efficient Estimation
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics
    See also Journal Article in Econometrica (1974)

1970

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

Journal Articles

2023

1. What are the events that shake our world? Measuring and hedging global COVOL
   Journal of Financial Economics, 2023, 147, (1), 221-242 View citations (1)

2022

2. Large dynamic covariance matrices: Enhancements based on intraday data
   Journal of Banking & Finance, 2022, 138, (C) View citations (6)
   See also Working Paper (2022)

2021

3. Environmental, Social, Governance: Implications for businesses and effects for stakeholders
   Corporate Social Responsibility and Environmental Management, 2021, 28, (5), 1423-1425 View citations (2)
   Also in Corporate Social Responsibility and Environmental Management, 2019, 26, (6), 1627-1628 (2019) View citations (4)
4. Fitting Vast Dimensional Time-Varying Covariance Models
   Journal of Business & Economic Statistics, 2021, 39, (3), 652-668 View citations (31)
   See also Working Paper (2008)
5. News and Idiosyncratic Volatility: The Public Information Processing Hypothesis*
   (A Theory of Intraday Patterns: Volume and Price Variability)
   The Journal of Financial Econometrics, 2021, 19, (1), 1-38 View citations (4)

2020

6. Hedging Climate Change News
   Review of Financial Studies, 2020, 33, (3), 1184-1216 View citations (109)
   See also Working Paper (2019)
7. Liquidity and volatility in the U.S. Treasury market
   Journal of Econometrics, 2020, 217, (2), 207-229 View citations (9)
   See also Working Paper (2012)

2019

8. Large Dynamic Covariance Matrices
   Journal of Business & Economic Statistics, 2019, 37, (2), 363-375 View citations (66)
   See also Working Paper (2017)
9. Measuring the probability of a financial crisis
   Proceedings of the National Academy of Sciences, 2019, 116, (37), 18341-18346 View citations (6)

2018

10. GLOBALIZATION: CONTENTS AND DISCONTENTS
    Contemporary Economic Policy, 2018, 36, (1), 29-43 View citations (1)
11. Structural GARCH: The Volatility-Leverage Connection
    Review of Financial Studies, 2018, 31, (2), 449-492 View citations (4)
    See also Working Paper (2014)
12. Systemic Risk 10 Years Later
    Annual Review of Financial Economics, 2018, 10, (1), 125-152 View citations (16)

2017

13. Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity
    Econometrics, 2017, 5, (2), 1-24 View citations (6)
    See also Working Paper (2017)
14. Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns
    Management Science, 2017, 63, (11), 3760-3779 View citations (28)
    See also Working Paper (2013)
15. SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
    Review of Financial Studies, 2017, 30, (1), 48-79 View citations (332)
    See also Working Paper (2017)
16. Scenario generation for long run interest rate risk assessment
    Journal of Econometrics, 2017, 201, (2), 333-347 View citations (5)

2016

17. Dynamic Conditional Beta
    The Journal of Financial Econometrics, 2016, 14, (4), 643-667 View citations (46)

2015

18. Co-integration and error correction: Representation, estimation, and testing
    Applied Econometrics, 2015, 39, (3), 106-135 View citations (22)
    See also Co-integration and Error Correction: Representation, Estimation, and Testing, Econometrica, 1987, 55, (2), 251-76 View citations (9858)
19. Modeling the Dynamics of Correlations among Implied Volatilities
    Review of Finance, 2015, 19, (3), 991-1018 View citations (13)
20. Systemic Risk in Europe
    Review of Finance, 2015, 19, (1), 145-190 View citations (87)
    See also Working Paper (2012)

2014

21. Priced risk and asymmetric volatility in the cross section of skewness
    Journal of Econometrics, 2014, 182, (1), 135-144 View citations (6)
22. Testing macroprudential stress tests: The risk of regulatory risk weights
    Journal of Monetary Economics, 2014, 65, (C), 36-53 View citations (143)
    See also Working Paper (2014)

2013

23. SEMIPARAMETRIC VECTOR MEM
    Journal of Applied Econometrics, 2013, 28, (7), 1067-1086 View citations (31)
    See also Working Paper (2009)
24. Stock Market Volatility and Macroeconomic Fundamentals
    The Review of Economics and Statistics, 2013, 95, (3), 776-797 View citations (415)

2012

25. Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks
    American Economic Review, 2012, 102, (3), 59-64 View citations (537)
26. The Factor–Spline–GARCH Model for High and Low Frequency Correlations
    Journal of Business & Economic Statistics, 2012, 30, (1), 109-124 View citations (44)
    Also in Journal of Business & Economic Statistics, 2011, 30, (1), 109-124 (2011) View citations (18)
    See also Working Paper (2009)
27. Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach
    The Review of Economics and Statistics, 2012, 94, (1), 222-223 View citations (71)

2011

28. A component model for dynamic correlations
    Journal of Econometrics, 2011, 164, (1), 45-59 View citations (188)
29. Dynamic Equicorrelation
    Journal of Business & Economic Statistics, 2011, 30, (2), 212-228
30. Long-Term Skewness and Systemic Risk
    The Journal of Financial Econometrics, 2011, 9, (3), 437-468 View citations (33)

2010

31. Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis
    The Journal of Financial Econometrics, 2010, 8, (2), 158-159
32. The intertemporal capital asset pricing model with dynamic conditional correlations
    Journal of Monetary Economics, 2010, 57, (4), 377-390 View citations (99)

2008

33. A GARCH Option Pricing Model with Filtered Historical Simulation
    Review of Financial Studies, 2008, 21, (3), 1223-1258 View citations (100)
    See also Chapter (2014)
34. The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes
    Review of Financial Studies, 2008, 21, (3), 1187-1222 View citations (452)
35. Time-Varying Arrival Rates of Informed and Uninformed Trades
    The Journal of Financial Econometrics, 2008, 6, (2), 171-207 View citations (74)
    See also Working Paper (2002)

2006

36. 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 (34)
37. A multiple indicators model for volatility using intra-daily data
    Journal of Econometrics, 2006, 131, (1-2), 3-27 View citations (318)
    See also Working Paper (2003)
38. Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
    The Journal of Financial Econometrics, 2006, 4, (4), 537-572 View citations (878)
    See also Working Paper (2003)
39. Testing and Valuing Dynamic Correlations for Asset Allocation
    Journal of Business & Economic Statistics, 2006, 24, 238-253 View citations (148)
40. The econometrics of macroeconomics, finance, and the interface
    Journal of Econometrics, 2006, 131, (1-2), 1-2

2005

41. 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 (59)

2004

42. CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles
    Journal of Business & Economic Statistics, 2004, 22, 367-381 View citations (934)
    See also Working Paper (2000)
43. Risk and Volatility: Econometric Models and Financial Practice
    American Economic Review, 2004, 94, (3), 405-420 View citations (164)
    See also Working Paper (2003)
44. Robert F Engle: Understanding volatility as a process
    Quantitative Finance, 2004, 4, (2), 19-20

2003

45. Trades and Quotes: A Bivariate Point Process
    The Journal of Financial Econometrics, 2003, 1, (2), 159-188 View citations (52)
    See also Working Paper (1998)

2002

46. 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 (2483)
47. Empirical pricing kernels
    Journal of Financial Economics, 2002, 64, (3), 341-372 View citations (266)
    See also Working Paper (2000)
48. New frontiers for arch models
    Journal of Applied Econometrics, 2002, 17, (5), 425-446 View citations (355)

2001

49. Financial econometrics - A new discipline with new methods
    Journal of Econometrics, 2001, 100, (1), 53-56 View citations (12)
50. GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics
    Journal of Economic Perspectives, 2001, 15, (4), 157-168 View citations (303)
51. Predicting VNET: A model of the dynamics of market depth
    Journal of Financial Markets, 2001, 4, (2), 113-142 View citations (39)
52. What good is a volatility model?
    Quantitative Finance, 2001, 1, (2), 237-245 View citations (226)

2000

53. The Econometrics of Ultra-High Frequency Data
    Econometrica, 2000, 68, (1), 1-22 View citations (285)
    See also Working Paper (1996)
54. Time and the Price Impact of a Trade
    Journal of Finance, 2000, 55, (6), 2467-2498 View citations (269)
    See also Working Paper (1999)

1999

55. Stochastic Permanent Breaks
    The Review of Economics and Statistics, 1999, 81, (4), 553-574 View citations (133)
    See also Working Paper (1998)

1998

56. Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
    Econometrica, 1998, 66, (5), 1127-1162 View citations (833)

1997

57. Codependent cycles
    Journal of Econometrics, 1997, 80, (2), 199-221 View citations (92)
58. 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 (104)
59. Shorte-run forecasts of electricity loads and peaks
    International Journal of Forecasting, 1997, 13, (2), 161-174 View citations (104)

1996

60. Common Seasonal Features: Global Unemployment
    Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 615-30 View citations (21)

1995

61. Estimating common sectoral cycles
    Journal of Monetary Economics, 1995, 35, (1), 83-113 View citations (86)
62. Multivariate Simultaneous Generalized ARCH
    Econometric Theory, 1995, 11, (1), 122-150 View citations (2003)

1994

63. Bayesian Analysis of Stochastic Volatility Models: Comment
    Journal of Business & Economic Statistics, 1994, 12, (4), 395-96 View citations (1)
64. 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 (468)
65. Hourly volatility spillovers between international equity markets
    Journal of International Money and Finance, 1994, 13, (1), 3-25 View citations (191)

1993

66. A long memory property of stock market returns and a new model
    Journal of Empirical Finance, 1993, 1, (1), 83-106 View citations (1666)
67. Common Persistence in Conditional Variances
    Econometrica, 1993, 61, (1), 167-86 View citations (127)
68. Common Trends and Common Cycles
    Journal of Applied Econometrics, 1993, 8, (4), 341-60 View citations (318)
69. Common Volatility in International Equity Markets
    Journal of Business & Economic Statistics, 1993, 11, (2), 167-76 View citations (167)
70. Common trends and common cycles in Latin America
    Revista Brasileira de Economia - RBE, 1993, 47, (2) View citations (105)
71. Measuring and Testing the Impact of News on Volatility
    Journal of Finance, 1993, 48, (5), 1749-78 View citations (1612)
    See also Working Paper (1991)
72. Testing for Common Features
    Journal of Business & Economic Statistics, 1993, 11, (4), 369-80 View citations (409)
    See also Working Paper (1990)
73. Testing for Common Features: Reply
    Journal of Business & Economic Statistics, 1993, 11, (4), 393-95 View citations (333)
74. Testing superexogeneity and invariance in regression models
    Journal of Econometrics, 1993, 56, (1-2), 119-139 View citations (144)
    See also Working Paper (1990)
75. The Japanese consumption function
    Journal of Econometrics, 1993, 55, (1-2), 275-298 View citations (92)
76. Time-Varying Volatility and the Dynamic Behavior of the Term Structure
    Journal of Money, Credit and Banking, 1993, 25, (3), 336-49 View citations (48)
    See also Working Paper (1991)

1992

77. A multi-dynamic-factor model for stock returns
    Journal of Econometrics, 1992, 52, (1-2), 245-266 View citations (102)
78. Implied ARCH models from options prices
    Journal of Econometrics, 1992, 52, (1-2), 289-311 View citations (125)
79. On the determination of regional base and regional base multipliers
    Regional Science and Urban Economics, 1992, 22, (4), 619-635 View citations (23)
80. On the theory of growth controls
    Journal of Urban Economics, 1992, 32, (3), 269-283 View citations (41)
81. 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 (40)
    See also Working Paper (1990)

1991

82. Semiparametric ARCH Models
    Journal of Business & Economic Statistics, 1991, 9, (4), 345-59 View citations (247)

1990

83. Asset pricing with a factor-arch covariance structure: Empirical estimates for treasury bills
    Journal of Econometrics, 1990, 45, (1-2), 213-237 View citations (367)
    See also Working Paper (1988)
84. Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market
    Econometrica, 1990, 58, (3), 525-42 View citations (581)
    See also Working Paper (1988)
85. Seasonal integration and cointegration
    Journal of Econometrics, 1990, 44, (1-2), 215-238 View citations (643)
    See also Working Paper (1988)
86. Stock Volatility and the Crash of '87: Discussion
    Review of Financial Studies, 1990, 3, (1), 103-06 View citations (119)

1989

87. 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 (77)

1988

88. A Capital Asset Pricing Model with Time-Varying Covariances
    Journal of Political Economy, 1988, 96, (1), 116-31 View citations (1413)
89. 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 (2)

1987

90. Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
    Econometrica, 1987, 55, (2), 391-407 View citations (1003)
91. Forecasting and testing in co-integrated systems
    Journal of Econometrics, 1987, 35, (1), 143-159 View citations (715)
92. Transportation costs and the rent gradient
    Journal of Urban Economics, 1987, 21, (3), 287-297 View citations (27)

1985

93. A dymimic model of housing price determination
    Journal of Econometrics, 1985, 28, (3), 307-326 View citations (17)
94. Small-Sample Properties of ARCH Estimators and Tests
    Canadian Journal of Economics, 1985, 18, (1), 66-93 View citations (39)
95. Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative
    The Review of Economics and Statistics, 1985, 67, (2), 341-46 View citations (19)

1984

96. Combining competing forecasts of inflation using a bivariate arch model
    Journal of Economic Dynamics and Control, 1984, 8, (2), 151-165 View citations (66)
97. The billing cycle and weather variables in models of electricity sales
    Energy, 1984, 9, (11), 1041-1047 View citations (4)

1983

98. Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
    Journal of Econometrics, 1983, 23, (3), 385-400 View citations (214)
99. 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 (149)
100. Exogeneity
     Econometrica, 1983, 51, (2), 277-304 View citations (49)
     See also Working Paper (1983)

1982

101. A general approach to lagrange multiplier model diagnostics
     Journal of Econometrics, 1982, 20, (1), 83-104 View citations (105)
102. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
     Econometrica, 1982, 50, (4), 987-1007 View citations (7133)

1980

103. Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions
     International Economic Review, 1980, 21, (2), 391-407 View citations (11)

1979

104. Estimation of the price elasticity of demand facing metropolitan producers
     Journal of Urban Economics, 1979, 6, (1), 42-64 View citations (1)
     See also Working Paper (1975)
105. Residential load curves and time-of-day pricing: An econometric analysis
     Journal of Econometrics, 1979, 9, (1-2), 13-32 View citations (8)

1978

106. Testing Price Equations for Stability across Spectral Frequency Bands
     Econometrica, 1978, 46, (4), 869-81 View citations (37)

1976

107. Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment
     Econometrica, 1976, 44, (3), 617-18
108. Some Finite Sample Properties of Spectral Estimators of a Linear Regression
     Econometrica, 1976, 44, (1), 149-65 View citations (5)
     See also Working Paper (1973)

1975

109. An Asset Price Model of Aggregate Investment
     International Economic Review, 1975, 16, (3), 625-47 View citations (19)
110. POLICY PILLS FOR A METROPOLITAN ECONOMY
     Papers in Regional Science, 1975, 35, (1), 191-205

1974

111. Band Spectrum Regression
     International Economic Review, 1974, 15, (1), 1-11 View citations (153)
     See also Working Paper (1972)
112. Issues in the specification of an econometric model of metropolitan growth
     Journal of Urban Economics, 1974, 1, (2), 250-267 View citations (1)
     See also Working Paper (1973)
113. Specification of the Disturbance for Efficient Estimation
     Econometrica, 1974, 42, (1), 135-46 View citations (2)
     See also Working Paper (1971)

1972

114. An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government
     American Economic Review, 1972, 62, (2), 87-97 View citations (8)

Undated

115. Forecasting intraday volatility in the US equity market. Multiplicative component GARCH
     The Journal of Financial Econometrics, 10, (1), 54-83 View citations (48)

Edited books

1999

1. Cointegration, Causality, and Forecasting: Festschrift in Honour of Clive W. J. Granger
   OUP Catalogue, Oxford University Press View citations (491)

1995

2. ARCH: Selected Readings
   OUP Catalogue, Oxford University Press View citations (124)

1991

3. Long-Run Economic Relationships: Readings in Cointegration
   OUP Catalogue, Oxford University Press View citations (733)

1986

4. Handbook of Econometrics, vol 4
   Handbook of Econometrics, Elsevier View citations (58)

Chapters

2014

1. A GARCH Option Pricing Model with Filtered Historical Simulation
   Palgrave Macmillan
   See also Journal Article in Review of Financial Studies (2008)

2013

2. MEASURING SYSTEMIC RISK
   Chapter 3 in Managing and Measuring Risk Emerging Global Standards and Regulations After the Financial Crisis, 2013, pp 65-98 View citations (5)

1986

3. Arch models
   Chapter 49 in Handbook of Econometrics, 1986, vol. 4, pp 2959-3038 View citations (120)

1984

4. Wald, likelihood ratio, and Lagrange multiplier tests in econometrics
   Chapter 13 in Handbook of Econometrics, 1984, vol. 2, pp 775-826 View citations (182)

1980

5. Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic
   A chapter in Evaluation of Econometric Models, 1980, pp 309-321 View citations (1)

1978

6. Estimating Structural Models of Seasonality
   A chapter in Seasonal Analysis of Economic Time Series, 1978, pp 281-308 View citations (19)

1977

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

1976

8. Interpreting Spectral Analyses in Terms of Time-Domain Models
   A chapter in Annals of Economic and Social Measurement, Volume 5, number 1, 1976, pp 89-109 View citations (5)
   See also Working Paper (1974)

1972

9. Effects of Aggregation Over Time on Dynamic Characteristics of an Econometric Model
   A chapter in Econometric Models of Cyclical Behavior, Volumes 1 and 2, 1972, pp 673-737 View citations (21)