Details about Robert F. Engle
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
- 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)
- Factor mimicking portfolios for climate risk
ECON - Working Papers, Department of Economics - University of Zurich
- Measuring the Climate Risk Exposure of Insurers
Staff Reports, Federal Reserve Bank of New York
2022
- 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
- CRISK: Measuring the Climate Risk Exposure of the Financial System
Staff Reports, Federal Reserve Bank of New York View citations (2)
- Modelling Volatility Cycles: The (MF)2 GARCH Model
Working Paper series, Rimini Centre for Economic Analysis
- The risk management approach to macro-prudential policy
Working Paper Series, European Central Bank View citations (6)
- 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
- Measuring and Hedging Geopolitical Risk
NIPE Working Papers, NIPE - Universidade do Minho View citations (9)
2019
- 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
- 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)
- 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)
- 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
- 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
- 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)
- 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
- 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
- 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)
- 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)
- 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
- The Underlying Dynamics of Credit Correlations
Papers, arXiv.org
2009
- High and Low Frequency Correlations in Global Equity Markets
Working Papers, Banco de México View citations (9)
- 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)
- 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
- 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)
- 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
- A GARCH Option Pricing Model in Incomplete Markets
Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (5)
- 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
- Execution Risk
NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
- GARCH Options in Incomplete Markets
CEI Working Paper Series, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University
- 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
- HIGH FREQUENCY MULTIPLICATIVE COMPONENT GARCH
Computing in Economics and Finance 2005, Society for Computational Economics View citations (7)
- The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes
Working Papers, Czech National Bank View citations (35)
2004
- Autobiography
Nobel Prize in Economics documents, Nobel Prize Committee
2003
- 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)
- 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)
- Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III
Nobel Prize in Economics documents, Nobel Prize Committee
- 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
- 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
- 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)
- Value at risk models in finance
Working Paper Series, European Central Bank View citations (95)
2000
- 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)
- 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)
- 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)
- 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)
- 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
- CAViaR: Conditional Value at Risk by Quantile Regression
NBER Working Papers, National Bureau of Economic Research, Inc View citations (30)
- Modeling a Time-Varying Order Statistic
Computing in Economics and Finance 1999, Society for Computational Economics
- 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)
- 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)
- 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
- 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)
- 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)
- 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)
- 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)
- 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
- Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market
NBER Working Papers, National Bureau of Economic Research, Inc View citations (28)
- Option Hedging Using Empirical Pricing Kernels
NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
1996
- 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
- GARCH Gamma
NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
1994
- 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)
- Forecasting Transaction Rates: The Autoregressive Conditional Duration Model
NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
- 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
- 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)
- 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
- 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
- Measuring Risk Aversion From Excess Returns on a Stock Index
NBER Working Papers, National Bureau of Economic Research, Inc View citations (59)
- 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)
- 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
- Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share
NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
- 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)
- 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)
- Valuation of Variance Forecast with Simulated Option Markets
NBER Working Papers, National Bureau of Economic Research, Inc View citations (47)
- 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
- COINTEGRATED ECONOMIC TIME SERIES: A SURVEY WITH NEW RESULTS
Working Papers, Pennsylvania State - Department of Economics View citations (20)
1988
- 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)
- 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)
- 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
- 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
- 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
- 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)
- 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
- 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)
- Testing Price Equations for Stability Across Frequencies
Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (1)
1973
- A Disequilibrium Model of Regional Investment
Working papers, Massachusetts Institute of Technology (MIT), Department of Economics
- De Facto Discrimination in Residential Assessments: Boston
Working papers, Massachusetts Institute of Technology (MIT), Department of Economics
- 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)
- 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
- A Supply Function Model of Aggregate Investment
Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (1)
- 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
- 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
- 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
- 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
- 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
- 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)
- 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)
- 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
- Hedging Climate Change News
Review of Financial Studies, 2020, 33, (3), 1184-1216 View citations (109)
See also Working Paper (2019)
- 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
- Large Dynamic Covariance Matrices
Journal of Business & Economic Statistics, 2019, 37, (2), 363-375 View citations (66)
See also Working Paper (2017)
- Measuring the probability of a financial crisis
Proceedings of the National Academy of Sciences, 2019, 116, (37), 18341-18346 View citations (6)
2018
- GLOBALIZATION: CONTENTS AND DISCONTENTS
Contemporary Economic Policy, 2018, 36, (1), 29-43 View citations (1)
- Structural GARCH: The Volatility-Leverage Connection
Review of Financial Studies, 2018, 31, (2), 449-492 View citations (4)
See also Working Paper (2014)
- Systemic Risk 10 Years Later
Annual Review of Financial Economics, 2018, 10, (1), 125-152 View citations (16)
2017
- 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)
- 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)
- 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)
- Scenario generation for long run interest rate risk assessment
Journal of Econometrics, 2017, 201, (2), 333-347 View citations (5)
2016
- Dynamic Conditional Beta
The Journal of Financial Econometrics, 2016, 14, (4), 643-667 View citations (46)
2015
- 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)
- Modeling the Dynamics of Correlations among Implied Volatilities
Review of Finance, 2015, 19, (3), 991-1018 View citations (13)
- Systemic Risk in Europe
Review of Finance, 2015, 19, (1), 145-190 View citations (87)
See also Working Paper (2012)
2014
- Priced risk and asymmetric volatility in the cross section of skewness
Journal of Econometrics, 2014, 182, (1), 135-144 View citations (6)
- 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
- SEMIPARAMETRIC VECTOR MEM
Journal of Applied Econometrics, 2013, 28, (7), 1067-1086 View citations (31)
See also Working Paper (2009)
- Stock Market Volatility and Macroeconomic Fundamentals
The Review of Economics and Statistics, 2013, 95, (3), 776-797 View citations (415)
2012
- Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks
American Economic Review, 2012, 102, (3), 59-64 View citations (537)
- 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)
- 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
- A component model for dynamic correlations
Journal of Econometrics, 2011, 164, (1), 45-59 View citations (188)
- Dynamic Equicorrelation
Journal of Business & Economic Statistics, 2011, 30, (2), 212-228
- Long-Term Skewness and Systemic Risk
The Journal of Financial Econometrics, 2011, 9, (3), 437-468 View citations (33)
2010
- Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis
The Journal of Financial Econometrics, 2010, 8, (2), 158-159
- The intertemporal capital asset pricing model with dynamic conditional correlations
Journal of Monetary Economics, 2010, 57, (4), 377-390 View citations (99)
2008
- 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)
- 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)
- 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
- 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)
- 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)
- 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)
- Testing and Valuing Dynamic Correlations for Asset Allocation
Journal of Business & Economic Statistics, 2006, 24, 238-253 View citations (148)
- The econometrics of macroeconomics, finance, and the interface
Journal of Econometrics, 2006, 131, (1-2), 1-2
2005
- 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
- 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)
- Risk and Volatility: Econometric Models and Financial Practice
American Economic Review, 2004, 94, (3), 405-420 View citations (164)
See also Working Paper (2003)
- Robert F Engle: Understanding volatility as a process
Quantitative Finance, 2004, 4, (2), 19-20
2003
- 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
- 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)
- Empirical pricing kernels
Journal of Financial Economics, 2002, 64, (3), 341-372 View citations (266)
See also Working Paper (2000)
- New frontiers for arch models
Journal of Applied Econometrics, 2002, 17, (5), 425-446 View citations (355)
2001
- Financial econometrics - A new discipline with new methods
Journal of Econometrics, 2001, 100, (1), 53-56 View citations (12)
- GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics
Journal of Economic Perspectives, 2001, 15, (4), 157-168 View citations (303)
- Predicting VNET: A model of the dynamics of market depth
Journal of Financial Markets, 2001, 4, (2), 113-142 View citations (39)
- What good is a volatility model?
Quantitative Finance, 2001, 1, (2), 237-245 View citations (226)
2000
- The Econometrics of Ultra-High Frequency Data
Econometrica, 2000, 68, (1), 1-22 View citations (285)
See also Working Paper (1996)
- 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
- Stochastic Permanent Breaks
The Review of Economics and Statistics, 1999, 81, (4), 553-574 View citations (133)
See also Working Paper (1998)
1998
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
Econometrica, 1998, 66, (5), 1127-1162 View citations (833)
1997
- Codependent cycles
Journal of Econometrics, 1997, 80, (2), 199-221 View citations (92)
- 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)
- Shorte-run forecasts of electricity loads and peaks
International Journal of Forecasting, 1997, 13, (2), 161-174 View citations (104)
1996
- Common Seasonal Features: Global Unemployment
Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 615-30 View citations (21)
1995
- Estimating common sectoral cycles
Journal of Monetary Economics, 1995, 35, (1), 83-113 View citations (86)
- Multivariate Simultaneous Generalized ARCH
Econometric Theory, 1995, 11, (1), 122-150 View citations (2003)
1994
- Bayesian Analysis of Stochastic Volatility Models: Comment
Journal of Business & Economic Statistics, 1994, 12, (4), 395-96 View citations (1)
- 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)
- Hourly volatility spillovers between international equity markets
Journal of International Money and Finance, 1994, 13, (1), 3-25 View citations (191)
1993
- A long memory property of stock market returns and a new model
Journal of Empirical Finance, 1993, 1, (1), 83-106 View citations (1666)
- Common Persistence in Conditional Variances
Econometrica, 1993, 61, (1), 167-86 View citations (127)
- Common Trends and Common Cycles
Journal of Applied Econometrics, 1993, 8, (4), 341-60 View citations (318)
- Common Volatility in International Equity Markets
Journal of Business & Economic Statistics, 1993, 11, (2), 167-76 View citations (167)
- Common trends and common cycles in Latin America
Revista Brasileira de Economia - RBE, 1993, 47, (2) View citations (105)
- 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)
- Testing for Common Features
Journal of Business & Economic Statistics, 1993, 11, (4), 369-80 View citations (409)
See also Working Paper (1990)
- Testing for Common Features: Reply
Journal of Business & Economic Statistics, 1993, 11, (4), 393-95 View citations (333)
- Testing superexogeneity and invariance in regression models
Journal of Econometrics, 1993, 56, (1-2), 119-139 View citations (144)
See also Working Paper (1990)
- The Japanese consumption function
Journal of Econometrics, 1993, 55, (1-2), 275-298 View citations (92)
- 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
- A multi-dynamic-factor model for stock returns
Journal of Econometrics, 1992, 52, (1-2), 245-266 View citations (102)
- Implied ARCH models from options prices
Journal of Econometrics, 1992, 52, (1-2), 289-311 View citations (125)
- On the determination of regional base and regional base multipliers
Regional Science and Urban Economics, 1992, 22, (4), 619-635 View citations (23)
- On the theory of growth controls
Journal of Urban Economics, 1992, 32, (3), 269-283 View citations (41)
- 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
- Semiparametric ARCH Models
Journal of Business & Economic Statistics, 1991, 9, (4), 345-59 View citations (247)
1990
- 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)
- 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)
- Seasonal integration and cointegration
Journal of Econometrics, 1990, 44, (1-2), 215-238 View citations (643)
See also Working Paper (1988)
- Stock Volatility and the Crash of '87: Discussion
Review of Financial Studies, 1990, 3, (1), 103-06 View citations (119)
1989
- 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
- A Capital Asset Pricing Model with Time-Varying Covariances
Journal of Political Economy, 1988, 96, (1), 116-31 View citations (1413)
- 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
- Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
Econometrica, 1987, 55, (2), 391-407 View citations (1003)
- Forecasting and testing in co-integrated systems
Journal of Econometrics, 1987, 35, (1), 143-159 View citations (715)
- Transportation costs and the rent gradient
Journal of Urban Economics, 1987, 21, (3), 287-297 View citations (27)
1985
- A dymimic model of housing price determination
Journal of Econometrics, 1985, 28, (3), 307-326 View citations (17)
- Small-Sample Properties of ARCH Estimators and Tests
Canadian Journal of Economics, 1985, 18, (1), 66-93 View citations (39)
- 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
- Combining competing forecasts of inflation using a bivariate arch model
Journal of Economic Dynamics and Control, 1984, 8, (2), 151-165 View citations (66)
- The billing cycle and weather variables in models of electricity sales
Energy, 1984, 9, (11), 1041-1047 View citations (4)
1983
- 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)
- 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)
- Exogeneity
Econometrica, 1983, 51, (2), 277-304 View citations (49)
See also Working Paper (1983)
1982
- A general approach to lagrange multiplier model diagnostics
Journal of Econometrics, 1982, 20, (1), 83-104 View citations (105)
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Econometrica, 1982, 50, (4), 987-1007 View citations (7133)
1980
- Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions
International Economic Review, 1980, 21, (2), 391-407 View citations (11)
1979
- 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)
- Residential load curves and time-of-day pricing: An econometric analysis
Journal of Econometrics, 1979, 9, (1-2), 13-32 View citations (8)
1978
- Testing Price Equations for Stability across Spectral Frequency Bands
Econometrica, 1978, 46, (4), 869-81 View citations (37)
1976
- Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment
Econometrica, 1976, 44, (3), 617-18
- 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
- An Asset Price Model of Aggregate Investment
International Economic Review, 1975, 16, (3), 625-47 View citations (19)
- POLICY PILLS FOR A METROPOLITAN ECONOMY
Papers in Regional Science, 1975, 35, (1), 191-205
1974
- Band Spectrum Regression
International Economic Review, 1974, 15, (1), 1-11 View citations (153)
See also Working Paper (1972)
- 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)
- Specification of the Disturbance for Efficient Estimation
Econometrica, 1974, 42, (1), 135-46 View citations (2)
See also Working Paper (1971)
1972
- 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
- 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
- Cointegration, Causality, and Forecasting: Festschrift in Honour of Clive W. J. Granger
OUP Catalogue, Oxford University Press View citations (491)
1995
- ARCH: Selected Readings
OUP Catalogue, Oxford University Press View citations (124)
1991
- Long-Run Economic Relationships: Readings in Cointegration
OUP Catalogue, Oxford University Press View citations (733)
1986
- Handbook of Econometrics, vol 4
Handbook of Econometrics, Elsevier View citations (58)
Chapters
2014
- A GARCH Option Pricing Model with Filtered Historical Simulation
Palgrave Macmillan
See also Journal Article in Review of Financial Studies (2008)
2013
- 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
- Arch models
Chapter 49 in Handbook of Econometrics, 1986, vol. 4, pp 2959-3038 View citations (120)
1984
- 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
- 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
- Estimating Structural Models of Seasonality
A chapter in Seasonal Analysis of Economic Time Series, 1978, pp 281-308 View citations (19)
1977
- 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
- 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
- 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)
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