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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Jump to Journal Articles Edited books Chapters

Working Papers

2025

1. Strategic Commitments to Decarbonize: The Role of Large Firms, Common Ownership, and Governments
   NBER Working Papers, National Bureau of Economic Research, Inc

2024

2. Factor mimicking portfolios for climate risk
   ECON - Working Papers, Department of Economics - University of Zurich View citations (2)
   See also Journal Article Factor-Mimicking Portfolios for Climate Risk, Financial Analysts Journal, Taylor & Francis Journals (2024) View citations (1) (2024)
3. Physical Climate Risk and Insurers
   Liberty Street Economics, Federal Reserve Bank of New York

2023

4. Climate Stress Testing
   CESifo Working Paper Series, CESifo View citations (15)
   Also in Staff Reports, Federal Reserve Bank of New York (2023) View citations (15)
   NBER Working Papers, National Bureau of Economic Research, Inc (2023) View citations (15)
   See also Journal Article Climate Stress Testing, Annual Review of Financial Economics, Annual Reviews (2023) View citations (8) (2023)
5. Estimating systemic risk for non-listed euro-area banks
   Working Paper Series, European Central Bank
   See also Journal Article Estimating systemic risk for non-listed Euro-area banks, Journal of Financial Stability, Elsevier (2024) (2024)
6. Physical Climate Risk Factors and an Application to Measuring Insurers’ Climate Risk Exposure
   Staff Reports, Federal Reserve Bank of New York

2022

7. 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 Large dynamic covariance matrices: Enhancements based on intraday data, Journal of Banking & Finance, Elsevier (2022) View citations (9) (2022)

2021

8. CRISK: Measuring the Climate Risk Exposure of the Financial System
   Staff Reports, Federal Reserve Bank of New York View citations (5)
9. Modelling Volatility Cycles: The (MF)2 GARCH Model
   Working Paper series, Rimini Centre for Economic Analysis
10. The risk management approach to macro-prudential policy
    Working Paper Series, European Central Bank View citations (13)
11. Why Did Bank Stocks Crash During COVID-19?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (28)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021) View citations (30)
    See also Journal Article Why Did Bank Stocks Crash during COVID-19?, The Review of Financial Studies, Society for Financial Studies (2024) View citations (2) (2024)

2020

12. Measuring and Hedging Geopolitical Risk
    NIPE Working Papers, NIPE - Universidade do Minho View citations (10)

2019

13. Hedging Climate Change News
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (29)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) View citations (29)
    CESifo Working Paper Series, CESifo (2019) View citations (29)
    See also Journal Article Hedging Climate Change News, The Review of Financial Studies, Society for Financial Studies (2020) View citations (258) (2020)

2017

14. 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 (7)
    See also Journal Article Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity, Econometrics, MDPI (2017) View citations (7) (2017)
15. Large dynamic covariance matrices
    ECON - Working Papers, Department of Economics - University of Zurich View citations (31)
    See also Journal Article Large Dynamic Covariance Matrices, Journal of Business & Economic Statistics, Taylor & Francis Journals (2019) View citations (90) (2019)
16. SRISK: a conditional capital shortfall measure of systemic risk
    ESRB Working Paper Series, European Systemic Risk Board View citations (413)
    See also Journal Article SRISK: A Conditional Capital Shortfall Measure of Systemic Risk, The Review of Financial Studies, Society for Financial Studies (2017) View citations (433) (2017)

2016

17. 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

18. Structural GARCH: The Volatility-Leverage Connection
    Working Papers, Office of Financial Research, US Department of the Treasury View citations (2)
    See also Journal Article Structural GARCH: The Volatility-Leverage Connection, The Review of Financial Studies, Society for Financial Studies (2018) View citations (9) (2018)
19. Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (163)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) View citations (37)
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2014) View citations (159)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (31)
    See also Journal Article Testing macroprudential stress tests: The risk of regulatory risk weights, Journal of Monetary Economics, Elsevier (2014) View citations (158) (2014)

2013

20. 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 Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns, Management Science, INFORMS (2017) View citations (30) (2017)

2012

21. 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 (5)
22. Liquidity and volatility in the U.S. treasury market
    Staff Reports, Federal Reserve Bank of New York View citations (10)
    See also Journal Article Liquidity and volatility in the U.S. Treasury market, Journal of Econometrics, Elsevier (2020) View citations (11) (2020)
23. Systemic Risk in Europe
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (13)
    See also Journal Article Systemic Risk in Europe, Review of Finance, European Finance Association (2015) View citations (100) (2015)

2010

24. The Underlying Dynamics of Credit Correlations
    Papers, arXiv.org
    See also Journal Article The underlying dynamics of credit correlations, Journal of Credit Risk, Journal of Credit Risk

2009

25. High and Low Frequency Correlations in Global Equity Markets
    Working Papers, Banco de México View citations (9)
26. 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 SEMIPARAMETRIC VECTOR MEM, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2013) View citations (34) (2013)
27. The Factor-Spline-GARCH Model for High and Low Frequency Correlations
    Working Papers, Banco de México View citations (14)
    See also Journal Article The Factor–Spline–GARCH Model for High and Low Frequency Correlations, Journal of Business & Economic Statistics, Taylor & Francis Journals (2012) View citations (49) (2012)

2008

28. 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)
29. Fitting vast dimensional time-varying covariance models
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (135)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2008) View citations (132)
    See also Journal Article Fitting Vast Dimensional Time-Varying Covariance Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2021) View citations (37) (2021)

2007

30. A GARCH Option Pricing Model in Incomplete Markets
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (5)
31. 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

32. Execution Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
33. GARCH Options in Incomplete Markets
    CEI Working Paper Series, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University
34. 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 (24)
    NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (26)

2005

35. HIGH FREQUENCY MULTIPLICATIVE COMPONENT GARCH
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (7)
36. The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes
    Working Papers, Czech National Bank, Research and Statistics Department View citations (38)

2004

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

2003

38. 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 (20)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (23)
    See also Journal Article A multiple indicators model for volatility using intra-daily data, Journal of Econometrics, Elsevier (2006) View citations (348) (2006)
39. Asymmetric dynamics in the correlations of global equity and bond returns
    Working Paper Series, European Central Bank View citations (89)
    See also Journal Article Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns, Journal of Financial Econometrics, Oxford University Press (2006) View citations (961) (2006)
40. Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III
    Nobel Prize in Economics documents, Nobel Prize Committee
41. Risk and Volatility: Econometric Models and Financial Practice
    Nobel Prize in Economics documents, Nobel Prize Committee View citations (22)
    See also Journal Article Risk and Volatility: Econometric Models and Financial Practice, American Economic Review, American Economic Association (2004) View citations (175) (2004)

2002

42. Time-Varying Arrival Rates of Informed and Uninformed Trades
    Finance, University Library of Munich, Germany View citations (15)
    See also Journal Article Time-Varying Arrival Rates of Informed and Uninformed Trades, Journal of Financial Econometrics, Oxford University Press (2008) View citations (79) (2008)

2001

43. 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 (781)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (759)
44. Value at risk models in finance
    Working Paper Series, European Central Bank View citations (102)

2000

45. 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 (53)
    See also Journal Article CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles, Journal of Business & Economic Statistics, American Statistical Association (2004) View citations (1063) (2004)
46. 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)
47. 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 (38)
    See also Journal Article Empirical pricing kernels, Journal of Financial Economics, Elsevier (2002) View citations (280) (2002)
48. 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 Journal Article Impacts of trades in an error-correction model of quote prices, Journal of Financial Markets, Elsevier (2004) View citations (75) (2004)
49. The ACD Model: Predictability of the Time Between Concecutive Trades
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (22)

1999

50. CAViaR: Conditional Value at Risk by Quantile Regression
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (29)
51. Modeling a Time-Varying Order Statistic
    Computing in Economics and Finance 1999, Society for Computational Economics
52. 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 (37)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999) View citations (32)
53. 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 Time and the Price Impact of a Trade, Journal of Finance, American Finance Association (2000) View citations (273) (2000)
54. 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 (46)

1998

55. 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 (30)
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago (1998) View citations (13)
56. 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)
57. 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 Stochastic Permanent Breaks, The Review of Economics and Statistics, MIT Press (1999) View citations (134) (1999)
58. 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)
59. 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 Trades and Quotes: A Bivariate Point Process, Journal of Financial Econometrics, Oxford University Press (2003) View citations (53) (2003)

1997

60. Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (29)
61. Option Hedging Using Empirical Pricing Kernels
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)

1996

62. The Econometrics of Ultra-High Frequency Data
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
    See also Journal Article The Econometrics of Ultra-High Frequency Data, Econometrica, Econometric Society (2000) View citations (295) (2000)

1995

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

1994

64. 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)
65. Forecasting Transaction Rates: The Autoregressive Conditional Duration Model
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
66. 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

67. 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)
68. 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

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

1991

70. Measuring Risk Aversion From Excess Returns on a Stock Index
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (58)
71. 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 Measuring and Testing the Impact of News on Volatility, Journal of Finance, American Finance Association (1993) View citations (1679) (1993)
72. 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 Time-Varying Volatility and the Dynamic Behavior of the Term Structure, Journal of Money, Credit and Banking, Blackwell Publishing (1993) View citations (52) (1993)

1990

73. Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
74. 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 Testing superexogeneity and invariance in regression models, Journal of Econometrics, Elsevier (1993) View citations (151) (1993)
75. Testing For Common Features
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (20)
    See also Journal Article Testing for Common Features, Journal of Business & Economic Statistics, American Statistical Association (1993) View citations (421) (1993)
76. Valuation of Variance Forecast with Simulated Option Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (47)
77. Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (34)
    See also Journal Article Where does the meteor shower come from?: The role of stochastic policy coordination, Journal of International Economics, Elsevier (1992) View citations (42) (1992)

1989

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

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 (7)
    See also Journal Article Asset pricing with a factor-arch covariance structure: Empirical estimates for treasury bills, Journal of Econometrics, Elsevier (1990) View citations (380) (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 (3)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1988) View citations (22)
    See also Journal Article Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market, Econometrica, Econometric Society (1990) View citations (603) (1990)
81. 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 (39)
    See also Journal Article Seasonal integration and cointegration, Journal of Econometrics, Elsevier (1990) View citations (650) (1990)

1983

82. 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 Exogeneity, Econometrica, Econometric Society (1983) View citations (49) (1983)

1979

83. 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

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 Estimation of the price elasticity of demand facing metropolitan producers, Journal of Urban Economics, Elsevier (1979) View citations (1) (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 View citations (2)

1974

86. Interpreting Spectral Analyses in Terms of Time-Domain Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
    See also Chapter Interpreting Spectral Analyses in Terms of Time-Domain Models, NBER Chapters, National Bureau of Economic Research, Inc (1976) View citations (5) (1976)
87. Testing Price Equations for Stability Across Frequencies
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (1)

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 Issues in the specification of an econometric model of metropolitan growth, Journal of Urban Economics, Elsevier (1974) View citations (1) (1974)
91. 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 Some Finite Sample Properties of Spectral Estimators of a Linear Regression, Econometrica, Econometric Society (1976) View citations (6) (1976)

1972

92. A Supply Function Model of Aggregate Investment
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (1)
93. Band Spectrum Regressions
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (2)
    See also Journal Article Band Spectrum Regression, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1974) View citations (159) (1974)

1971

94. The Specification of the Disturbance for Efficient Estimation
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics
    See also Journal Article Specification of the Disturbance for Efficient Estimation, Econometrica, Econometric Society (1974) View citations (2) (1974)

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

2024

1. Estimating systemic risk for non-listed Euro-area banks
   Journal of Financial Stability, 2024, 75, (C)
   See also Working Paper Estimating systemic risk for non-listed euro-area banks, Working Paper Series (2023) (2023)
2. Factor-Mimicking Portfolios for Climate Risk
   Financial Analysts Journal, 2024, 80, (3), 37-58 View citations (1)
   See also Working Paper Factor mimicking portfolios for climate risk, ECON - Working Papers (2024) View citations (2) (2024)
3. Why Did Bank Stocks Crash during COVID-19?
   The Review of Financial Studies, 2024, 37, (9), 2627-2684 View citations (2)
   See also Working Paper Why Did Bank Stocks Crash During COVID-19?, NBER Working Papers (2021) View citations (28) (2021)

2023

4. Climate Stress Testing
   Annual Review of Financial Economics, 2023, 15, (1), 291-326 View citations (8)
   See also Working Paper Climate Stress Testing, CESifo Working Paper Series (2023) View citations (15) (2023)
5. What are the events that shake our world? Measuring and hedging global COVOL
   Journal of Financial Economics, 2023, 147, (1), 221-242 View citations (16)

2022

6. Large dynamic covariance matrices: Enhancements based on intraday data
   Journal of Banking & Finance, 2022, 138, (C) View citations (9)
   See also Working Paper Large dynamic covariance matrices: enhancements based on intraday data, ECON - Working Papers (2022) View citations (2) (2022)

2021

7. Environmental, Social, Governance: Implications for businesses and effects for stakeholders
   Corporate Social Responsibility and Environmental Management, 2021, 28, (5), 1423-1425 View citations (3)
   Also in Corporate Social Responsibility and Environmental Management, 2019, 26, (6), 1627-1628 (2019) View citations (6)
8. Fitting Vast Dimensional Time-Varying Covariance Models
   Journal of Business & Economic Statistics, 2021, 39, (3), 652-668 View citations (37)
   See also Working Paper Fitting vast dimensional time-varying covariance models, Economics Series Working Papers (2008) View citations (135) (2008)
9. News and Idiosyncratic Volatility: The Public Information Processing Hypothesis*
   (A Theory of Intraday Patterns: Volume and Price Variability)
   Journal of Financial Econometrics, 2021, 19, (1), 1-38 View citations (8)

2020

10. Hedging Climate Change News
    The Review of Financial Studies, 2020, 33, (3), 1184-1216 View citations (258)
    See also Working Paper Hedging Climate Change News, NBER Working Papers (2019) View citations (29) (2019)
11. Liquidity and volatility in the U.S. Treasury market
    Journal of Econometrics, 2020, 217, (2), 207-229 View citations (11)
    See also Working Paper Liquidity and volatility in the U.S. treasury market, Staff Reports (2012) View citations (10) (2012)

2019

12. Large Dynamic Covariance Matrices
    Journal of Business & Economic Statistics, 2019, 37, (2), 363-375 View citations (90)
    See also Working Paper Large dynamic covariance matrices, ECON - Working Papers (2017) View citations (31) (2017)
13. Measuring the probability of a financial crisis
    Proceedings of the National Academy of Sciences, 2019, 116, (37), 18341-18346 View citations (7)

2018

14. GLOBALIZATION: CONTENTS AND DISCONTENTS
    Contemporary Economic Policy, 2018, 36, (1), 29-43 View citations (1)
15. Structural GARCH: The Volatility-Leverage Connection
    The Review of Financial Studies, 2018, 31, (2), 449-492 View citations (9)
    See also Working Paper Structural GARCH: The Volatility-Leverage Connection, Working Papers (2014) View citations (2) (2014)
16. Systemic Risk 10 Years Later
    Annual Review of Financial Economics, 2018, 10, (1), 125-152 View citations (22)

2017

17. Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity
    Econometrics, 2017, 5, (2), 1-24 View citations (7)
    See also Working Paper Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity, Econometrics Working Papers Archive (2017) View citations (7) (2017)
18. Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns
    Management Science, 2017, 63, (11), 3760-3779 View citations (30)
    See also Working Paper Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns, Koç University-TUSIAD Economic Research Forum Working Papers (2013) View citations (1) (2013)
19. SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
    The Review of Financial Studies, 2017, 30, (1), 48-79 View citations (433)
    See also Working Paper SRISK: a conditional capital shortfall measure of systemic risk, ESRB Working Paper Series (2017) View citations (413) (2017)
20. Scenario generation for long run interest rate risk assessment
    Journal of Econometrics, 2017, 201, (2), 333-347 View citations (5)

2016

21. Dynamic Conditional Beta
    Journal of Financial Econometrics, 2016, 14, (4), 643-667 View citations (57)

2015

22. Co-integration and error correction: Representation, estimation, and testing
    Applied Econometrics, 2015, 39, (3), 106-135 View citations (49)
    Also in Econometrica, 1987, 55, (2), 251-76 (1987) View citations (10411)
23. Modeling the Dynamics of Correlations among Implied Volatilities
    Review of Finance, 2015, 19, (3), 991-1018 View citations (16)
24. Systemic Risk in Europe
    Review of Finance, 2015, 19, (1), 145-190 View citations (100)
    See also Working Paper Systemic Risk in Europe, Swiss Finance Institute Research Paper Series (2012) View citations (13) (2012)

2014

25. Priced risk and asymmetric volatility in the cross section of skewness
    Journal of Econometrics, 2014, 182, (1), 135-144 View citations (9)
26. Testing macroprudential stress tests: The risk of regulatory risk weights
    Journal of Monetary Economics, 2014, 65, (C), 36-53 View citations (158)
    See also Working Paper Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights, CEPR Discussion Papers (2014) View citations (163) (2014)

2013

27. SEMIPARAMETRIC VECTOR MEM
    Journal of Applied Econometrics, 2013, 28, (7), 1067-1086 View citations (34)
    See also Working Paper Semiparametric vector MEM, Econometrics Working Papers Archive (2009) View citations (13) (2009)
28. Stock Market Volatility and Macroeconomic Fundamentals
    The Review of Economics and Statistics, 2013, 95, (3), 776-797 View citations (560)

2012

29. Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks
    American Economic Review, 2012, 102, (3), 59-64 View citations (610)
30. The Factor–Spline–GARCH Model for High and Low Frequency Correlations
    Journal of Business & Economic Statistics, 2012, 30, (1), 109-124 View citations (49)
    Also in Journal of Business & Economic Statistics, 2011, 30, (1), 109-124 (2011) View citations (19)
    See also Working Paper The Factor-Spline-GARCH Model for High and Low Frequency Correlations, Working Papers (2009) View citations (14) (2009)
31. Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach
    The Review of Economics and Statistics, 2012, 94, (1), 222-223 View citations (80)

2011

32. A component model for dynamic correlations
    Journal of Econometrics, 2011, 164, (1), 45-59 View citations (225)
33. Dynamic Equicorrelation
    Journal of Business & Economic Statistics, 2011, 30, (2), 212-228
34. Long-Term Skewness and Systemic Risk
    Journal of Financial Econometrics, 2011, 9, (3), 437-468 View citations (34)

2010

35. Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis
    Journal of Financial Econometrics, 2010, 8, (2), 158-159
36. The intertemporal capital asset pricing model with dynamic conditional correlations
    Journal of Monetary Economics, 2010, 57, (4), 377-390 View citations (112)

2009

37. Centralized Clearing for Credit Derivatives
    Financial Markets, Institutions & Instruments, 2009, 18, (2), 168-170
38. Derivatives ‐ The Ultimate Financial Innovation
    Financial Markets, Institutions & Instruments, 2009, 18, (2), 166-167

2008

39. A GARCH Option Pricing Model with Filtered Historical Simulation
    The Review of Financial Studies, 2008, 21, (3), 1223-1258 View citations (111)
    See also Chapter A GARCH Option Pricing Model with Filtered Historical Simulation, Palgrave Macmillan Books, 2014, 66-108 (2014) (2014)
40. The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes
    The Review of Financial Studies, 2008, 21, (3), 1187-1222 View citations (509)
41. Time-Varying Arrival Rates of Informed and Uninformed Trades
    Journal of Financial Econometrics, 2008, 6, (2), 171-207 View citations (79)
    See also Working Paper Time-Varying Arrival Rates of Informed and Uninformed Trades, Finance (2002) View citations (15) (2002)

2006

42. 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)
43. A multiple indicators model for volatility using intra-daily data
    Journal of Econometrics, 2006, 131, (1-2), 3-27 View citations (348)
    See also Working Paper A Multiple Indicators Model For Volatility Using Intra-Daily Data, Econometrics Working Papers Archive (2003) View citations (20) (2003)
44. Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
    Journal of Financial Econometrics, 2006, 4, (4), 537-572 View citations (961)
    See also Working Paper Asymmetric dynamics in the correlations of global equity and bond returns, Working Paper Series (2003) View citations (89) (2003)
45. Testing and Valuing Dynamic Correlations for Asset Allocation
    Journal of Business & Economic Statistics, 2006, 24, 238-253 View citations (160)
46. The econometrics of macroeconomics, finance, and the interface
    Journal of Econometrics, 2006, 131, (1-2), 1-2

2005

47. 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 (60)

2004

48. CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles
    Journal of Business & Economic Statistics, 2004, 22, 367-381 View citations (1063)
    See also Working Paper CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (47) (2000)
49. Impacts of trades in an error-correction model of quote prices
    Journal of Financial Markets, 2004, 7, (1), 1-25 View citations (75)
    See also Working Paper Impacts of Trades in an Error-Correction Model of Quote Prices, University of California at San Diego, Economics Working Paper Series (2000) View citations (5) (2000)
50. Risk and Volatility: Econometric Models and Financial Practice
    American Economic Review, 2004, 94, (3), 405-420 View citations (175)
    See also Working Paper Risk and Volatility: Econometric Models and Financial Practice, Nobel Prize in Economics documents (2003) View citations (22) (2003)
51. Robert F Engle: Understanding volatility as a process
    Quantitative Finance, 2004, 4, (2), 19-20

2003

52. Trades and Quotes: A Bivariate Point Process
    Journal of Financial Econometrics, 2003, 1, (2), 159-188 View citations (53)
    See also Working Paper Trades and Quotes: A Bivariate Point Process, University of California at San Diego, Economics Working Paper Series (1998) View citations (13) (1998)

2002

53. 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 (2838)
54. Empirical pricing kernels
    Journal of Financial Economics, 2002, 64, (3), 341-372 View citations (280)
    See also Working Paper Empirical Pricing Kernels, New York University, Leonard N. Stern School Finance Department Working Paper Seires (2000) View citations (38) (2000)
55. New frontiers for arch models
    Journal of Applied Econometrics, 2002, 17, (5), 425-446 View citations (384)

2001

56. Financial econometrics - A new discipline with new methods
    Journal of Econometrics, 2001, 100, (1), 53-56 View citations (12)
57. GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics
    Journal of Economic Perspectives, 2001, 15, (4), 157-168 View citations (332)
58. Predicting VNET: A model of the dynamics of market depth
    Journal of Financial Markets, 2001, 4, (2), 113-142 View citations (41)
59. What good is a volatility model?
    Quantitative Finance, 2001, 1, (2), 237-245 View citations (240)

2000

60. The Econometrics of Ultra-High Frequency Data
    Econometrica, 2000, 68, (1), 1-22 View citations (295)
    See also Working Paper The Econometrics of Ultra-High Frequency Data, NBER Working Papers (1996) View citations (18) (1996)
61. Time and the Price Impact of a Trade
    Journal of Finance, 2000, 55, (6), 2467-2498 View citations (273)
    See also Working Paper Time and the Price Impact of a Trade, University of California at San Diego, Economics Working Paper Series (1999) View citations (2) (1999)

1999

62. Stochastic Permanent Breaks
    The Review of Economics and Statistics, 1999, 81, (4), 553-574 View citations (134)
    See also Working Paper Stochastic Permanent Breaks, University of California at San Diego, Economics Working Paper Series (1998) View citations (4) (1998)

1998

63. Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
    Econometrica, 1998, 66, (5), 1127-1162 View citations (868)

1997

64. Codependent cycles
    Journal of Econometrics, 1997, 80, (2), 199-221 View citations (91)
65. 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 (106)
66. Shorte-run forecasts of electricity loads and peaks
    International Journal of Forecasting, 1997, 13, (2), 161-174 View citations (109)

1996

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

1995

68. Estimating common sectoral cycles
    Journal of Monetary Economics, 1995, 35, (1), 83-113 View citations (86)
69. Multivariate Simultaneous Generalized ARCH
    Econometric Theory, 1995, 11, (1), 122-150 View citations (2156)

1994

70. Bayesian Analysis of Stochastic Volatility Models: Comment
    Journal of Business & Economic Statistics, 1994, 12, (4), 395-96
71. Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility
    The Review of Financial Studies, 1994, 7, (3), 507-38 View citations (473)
72. Hourly volatility spillovers between international equity markets
    Journal of International Money and Finance, 1994, 13, (1), 3-25 View citations (194)

1993

73. A long memory property of stock market returns and a new model
    Journal of Empirical Finance, 1993, 1, (1), 83-106 View citations (1744)
74. Common Persistence in Conditional Variances
    Econometrica, 1993, 61, (1), 167-86 View citations (131)
75. Common Trends and Common Cycles
    Journal of Applied Econometrics, 1993, 8, (4), 341-60 View citations (322)
76. Common Volatility in International Equity Markets
    Journal of Business & Economic Statistics, 1993, 11, (2), 167-76 View citations (170)
77. Common trends and common cycles in Latin America
    Revista Brasileira de Economia - RBE, 1993, 47, (2) View citations (105)
78. Measuring and Testing the Impact of News on Volatility
    Journal of Finance, 1993, 48, (5), 1749-78 View citations (1679)
    See also Working Paper Measuring and Testing the Impact of News on Volatility, NBER Working Papers (1991) View citations (18) (1991)
79. Testing for Common Features
    Journal of Business & Economic Statistics, 1993, 11, (4), 369-80 View citations (421)
    See also Working Paper Testing For Common Features, NBER Technical Working Papers (1990) View citations (20) (1990)
80. Testing for Common Features: Reply
    Journal of Business & Economic Statistics, 1993, 11, (4), 393-95 View citations (344)
81. Testing superexogeneity and invariance in regression models
    Journal of Econometrics, 1993, 56, (1-2), 119-139 View citations (151)
    See also Working Paper TESTING SUPER EXOGENEITY AND INVARIANCE IN REGRESSION MODELS, Economics Series Working Papers (1990) View citations (21) (1990)
82. The Japanese consumption function
    Journal of Econometrics, 1993, 55, (1-2), 275-298 View citations (92)
83. Time-Varying Volatility and the Dynamic Behavior of the Term Structure
    Journal of Money, Credit and Banking, 1993, 25, (3), 336-49 View citations (52)
    See also Working Paper Time-Varying Volatility and the Dynamic Behavior of the Term Structure, NBER Working Papers (1991) View citations (5) (1991)

1992

84. A multi-dynamic-factor model for stock returns
    Journal of Econometrics, 1992, 52, (1-2), 245-266 View citations (106)
85. Implied ARCH models from options prices
    Journal of Econometrics, 1992, 52, (1-2), 289-311 View citations (126)
86. On the determination of regional base and regional base multipliers
    Regional Science and Urban Economics, 1992, 22, (4), 619-635 View citations (23)
87. On the theory of growth controls
    Journal of Urban Economics, 1992, 32, (3), 269-283 View citations (41)
88. 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 (42)
    See also Working Paper Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination, NBER Working Papers (1990) View citations (34) (1990)

1991

89. Semiparametric ARCH Models
    Journal of Business & Economic Statistics, 1991, 9, (4), 345-59 View citations (253)

1990

90. Asset pricing with a factor-arch covariance structure: Empirical estimates for treasury bills
    Journal of Econometrics, 1990, 45, (1-2), 213-237 View citations (380)
    See also Working Paper Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills, NBER Technical Working Papers (1988) View citations (7) (1988)
91. Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market
    Econometrica, 1990, 58, (3), 525-42 View citations (603)
    See also Working Paper METEOR SHOWERS OR HEAT WAGES? HETEROSKEDASTIC INTRA-DAILY VOLATILITY IN A THE FOREIGN EXCHANGE MARKET, Working Papers (1988) View citations (3) (1988)
92. Seasonal integration and cointegration
    Journal of Econometrics, 1990, 44, (1-2), 215-238 View citations (650)
    See also Working Paper SEASONAL INTEGRATION AND COINTEGRATION, Working Papers (1988) View citations (9) (1988)
93. Stock Volatility and the Crash of '87: Discussion
    The Review of Financial Studies, 1990, 3, (1), 103-06 View citations (121)

1989

94. 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 (79)

1988

95. A Capital Asset Pricing Model with Time-Varying Covariances
    Journal of Political Economy, 1988, 96, (1), 116-31 View citations (1476)
96. 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

97. Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
    Econometrica, 1987, 55, (2), 391-407 View citations (1053)
98. Forecasting and testing in co-integrated systems
    Journal of Econometrics, 1987, 35, (1), 143-159 View citations (723)
99. Transportation costs and the rent gradient
    Journal of Urban Economics, 1987, 21, (3), 287-297 View citations (27)

1985

100. A dymimic model of housing price determination
     Journal of Econometrics, 1985, 28, (3), 307-326 View citations (18)
101. Small-Sample Properties of ARCH Estimators and Tests
     Canadian Journal of Economics, 1985, 18, (1), 66-93 View citations (40)
102. Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative
     The Review of Economics and Statistics, 1985, 67, (2), 341-46 View citations (20)

1984

103. Combining competing forecasts of inflation using a bivariate arch model
     Journal of Economic Dynamics and Control, 1984, 8, (2), 151-165 View citations (67)
104. The billing cycle and weather variables in models of electricity sales
     Energy, 1984, 9, (11), 1041-1047 View citations (6)

1983

105. Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
     Journal of Econometrics, 1983, 23, (3), 385-400 View citations (225)
106. 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 (153)
107. Exogeneity
     Econometrica, 1983, 51, (2), 277-304 View citations (49)
     See also Working Paper Exogeneity, LIDAM Reprints CORE (1983) (1983)

1982

108. A general approach to lagrange multiplier model diagnostics
     Journal of Econometrics, 1982, 20, (1), 83-104 View citations (109)
109. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
     Econometrica, 1982, 50, (4), 987-1007 View citations (7937)

1980

110. Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions
     International Economic Review, 1980, 21, (2), 391-407 View citations (12)

1979

111. 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 Estimation of the Price Elasticity of Demand Facing Metropolitan Producers, Working papers (1975) (1975)
112. Residential load curves and time-of-day pricing: An econometric analysis
     Journal of Econometrics, 1979, 9, (1-2), 13-32 View citations (9)

1978

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

1976

114. Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment
     Econometrica, 1976, 44, (3), 617-18
115. Some Finite Sample Properties of Spectral Estimators of a Linear Regression
     Econometrica, 1976, 44, (1), 149-65 View citations (6)
     See also Working Paper Some Finite Sample Properties of Spectral Estimators of a Linear Regression, Working papers (1973) View citations (1) (1973)

1975

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

1974

118. Band Spectrum Regression
     International Economic Review, 1974, 15, (1), 1-11 View citations (159)
     See also Working Paper Band Spectrum Regressions, Working papers (1972) View citations (2) (1972)
119. 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 Issues in the Specification of an Econometric Model of Metropolitan Growth, Working papers (1973) (1973)
120. Specification of the Disturbance for Efficient Estimation
     Econometrica, 1974, 42, (1), 135-46 View citations (2)
     See also Working Paper The Specification of the Disturbance for Efficient Estimation, Working papers (1971) (1971)

1972

121. 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

122. A practical guide to volatility forecasting through calm and storm
     Journal of Risk
123. Forecasting intraday volatility in the US equity market. Multiplicative component GARCH
     Journal of Financial Econometrics, 10, (1), 54-83 View citations (48)
124. Systemic risk in the financial system: capital shortfalls under Brexit, the US elections and the Italian referendum
     Journal of Credit Risk
125. The underlying dynamics of credit correlations
     Journal of Credit Risk
     See also Working Paper The Underlying Dynamics of Credit Correlations, Papers (2010) (2010)

Edited books

1999

1. Cointegration, Causality, and Forecasting: Festschrift in Honour of Clive W. J. Granger
   OUP Catalogue, Oxford University Press View citations (495)

1995

2. ARCH: Selected Readings
   OUP Catalogue, Oxford University Press View citations (126)

1991

3. Long-Run Economic Relationships: Readings in Cointegration
   OUP Catalogue, Oxford University Press View citations (737)

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 A GARCH Option Pricing Model with Filtered Historical Simulation, Society for Financial Studies (2008) View citations (111) (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 (118)

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 (189)

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 (2)

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 Interpreting Spectral Analyses in Terms of Time-Domain Models, National Bureau of Economic Research, Inc (1974) View citations (3) (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)