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Details about Robert F. Engle

Homepage:http://pages.stern.nyu.edu/~rengle/
Postal address:Robert Engle obtained the Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel in 2003. His entry is maintained by the RePEc team. The listed email address will not respond to inquiries.
Workplace:Finance Department, Stern School of Business, New York University (NYU), (more information at EDIRC)
National Bureau of Economic Research (NBER), (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 2017-08-05. Update your information in the RePEc Author Service.

Short-id: pen9


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Working Papers

2017

  1. 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" Downloads
  2. Large dynamic covariance matrices
    ECON - Working Papers, Department of Economics - University of Zurich Downloads View citations (1)
  3. SRISK: a conditional capital shortfall measure of systemic risk
    ESRB Working Paper Series, European Systemic Risk Board Downloads View citations (4)
    See also Journal Article in Review of Financial Studies (2017)

2016

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

2014

  1. Structural GARCH: The Volatility-Leverage Connection
    Working Papers, Office of Financial Research, US Department of the Treasury Downloads
  2. Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (33)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) Downloads View citations (11)
    NBER Working Papers, National Bureau of Economic Research, Inc (2013) Downloads View citations (24)

    See also Journal Article in Journal of Monetary Economics (2014)

2013

  1. 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 Downloads

2012

  1. And Now, The Rest of the News: Volatility and Firm Specific News Arrival
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
  2. Liquidity, volatility, and flights to safety in the U.S. treasury market: evidence from a new class of dynamic order book models
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (7)

2010

  1. The Underlying Dynamics of Credit Correlations
    Papers, arXiv.org Downloads

2009

  1. High and Low Frequency Correlations in Global Equity Markets
    Working Papers, Banco de México Downloads View citations (5)
  2. Semiparametric vector MEM
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (10)
    See also Journal Article in Journal of Applied Econometrics (2013)
  3. The Factor-Spline-GARCH Model for High and Low Frequency Correlations
    Working Papers, Banco de México Downloads View citations (10)
    See also Journal Article in Journal of Business & Economic Statistics (2011)

2008

  1. 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" Downloads View citations (10)
  2. Fitting vast dimensional time-varying covariance models
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (76)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2008) Downloads View citations (68)

2007

  1. A GARCH Option Pricing Model in Incomplete Markets
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
  2. 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" Downloads View citations (18)

2006

  1. Execution Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
  2. GARCH Options in Incomplete Markets
    CEI Working Paper Series, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University Downloads
  3. Vector Multiplicative Error Models: Representation and Inference
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
    Also in Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2006) Downloads View citations (18)
    NBER Working Papers, National Bureau of Economic Research, Inc (2006) Downloads View citations (12)

2005

  1. HIGH FREQUENCY MULTIPLICATIVE COMPONENT GARCH
    Computing in Economics and Finance 2005, Society for Computational Economics Downloads View citations (4)
  2. The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes
    Working Papers, Czech National Bank, Research Department Downloads View citations (29)

2004

  1. Autobiography
    Nobel Prize in Economics documents, Nobel Prize Committee Downloads

2003

  1. 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" Downloads View citations (13)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads View citations (14)

    See also Journal Article in Journal of Econometrics (2006)
  2. Asymmetric dynamics in the correlations of global equity and bond returns
    Working Paper Series, European Central Bank Downloads View citations (78)
    See also Journal Article in Journal of Financial Econometrics (2006)
  3. Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III
    Nobel Prize in Economics documents, Nobel Prize Committee Downloads
  4. Risk and Volatility: Econometric Models and Financial Practice
    Nobel Prize in Economics documents, Nobel Prize Committee Downloads View citations (10)
    See also Journal Article in American Economic Review (2004)

2002

  1. Time-Varying Arrival Rates of Informed and Uninformed Trades
    Finance, EconWPA Downloads View citations (12)
    See also Journal Article in Journal of Financial Econometrics (2008)

2001

  1. 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 Downloads View citations (329)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) Downloads View citations (375)
  2. Value at risk models in finance
    Working Paper Series, European Central Bank Downloads View citations (47)

2000

  1. CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (46)
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1999) Downloads View citations (34)

    See also Journal Article in Journal of Business & Economic Statistics (2004)
  2. 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 Downloads View citations (27)
  3. Empirical Pricing Kernels
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- Downloads View citations (31)
    See also Journal Article in Journal of Financial Economics (2002)
  4. 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 Downloads View citations (5)
    See also Journal Article in Journal of Financial Markets (2004)
  5. The ACD Model: Predictability of the Time Between Concecutive Trades
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (12)

1999

  1. CAViaR: Conditional Value at Risk by Quantile Regression
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (22)
  2. Modeling a Time-Varying Order Statistic
    Computing in Economics and Finance 1999, Society for Computational Economics Downloads
  3. 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 Downloads View citations (15)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999) Downloads View citations (19)
  4. Time and the Price Impact of a Trade
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (2)
    See also Journal Article in Journal of Finance (2000)
  5. Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (26)

1998

  1. 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 Downloads View citations (12)
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago (1998) Downloads View citations (9)
  2. Macroeconomic Announcements and Volatility of Treasury Futures
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (43)
  3. Stochastic Permanent Breaks
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (3)
    See also Journal Article in The Review of Economics and Statistics (1999)
  4. 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- Downloads View citations (10)
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1966)
  5. Trades and Quotes: A Bivariate Point Process
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (10)
    See also Journal Article in Journal of Financial Econometrics (2003)

1997

  1. Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (17)
  2. Option Hedging Using Empirical Pricing Kernels
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)

1996

  1. The Econometrics of Ultra-High Frequency Data
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    See also Journal Article in Econometrica (2000)

1995

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

1994

  1. Estimating sectoral cycles using cointegration and common features
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) Downloads View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1993) Downloads View citations (4)
  2. Forecasting Transaction Rates: The Autoregressive Conditional Duration Model
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
  3. Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)

1993

  1. A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
  2. Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (19)

1992

  1. 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 (4)
    NBER Working Papers, National Bureau of Economic Research, Inc (1991) Downloads View citations (8)

1991

  1. Measuring Risk Aversion From Excess Returns on a Stock Index
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (57)
  2. Measuring and Testing the Impact of News on Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article in Journal of Finance (1993)
  3. Time-Varying Volatility and the Dynamic Behavior of the Term Structure
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article in Journal of Money, Credit and Banking (1993)

1990

  1. Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
  2. 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)
  3. Testing For Common Features
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (18)
    See also Journal Article in Journal of Business & Economic Statistics (1993)
  4. Valuation of Variance Forecast with Simulated Option Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (38)
  5. Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (33)
    See also Journal Article in Journal of International Economics (1992)

1989

  1. COINTEGRATED ECONOMIC TIME SERIES: A SURVEY WITH NEW RESULTS
    Working Papers, Pennsylvania State - Department of Economics View citations (15)

1988

  1. Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    See also Journal Article in Journal of Econometrics (1990)
  2. METEOR SHOWERS OR HEAT WAGES? HETEROSKEDASTIC INTRA-DAILY VOLATILITY IN A THE FOREIGN EXCHANGE MARKET
    Working Papers, Minnesota - Center for Economic Research View citations (1)
  3. Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article in Econometrica (1990)
  4. SEASONAL INTEGRATION AND COINTEGRATION
    Working Papers, Pennsylvania State - Department of Economics View citations (6)
    Also in Working Papers, Pennsylvania State - Department of Economics (1988) View citations (35)

    See also Journal Article in Journal of Econometrics (1990)

1979

  1. A general Approach to the Construction of Model Diagnostics based upon the Lagrange Multiplier Principle
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads View citations (2)
  2. Exogeneity
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

    See also Journal Article in Econometrica (1983)

1975

  1. 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)
  2. Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics

1974

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

1973

  1. A Disequilibrium Model of Regional Investment
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics
  2. De Facto Discrimination in Residential Assessments: Boston
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics
  3. 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)
  4. 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

  1. A Supply Function Model of Aggregate Investment
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (1)
  2. 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

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

1970

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

Undated

  1. Systemic Risk in Europe
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Journal Article in Review of Finance (2015)

Journal Articles

2017

  1. SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
    Review of Financial Studies, 2017, 30, (1), 48-79 Downloads View citations (3)
    See also Working Paper (2017)

2016

  1. Dynamic Conditional Beta
    Journal of Financial Econometrics, 2016, 14, (4), 643-667 Downloads View citations (1)

2015

  1. Co-integration and error correction: Representation, estimation, and testing
    Applied Econometrics, 2015, 39, (3), 106-135 Downloads View citations (1)
    Also in Econometrica, 1987, 55, (2), 251-76 (1987) Downloads View citations (5307)
  2. Modeling the Dynamics of Correlations among Implied Volatilities
    Review of Finance, 2015, 19, (3), 991-1018 Downloads View citations (3)
  3. Systemic Risk in Europe
    Review of Finance, 2015, 19, (1), 145-190 Downloads View citations (8)
    See also Working Paper

2014

  1. Priced risk and asymmetric volatility in the cross section of skewness
    Journal of Econometrics, 2014, 182, (1), 135-144 Downloads View citations (2)
  2. Testing macroprudential stress tests: The risk of regulatory risk weights
    Journal of Monetary Economics, 2014, 65, (C), 36-53 Downloads View citations (33)
    See also Working Paper (2014)

2013

  1. SEMIPARAMETRIC VECTOR MEM
    Journal of Applied Econometrics, 2013, 28, (7), 1067-1086 Downloads View citations (9)
    See also Working Paper (2009)
  2. Stock Market Volatility and Macroeconomic Fundamentals
    The Review of Economics and Statistics, 2013, 95, (3), 776-797 Downloads View citations (47)

2012

  1. Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks
    American Economic Review, 2012, 102, (3), 59-64 Downloads View citations (117)
  2. Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach
    The Review of Economics and Statistics, 2012, 94, (1), 222-223 Downloads View citations (33)

2011

  1. A component model for dynamic correlations
    Journal of Econometrics, 2011, 164, (1), 45-59 Downloads View citations (76)
  2. Dynamic Equicorrelation
    Journal of Business & Economic Statistics, 2011, 30, (2), 212-228 Downloads
  3. Long-Term Skewness and Systemic Risk
    Journal of Financial Econometrics, 2011, 9, (3), 437-468 Downloads View citations (15)
  4. The Factor--Spline--GARCH Model for High and Low Frequency Correlations
    Journal of Business & Economic Statistics, 2011, 30, (1), 109-124 Downloads View citations (1)
    See also Working Paper (2009)

2010

  1. Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis
    Journal of Financial Econometrics, 2010, 8, (2), 158-159 Downloads
  2. The intertemporal capital asset pricing model with dynamic conditional correlations
    Journal of Monetary Economics, 2010, 57, (4), 377-390 Downloads View citations (49)

2008

  1. A GARCH Option Pricing Model with Filtered Historical Simulation
    Review of Financial Studies, 2008, 21, (3), 1223-1258 Downloads View citations (46)
  2. The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes
    Review of Financial Studies, 2008, 21, (3), 1187-1222 Downloads View citations (205)
  3. Time-Varying Arrival Rates of Informed and Uninformed Trades
    Journal of Financial Econometrics, 2008, 6, (2), 171-207 Downloads View citations (42)
    See also Working Paper (2002)

2006

  1. A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones
    Journal of Econometrics, 2006, 132, (1), 7-42 Downloads View citations (21)
  2. A multiple indicators model for volatility using intra-daily data
    Journal of Econometrics, 2006, 131, (1-2), 3-27 Downloads View citations (192)
    See also Working Paper (2003)
  3. Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
    Journal of Financial Econometrics, 2006, 4, (4), 537-572 Downloads View citations (450)
    See also Working Paper (2003)
  4. Testing and Valuing Dynamic Correlations for Asset Allocation
    Journal of Business & Economic Statistics, 2006, 24, 238-253 Downloads View citations (82)
  5. The econometrics of macroeconomics, finance, and the interface
    Journal of Econometrics, 2006, 131, (1-2), 1-2 Downloads

2005

  1. 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 Downloads View citations (25)

2004

  1. CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles
    Journal of Business & Economic Statistics, 2004, 22, 367-381 Downloads View citations (413)
    See also Working Paper (2000)
  2. Impacts of trades in an error-correction model of quote prices
    Journal of Financial Markets, 2004, 7, (1), 1-25 Downloads View citations (52)
    See also Working Paper (2000)
  3. Risk and Volatility: Econometric Models and Financial Practice
    American Economic Review, 2004, 94, (3), 405-420 Downloads View citations (86)
    See also Working Paper (2003)
  4. Robert F Engle: Understanding volatility as a process
    Quantitative Finance, 2004, 4, (2), 19-20 Downloads

2003

  1. Trades and Quotes: A Bivariate Point Process
    Journal of Financial Econometrics, 2003, 1, (2), 159-188 View citations (37)
    See also Working Paper (1998)

2002

  1. 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 (1096)
  2. Empirical pricing kernels
    Journal of Financial Economics, 2002, 64, (3), 341-372 Downloads View citations (169)
    See also Working Paper (2000)
  3. New frontiers for arch models
    Journal of Applied Econometrics, 2002, 17, (5), 425-446 Downloads View citations (214)

2001

  1. Financial econometrics - A new discipline with new methods
    Journal of Econometrics, 2001, 100, (1), 53-56 Downloads View citations (9)
  2. GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics
    Journal of Economic Perspectives, 2001, 15, (4), 157-168 Downloads View citations (150)
  3. Predicting VNET: A model of the dynamics of market depth
    Journal of Financial Markets, 2001, 4, (2), 113-142 Downloads View citations (20)
  4. What good is a volatility model?
    Quantitative Finance, 2001, 1, (2), 237-245 Downloads View citations (113)

2000

  1. The Econometrics of Ultra-High Frequency Data
    Econometrica, 2000, 68, (1), 1-22 View citations (162)
    See also Working Paper (1996)
  2. Time and the Price Impact of a Trade
    Journal of Finance, 2000, 55, (6), 2467-2498 Downloads View citations (180)
    See also Working Paper (1999)

1999

  1. Stochastic Permanent Breaks
    The Review of Economics and Statistics, 1999, 81, (4), 553-574 Downloads View citations (107)
    See also Working Paper (1998)

1998

  1. Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
    Econometrica, 1998, 66, (5), 1127-1162 View citations (499)

1997

  1. Codependent cycles
    Journal of Econometrics, 1997, 80, (2), 199-221 Downloads View citations (90)
  2. 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 Downloads View citations (84)
  3. Shorte-run forecasts of electricity loads and peaks
    International Journal of Forecasting, 1997, 13, (2), 161-174 Downloads View citations (74)

1996

  1. Common Seasonal Features: Global Unemployment
    Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 615-30 View citations (13)

1995

  1. Estimating common sectoral cycles
    Journal of Monetary Economics, 1995, 35, (1), 83-113 Downloads View citations (66)
  2. Multivariate Simultaneous Generalized ARCH
    Econometric Theory, 1995, 11, (01), 122-150 Downloads View citations (1214)

1994

  1. Bayesian Analysis of Stochastic Volatility Models: Comment
    Journal of Business & Economic Statistics, 1994, 12, (4), 395-96
  2. Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility
    Review of Financial Studies, 1994, 7, (3), 507-38 Downloads View citations (266)
  3. Hourly volatility spillovers between international equity markets
    Journal of International Money and Finance, 1994, 13, (1), 3-25 Downloads View citations (144)

1993

  1. A long memory property of stock market returns and a new model
    Journal of Empirical Finance, 1993, 1, (1), 83-106 Downloads View citations (991)
  2. Common Persistence in Conditional Variances
    Econometrica, 1993, 61, (1), 167-86 Downloads View citations (105)
  3. Common Trends and Common Cycles
    Journal of Applied Econometrics, 1993, 8, (4), 341-60 Downloads View citations (240)
  4. Common Volatility in International Equity Markets
    Journal of Business & Economic Statistics, 1993, 11, (2), 167-76 View citations (115)
  5. Common trends and common cycles in Latin America
    Revista Brasileira de Economia - RBE, 1993, 47, (2) Downloads View citations (55)
  6. Measuring and Testing the Impact of News on Volatility
    Journal of Finance, 1993, 48, (5), 1749-78 Downloads View citations (1046)
    See also Working Paper (1991)
  7. Testing for Common Features
    Journal of Business & Economic Statistics, 1993, 11, (4), 369-80 View citations (295)
    See also Working Paper (1990)
  8. Testing for Common Features: Reply
    Journal of Business & Economic Statistics, 1993, 11, (4), 393-95 View citations (274)
  9. Testing superexogeneity and invariance in regression models
    Journal of Econometrics, 1993, 56, (1-2), 119-139 Downloads View citations (121)
    See also Working Paper (1990)
  10. The Japanese consumption function
    Journal of Econometrics, 1993, 55, (1-2), 275-298 Downloads View citations (46)
  11. Time-Varying Volatility and the Dynamic Behavior of the Term Structure
    Journal of Money, Credit and Banking, 1993, 25, (3), 336-49 Downloads View citations (39)
    See also Working Paper (1991)

1992

  1. A multi-dynamic-factor model for stock returns
    Journal of Econometrics, 1992, 52, (1-2), 245-266 Downloads View citations (76)
  2. Implied ARCH models from options prices
    Journal of Econometrics, 1992, 52, (1-2), 289-311 Downloads View citations (103)
  3. On the determination of regional base and regional base multipliers
    Regional Science and Urban Economics, 1992, 22, (4), 619-635 Downloads View citations (17)
  4. On the theory of growth controls
    Journal of Urban Economics, 1992, 32, (3), 269-283 Downloads View citations (28)
  5. Where does the meteor shower come from?: The role of stochastic policy coordination
    Journal of International Economics, 1992, 32, (3-4), 221-240 Downloads View citations (25)
    See also Working Paper (1990)

1991

  1. Semiparametric ARCH Models
    Journal of Business & Economic Statistics, 1991, 9, (4), 345-59 View citations (177)

1990

  1. Asset pricing with a factor-arch covariance structure: Empirical estimates for treasury bills
    Journal of Econometrics, 1990, 45, (1-2), 213-237 Downloads View citations (272)
    See also Working Paper (1988)
  2. Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market
    Econometrica, 1990, 58, (3), 525-42 Downloads View citations (344)
    See also Working Paper (1988)
  3. Seasonal integration and cointegration
    Journal of Econometrics, 1990, 44, (1-2), 215-238 Downloads View citations (482)
    See also Working Paper (1988)
  4. Stock Volatility and the Crash of '87: Discussion
    Review of Financial Studies, 1990, 3, (1), 103-06 Downloads View citations (21)

1989

  1. Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting
    Journal of Econometrics, 1989, 40, (1), 45-62 Downloads View citations (61)

1988

  1. A Capital Asset Pricing Model with Time-Varying Covariances
    Journal of Political Economy, 1988, 96, (1), 116-31 Downloads View citations (913)
  2. 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 Downloads View citations (2)

1987

  1. Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
    Econometrica, 1987, 55, (2), 391-407 Downloads View citations (574)
  2. Forecasting and testing in co-integrated systems
    Journal of Econometrics, 1987, 35, (1), 143-159 Downloads View citations (540)
  3. Transportation costs and the rent gradient
    Journal of Urban Economics, 1987, 21, (3), 287-297 Downloads View citations (9)

1985

  1. A dymimic model of housing price determination
    Journal of Econometrics, 1985, 28, (3), 307-326 Downloads View citations (12)
  2. Small-Sample Properties of ARCH Estimators and Tests
    Canadian Journal of Economics, 1985, 18, (1), 66-93 Downloads View citations (35)
  3. Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative
    The Review of Economics and Statistics, 1985, 67, (2), 341-46 Downloads View citations (14)

1984

  1. Combining competing forecasts of inflation using a bivariate arch model
    Journal of Economic Dynamics and Control, 1984, 8, (2), 151-165 Downloads View citations (40)
  2. The billing cycle and weather variables in models of electricity sales
    Energy, 1984, 9, (11), 1041-1047 Downloads View citations (3)

1983

  1. Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
    Journal of Econometrics, 1983, 23, (3), 385-400 Downloads View citations (118)
  2. Estimates of the Variance of U.S. Inflation Based upon the ARCH Model
    Journal of Money, Credit and Banking, 1983, 15, (3), 286-301 Downloads View citations (87)
  3. Exogeneity
    Econometrica, 1983, 51, (2), 277-304 Downloads View citations (49)
    See also Working Paper (1979)

1982

  1. A general approach to lagrange multiplier model diagnostics
    Journal of Econometrics, 1982, 20, (1), 83-104 Downloads View citations (60)
  2. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
    Econometrica, 1982, 50, (4), 987-1007 Downloads View citations (3535)

1980

  1. Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions
    International Economic Review, 1980, 21, (2), 391-407 Downloads View citations (8)

1979

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

1978

  1. Testing Price Equations for Stability across Spectral Frequency Bands
    Econometrica, 1978, 46, (4), 869-81 Downloads View citations (29)

1976

  1. Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment
    Econometrica, 1976, 44, (3), 617-18 Downloads
  2. Some Finite Sample Properties of Spectral Estimators of a Linear Regression
    Econometrica, 1976, 44, (1), 149-65 Downloads View citations (4)
    See also Working Paper (1973)

1975

  1. An Asset Price Model of Aggregate Investment
    International Economic Review, 1975, 16, (3), 625-47 Downloads View citations (13)

1974

  1. Band Spectrum Regression
    International Economic Review, 1974, 15, (1), 1-11 Downloads View citations (94)
    See also Working Paper (1972)
  2. Issues in the specification of an econometric model of metropolitan growth
    Journal of Urban Economics, 1974, 1, (2), 250-267 Downloads
    See also Working Paper (1973)
  3. Specification of the Disturbance for Efficient Estimation
    Econometrica, 1974, 42, (1), 135-46 Downloads

1972

  1. 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 (1)

Undated

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

Edited books

1999

  1. Cointegration, Causality, and Forecasting: Festschrift in Honour of Clive W. J. Granger
    OUP Catalogue, Oxford University Press View citations (19)

1995

  1. ARCH: Selected Readings
    OUP Catalogue, Oxford University Press View citations (28)

1991

  1. Long-Run Economic Relationships: Readings in Cointegration
    OUP Catalogue, Oxford University Press View citations (134)

1986

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

Chapters

2013

  1. MEASURING SYSTEMIC RISK
    Chapter 3 in Managing and Measuring Risk Emerging Global Standards and Regulations After the Financial Crisis, 2013, pp 65-98 Downloads

1986

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

1984

  1. Wald, likelihood ratio, and Lagrange multiplier tests in econometrics
    Chapter 13 in Handbook of Econometrics, 1984, vol. 2, pp 775-826 Downloads View citations (69)

1980

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

1979

  1. Estimating Structural Models of Seasonality
    A chapter in Seasonal Analysis of Economic Time Series, 1979, pp 281-308 Downloads View citations (1)
    Also in A chapter in Seasonal Analysis of Economic Time Series, 1978, pp 281-308 (1978) Downloads View citations (12)

1977

  1. 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 Downloads View citations (1)

1976

  1. 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 Downloads
    See also Working Paper (1974)

1972

  1. 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 Downloads View citations (12)

Software Items

 
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