|April 2013||Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights|
with Viral V. Acharya, Diane Pierret: w18968
|November 2006||Vector Multiplicative Error Models: Representation and Inference|
with Fabrizio Cipollini, Giampiero M. Gallo: t0331
|Vector Multiplicative Error Models: Representation and Inference|
with Fabrizio Cipollini, Giampiero M. Gallo: w12690
|April 2006||Execution Risk|
with Robert Ferstenberg: w12165
Published: Engle, Robert and Robert Ferstenberg. “Execution Risk.” Journal of Portfolio Management 33, 2 (Winter 2007): 34-45.
|November 2003||A Multiple Indicators Model for Volatility Using Intra-Daily Data|
with Giampiero M. Gallo: w10117
Published: Engle, Robert F. and Gaimpiero M. Gallo. "A Multiple Indicators Model For Volatility Using Intra-Daily Data," Journal of Econometrics, 2006, v131(1-2,Mar-Apr), 3-27. citation courtesy of
|October 2001||Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH|
with Kevin Sheppard: w8554
|September 1999||Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks|
with Young-Hye Cho: w7330
|Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market|
with Young-Hye Cho: w7331
|CAViaR: Conditional Value at Risk by Quantile Regression|
with Simone Manganelli: w7341
Published: Robert F. Engle & Simone Manganelli, 2004. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 367-381, October.
|October 1997||Option Hedging Using Empirical Pricing Kernels|
with Joshua V. Rosenberg: w6222
Published: Rosenberg, Joshua V. and Robert F. Engle. "Empirical Pricing Kernels," Journal of Financial Economics, 2002, v64(3,Jun), 341-372.
|August 1997||Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market|
with Joe Lange: w6129
|November 1996||The Econometrics of Ultra-High Frequency Data|
Published: Econometrica, Vol. 68 (2000): 1-22. citation courtesy of
|May 1995||GARCH Gamma|
with Joshua V. Rosenberg: w5128
Published: Robert F . Engle Joshua V . Rosenberg. "GARCH Gamma" Journal of Derivatives, Summer 1995, Vol. 2, No. 4: pp. 47-59
|December 1994||Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models|
with Joshua Rosenberg: w4958
Published: Published as "Bayesian Analysis of Stochastic Volatility Models: Comment", JBES, Vol. 12, no. 4 (1994): 395-396.
|Forecasting Transaction Rates: The Autoregressive Conditional Duration Model|
with Jeffrey R. Russell: w4966
Published: (Published as "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Tranaction Rates") Econometrica, Vol. 66 (1998): 1127-1162.
|November 1993||Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts|
with Alex Kane, Jaesun Noh: w4519
Published: Review of Derivatives Research, Volume 1, Number 2, 1996 , pp. 139-157
|A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts|
with Jaesun Noh, Alex Kane: w4520
Published: (Published as "Forecasting Volatility and Option Prices of the S & P 500 Index") Journal of Derivatives, Vol. 2 (1994): 17-30.
|Estimating Sectoral Cycles Using Cointegration and Common Features|
with Joao Victor Issler: w4529
Published: (Published as "Estimating Common Sectoral Cycles") Journal of Monetary Economics, Vol. 35 (1995): 83-113.
|September 1992||Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination|
with Takatoshi Ito, Wen-Ling Lin: w3504
Published: Journal of International Economics, Vol. 32, pp. 221-240 (1992). citation courtesy of
|November 1991||Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns|
with Wen-Ling Lin, Takatoshi Ito: w3911
Published: Review of Financial Studies, Volume 7, Number 3. pp 507-538. (1994)
|April 1991||Measuring and Testing the Impact of News on Volatility|
with Victor K. Ng: w3681
Published: Journal of Finance, 1993, vol. 48, issue 5, pages 1749-78 citation courtesy of
|Time-Varying Volatility and the Dynamic Behavior of the Term Structure|
with Victor K. Ng: w3682
Published: Journal of Money, Credit and Banking, 1993, vol. 25, issue 3, pages 336-49. citation courtesy of
|March 1991||Measuring Risk Aversion From Excess Returns on a Stock Index|
with Ray Chou, Alex Kane: w3643
Published: Journal of Econometrics, vol. 52, pp. 201-224, 1992
|October 1990||Testing For Common Features|
with Sharon Kozicki: t0091
Published: Journal of Business & Economic Statistics, 1993, vol. 11, issue 4, pages 369-80
|May 1990||Valuation of Variance Forecast with Simulated Option Markets|
with Che-Hsiung Hong, Alex Kane: w3350
Published: Robert Engle, Che-Hsuing Hong, Alex Kane, and Jaesun Noh, "Arbitrage Valuation of Variance Forecasts with Simulated Options," Advances in Futures and Options Research, Vol. 6, 1992, pp. 393-416.
|March 1990||Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share|
with Scott J. Brown, N. Edward Coulson: w3291
|November 1988||Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills|
with Victor Ng, Michael Rothschild: t0065
Published: Journal of Econometrics, Vol. 45, No. 1/2, pp. 213-237, (July/August 1990).
|June 1988||Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market|
with Takatoshi Ito, Wen-Ling Lin: w2609
Published: Econometrica 1990, Vol. 58, No. 3, pp. 525-542, (May 1990). citation courtesy of
|1980||Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic|
in Evaluation of Econometric Models, Jan Kmenta and James B. Ramsey, eds.
|1979||Estimating Structural Models of Seasonality|
in Seasonal Analysis of Economic Time Series, Arnold Zellner, ed.
|1976||Interpreting Spectral Analyses in Terms of Time-Domain Models|
in Annals of Economic and Social Measurement, Volume 5, number 1, Sanford V. Berg, editor
|April 1974||Interpreting Spectral Analyses in Terms of Time-Domain Models|