NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Robert F. Engle, III

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Working Papers

April 2013Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights
with Viral V. Acharya, Diane Pierret: w18968
November 2006Vector 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 2006Execution Risk
with Robert Ferstenberg: w12165
November 2003A Multiple Indicators Model for Volatility Using Intra-Daily Data
with Giampiero M. Gallo: w10117
October 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH
with Kevin Sheppard: w8554
September 1999Time-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
October 1997Option Hedging Using Empirical Pricing Kernels
with Joshua V. Rosenberg: w6222
August 1997Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market
with Joe Lange: w6129
November 1996The Econometrics of Ultra-High Frequency Data
w5816
May 1995GARCH Gamma
with Joshua V. Rosenberg: w5128
December 1994Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models
with Joshua Rosenberg: w4958
Forecasting Transaction Rates: The Autoregressive Conditional Duration Model
with Jeffrey R. Russell: w4966
November 1993Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts
with Alex Kane, Jaesun Noh: w4519
A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts
with Jaesun Noh, Alex Kane: w4520
Estimating Sectoral Cycles Using Cointegration and Common Features
with Joao Victor Issler: w4529
September 1992Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination
with Takatoshi Ito, Wen-Ling Lin: w3504
November 1991Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns
with Wen-Ling Lin, Takatoshi Ito: w3911
April 1991Measuring and Testing the Impact of News on Volatility
with Victor K. Ng: w3681
Time-Varying Volatility and the Dynamic Behavior of the Term Structure
with Victor K. Ng: w3682
March 1991Measuring Risk Aversion From Excess Returns on a Stock Index
with Ray Chou, Alex Kane: w3643
October 1990Testing For Common Features
with Sharon Kozicki: t0091
May 1990Valuation of Variance Forecast with Simulated Option Markets
with Che-Hsiung Hong, Alex Kane: w3350
March 1990Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share
with Scott J. Brown, N. Edward Coulson: w3291
November 1988Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills
with Victor Ng, Michael Rothschild: t0065
June 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market
with Takatoshi Ito, Wen-Ling Lin: w2609
April 1974Interpreting Spectral Analyses in Terms of Time-Domain Models
w0037

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