NBER Working Papers by Robert F. Engle, III

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

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

Published: Engle, Robert and Robert Ferstenberg. “Execution Risk.” Journal of Portfolio Management 33, 2 (Winter 2007): 34-45.

November 2003A 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 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

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 1997Option 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 1997Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market
with Joe Lange: w6129
November 1996The Econometrics of Ultra-High Frequency Data

Published: Econometrica, Vol. 68 (2000): 1-22. citation courtesy of

May 1995GARCH 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 1994Hedging 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 1993Index-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 1992Where 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 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

Published: Review of Financial Studies, Volume 7, Number 3. pp 507-538. (1994)

April 1991Measuring 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 1991Measuring 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 1990Testing For Common Features
with Sharon Kozicki: t0091

Published: Journal of Business & Economic Statistics, 1993, vol. 11, issue 4, pages 369-80

May 1990Valuation 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 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

Published: Journal of Econometrics, Vol. 45, No. 1/2, pp. 213-237, (July/August 1990).

June 1988Meteor 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

April 1974Interpreting Spectral Analyses in Terms of Time-Domain Models


Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

NBER Videos

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email:

Contact Us