NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

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
w5816

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
w0037

Published:

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