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Browsing by Author Engle, Robert F.

Showing results 4 to 19 of 19
Issue DateTitleAuthor(s)
Apr-2000FINANCIAL ECONOMETRICS – A NEW DISCIPLINE WITH NEW METHODSEngle, Robert F.
4-Oct-2007Fitting and testing vast dimensional time-varying covariance modelsEngle, Robert F.; Shephard, Neil; Sheppard, Kevin
2-Aug-2005High Frequency Multiplicative Component GARCHEngle, Robert F.; Sokalska, Magdalena E.; Chanda, Ananda
22-Aug-2000IMPACTS OF TRADES IN AN ERROR-CORRECTION MODEL OF QUOTE PRICESEngle, Robert F.; Patton, Andrew J.
2007Investigating ICAPM with Dynamic Conditional CorrelationsBali, Turan G.; Engle, Robert F.
May-2001Large Scale Conditional Covariance Matrix Modeling, Estimation and TestingDing, Zhuanxin; Engle, Robert F.
May-2001Large Scale Conditional Covariance Matrix Modeling, Estimation and TestingDing, Ding; Engle, Robert F.
12-Oct-2003A Multiple Indicators Model For Volatility Using Intra-Daily DataEngle, Robert F.; Gallo, Giampiero M.
12-Aug-2005The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic CausesEngle, Robert F.; Rangel, J. Gonzalo
Mar-1998Testing the volatility term structure using option hedging criteriaEngle, Robert F.; Rosenberg, Joshua V.
Jan-1997Testing the Volatility Term Structure Using Option Hedging CriteriaEngle, Robert F.; Rosenberg, Joshua V.
9-Nov-2001Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCHEngle, Robert F.; Sheppard, Kevin
9-Nov-2001Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCHEngle, Robert F.; Sheppard, Kevin
Oct-2006Vector Multiplicative Error Models: Representation and InferenceCipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M.
29-Jan-2001WHAT GOOD IS A VOLATILITY MODEL?Engle, Robert F.; Patton, Andrew J.
26-May-2008WHAT GOOD IS A VOLATILITY MODEL?Engle, Robert F.; Patton, Andrew J.
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