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Publications

by members of

Volatility Institute
Stern School of Business
New York University (NYU)
New York City, New York (United States)

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Books | Chapters |

Working papers

2023

  1. Viral V Acharya & Richard Berner & Robert Engle & Hyeyoon Jung & Johannes Stroebel & Xuran Zeng & Yihao Zhao, 2023. "Climate Stress Testing," CESifo Working Paper Series 10345, CESifo.
    • Viral V. Acharya & Richard Berner & Robert F. Engle III & Hyeyoon Jung & Johannes Stroebel & Xuran Zeng & Yihao Zhao, 2023. "Climate Stress Testing," NBER Working Papers 31097, National Bureau of Economic Research, Inc.
    • Viral V. Acharya & Richard Berner & Robert Engle & Hyeyoon Jung & Johannes Stroebel & Xuran Zeng & Yihao Zhao, 2023. "Climate Stress Testing," Staff Reports 1059, Federal Reserve Bank of New York.
  2. Engle, Robert F. & Emambakhsh, Tina & Manganelli, Simone & Parisi, Laura & Pizzeghello, Riccardo, 2023. "Estimating systemic risk for non-listed euro-area banks," Working Paper Series 2856, European Central Bank.
  3. Robert Engle & Shan Ge & Hyeyoon Jung & Xuran Zeng, 2023. "Measuring the Climate Risk Exposure of Insurers," Staff Reports 1066, Federal Reserve Bank of New York.
  4. Gianluca De Nard & Robert F. Engle & Bryan Kelly, 2023. "Factor mimicking portfolios for climate risk," ECON - Working Papers 429, Department of Economics - University of Zurich, revised Mar 2024.

2021

  1. Acharya, Viral & Engle, Robert & Steffen, Sascha, 2021. "Why did bank stocks crash during COVID-19?," CEPR Discussion Papers 15901, C.E.P.R. Discussion Papers.
  2. Chavleishvili, Sulkhan & Engle, Robert F. & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021. "The risk management approach to macro-prudential policy," Working Paper Series 2565, European Central Bank.
  3. Richard Berner & Robert Engle & Hyeyoon Jung, 2021. "CRISK: Measuring the Climate Risk Exposure of the Financial System," Staff Reports 977, Federal Reserve Bank of New York.
  4. Christian Conrad & Robert F. Engle, 2021. "Modelling Volatility Cycles: The (MF)2 GARCH Model," Working Paper series 21-05, Rimini Centre for Economic Analysis.

2020

  1. Robert F. Engle & Susana Campos-Martins, 2020. "Measuring and Hedging Geopolitical Risk," NIPE Working Papers 08/2020, NIPE - Universidade do Minho.
  2. Gianluca De Nard & Robert F. Engle & Olivier Ledoit & Michael Wolf, 2020. "Large dynamic covariance matrices: enhancements based on intraday data," ECON - Working Papers 356, Department of Economics - University of Zurich, revised Jan 2022.

2019

  1. Robert Engle & Stefano Giglio & Heebum Lee & Bryan Kelly & Johannes Stroebel, 2019. "Hedging climate change news," CESifo Working Paper Series 7655, CESifo.

2017

  1. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017. "Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity," Econometrics Working Papers Archive 2017_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  2. Brownlees, Christian & Engle, Robert F., 2017. "SRISK: a conditional capital shortfall measure of systemic risk," ESRB Working Paper Series 37, European Systemic Risk Board.

2016

  1. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2016. "Copula--based Specification of vector MEMs," Papers 1604.01338, arXiv.org.
  2. Robert F. Engle & Olivier Ledoit & Michael Wolf, 2016. "Large dynamic covariance matrices," ECON - Working Papers 231, Department of Economics - University of Zurich, revised Apr 2017.

2014

  1. Acharya, Viral & Engle, Robert & Pierret, Diane, 2014. "Testing macroprudential stress tests: The risk of regulatory risk weights," LIDAM Reprints ISBA 2014022, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  2. Robert Engle & Emil Siriwardane, 2014. "Structural GARCH: The Volatility-Leverage Connection," Working Papers 14-07, Office of Financial Research, US Department of the Treasury.
  3. Yalincak, Orhun hakan, 2014. "Critical Analysis of Acquitted Conduct Sentencing in the U.S.: "Kafka-esque," "Repugnant," "Uniquely Malevolent" and "Pernicious"?," MPRA Paper 59143, University Library of Munich, Germany.

2013

  1. Turan G. Bali & Robert F. Engle & Yi Tang, 2013. "Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns," Koç University-TUSIAD Economic Research Forum Working Papers 1305, Koc University-TUSIAD Economic Research Forum.
  2. Yalincak, Orhun Hakan, 2013. "Freedom of Movement Rights of Turkish Nationals in the European Union," MPRA Paper 63158, University Library of Munich, Germany.

2012

  1. Robert F. Engle & Martin Klint Hansen & Asger Lunde, 2012. "And Now, The Rest of the News: Volatility and Firm Specific News Arrival," CREATES Research Papers 2012-56, Department of Economics and Business Economics, Aarhus University.
  2. Robert F. Engle & Eric Jondeau & Michael Rockinger, 2012. "Systemic Risk in Europe," Swiss Finance Institute Research Paper Series 12-45, Swiss Finance Institute.
  3. Robert Engle & Michael J. Fleming & Eric Ghysels & Giang Nguyen, 2012. "Liquidity and volatility in the U.S. treasury market," Staff Reports 590, Federal Reserve Bank of New York.

2010

  1. Arthur M. Berd & Robert F. Engle & Artem Voronov, 2010. "The Underlying Dynamics of Credit Correlations," Papers 1001.0786, arXiv.org.

2009

  1. Rangel José Gonzalo & Engle Robert F., 2009. "The Factor-Spline-GARCH Model for High and Low Frequency Correlations," Working Papers 2009-03, Banco de México.
  2. Engle Robert F. & Rangel José Gonzalo, 2009. "High and Low Frequency Correlations in Global Equity Markets," Working Papers 2009-17, Banco de México.
  3. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2009. "Semiparametric vector MEM," Econometrics Working Papers Archive wp2009_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  4. Yalincak, Hakan, 2009. "Understanding the Cyprus problem: a small chess piece on a huge board," MPRA Paper 40163, University Library of Munich, Germany.

2008

  1. Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi, 2008. "A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets," Econometrics Working Papers Archive wp2008_09, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  2. Neil Shephard & Kevin Sheppard & Robert F. Engle, 2008. "Fitting vast dimensional time-varying covariance models," Economics Series Working Papers 403, University of Oxford, Department of Economics.

2007

  1. Giovanni Barone-Adesi & Robert F. Engle & Loriano Mancini, 2007. "A GARCH Option Pricing Model in Incomplete Markets," Swiss Finance Institute Research Paper Series 07-03, Swiss Finance Institute.
  2. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2007. "A Model for Multivariate Non-negative Valued Processes in Financial Econometrics," Econometrics Working Papers Archive wp2007_16, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".

2006

  1. Fabrizio Cipollini & Robert F. Engle & Giampiero Gallo, 2006. "Vector Multiplicative Error Models: Representation and Inference," Econometrics Working Papers Archive wp2006_15, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  2. Barone-Adesi, Giovanni & Engle, Robert & Mancini, Loriano, 2006. "GARCH Options in Incomplete Markets," CEI Working Paper Series 2005-12, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
  3. Robert Engle & Robert Ferstenberg, 2006. "Execution Risk," NBER Working Papers 12165, National Bureau of Economic Research, Inc.

2005

  1. Robert F. Engle & Jose Gonzalo Rangel, 2005. "The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes," Working Papers 2005/13, Czech National Bank.
  2. Magdalena E. Sokalska & Ananda Chanda & Robert F. Engle, 2005. "High Frequency Multiplicative Component Garch," Computing in Economics and Finance 2005 409, Society for Computational Economics.
  3. Yalincak, Hakan & Li, Yu & Tong, Mike, 2005. "Examination of VaR after long term capital management," MPRA Paper 40152, University Library of Munich, Germany.
  4. Yalincak, Orhun Hakan, 2005. "Criticism of the Black-Scholes Model: But Why Is It Still Used? (The Answer Is Simpler than the Formula)," MPRA Paper 63208, University Library of Munich, Germany.

2004

  1. Engle III, Robert F., 2004. "Autobiography," Nobel Prize in Economics documents 2003-3, Nobel Prize Committee.

2003

  1. Cappiello, Lorenzo & Engle, Robert F. & Sheppard, Kevin, 2003. "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series 204, European Central Bank.
  2. Robert F. Engle & Giampiero M. Gallo, 2003. "A Multiple Indicators Model For Volatility Using Intra-Daily Data," Econometrics Working Papers Archive wp2003_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  3. Engle III, Robert F., 2003. "Risk and Volatility: Econometric Models and Financial Practice," Nobel Prize in Economics documents 2003-4, Nobel Prize Committee.
  4. Engle III, Robert F. & Granger, Clive W. J., 2003. "Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III," Nobel Prize in Economics documents 2003-5, Nobel Prize Committee.

2002

  1. David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2002. "Time-Varying Arrival Rates of Informed and Uninformed Trades," Finance 0207017, University Library of Munich, Germany.

2001

  1. Engle, Robert F & Sheppard, Kevin K, 2001. "Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH," University of California at San Diego, Economics Working Paper Series qt5s2218dp, Department of Economics, UC San Diego.
  2. Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 75, European Central Bank.

2000

  1. Engle, Robert F, 2000. "Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models," University of California at San Diego, Economics Working Paper Series qt56j4143f, Department of Economics, UC San Diego.
  2. Engle, Robert F & Patton, Andrew J, 2000. "Impacts of Trades in an Error-Correction Model of Quote Prices," University of California at San Diego, Economics Working Paper Series qt6dm6093f, Department of Economics, UC San Diego.
  3. Joshua Rosenberg & Robert F. Engle, 2000. "Empirical Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-014, New York University, Leonard N. Stern School of Business-.
  4. Alfonso Dufour & Robert F Engle, 2000. "The ACD Model: Predictability of the Time Between Concecutive Trades," ICMA Centre Discussion Papers in Finance icma-dp2000-05, Henley Business School, University of Reading.

1999

  1. Engle, Robert F & Manganelli, Simone, 1999. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," University of California at San Diego, Economics Working Paper Series qt06m3d6nv, Department of Economics, UC San Diego.
  2. Dufour, Alfonso & Engle, Robert F, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series qt62c0h04j, Department of Economics, UC San Diego.
  3. Engle, Robert F, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," University of California at San Diego, Economics Working Paper Series qt6rp7g17q, Department of Economics, UC San Diego.
  4. Young-Hye Cho & Robert F. Engle, 1999. "Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks," NBER Working Papers 7330, National Bureau of Economic Research, Inc.
  5. Robert F. Engle & Simone Manganelli, 1999. "CAViaR: Conditional Value at Risk by Quantile Regression," NBER Working Papers 7341, National Bureau of Economic Research, Inc.
  6. Simone Manganelli & Robert F. Engle, 1999. "Modeling a Time-Varying Order Statistic," Computing in Economics and Finance 1999 952, Society for Computational Economics.

1998

  1. Russell, Jeffrey & Engle, Robert F, 1998. "Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model," University of California at San Diego, Economics Working Paper Series qt00m2c5hk, Department of Economics, UC San Diego.
  2. Engle, Robert F, 1998. "Macroeconomic Announcements and Volatility of Treasury Futures," University of California at San Diego, Economics Working Paper Series qt7rd4g3bk, Department of Economics, UC San Diego.
  3. Engle, Robert F & Lunde, Asger, 1998. "Trades and Quotes: A Bivariate Point Process," University of California at San Diego, Economics Working Paper Series qt8bh079sq, Department of Economics, UC San Diego.
  4. Engle, Robert F & Smith, Aaron, 1998. "Stochastic Permanent Breaks," University of California at San Diego, Economics Working Paper Series qt99v0s0zx, Department of Economics, UC San Diego.

1997

  1. Robert F. Engle & Joe Lange, 1997. "Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market," NBER Working Papers 6129, National Bureau of Economic Research, Inc.
  2. Joshua V. Rosenberg & Robert F. Engle, 1997. "Option Hedging Using Empirical Pricing Kernels," NBER Working Papers 6222, National Bureau of Economic Research, Inc.

1996

  1. Robert F. Engle, 1996. "The Econometrics of Ultra-High Frequency Data," NBER Working Papers 5816, National Bureau of Economic Research, Inc.

1995

  1. Robert F. Engle & Joshua V. Rosenberg, 1995. "GARCH Gamma," NBER Working Papers 5128, National Bureau of Economic Research, Inc.

1994

  1. Engle, R. F. & Issler, João Victor, 1994. "Estimating sectoral cycles using cointegration and common features," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 232, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  2. Robert F. Engle & Joshua Rosenberg, 1994. "Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models," NBER Working Papers 4958, National Bureau of Economic Research, Inc.
  3. Robert F. Engle & Jeffrey R. Russell, 1994. "Forecasting Transaction Rates: The Autoregressive Conditional Duration Model," NBER Working Papers 4966, National Bureau of Economic Research, Inc.

1993

  1. Robert F. Engle & Alex Kane & Jaesun Noh, 1993. "Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts," NBER Working Papers 4519, National Bureau of Economic Research, Inc.
  2. Jaesun Noh & Robert F. Engle & Alex Kane, 1993. "A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts," NBER Working Papers 4520, National Bureau of Economic Research, Inc.

1991

  1. Lin, W.L. & Engle, R.F. & Ito, T., 1991. "Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns," Working papers 9121, Wisconsin Madison - Social Systems.
  2. Ray Chou & Robert F. Engle & Alex Kane, 1991. "Measuring Risk Aversion From Excess Returns on a Stock Index," NBER Working Papers 3643, National Bureau of Economic Research, Inc.
  3. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
  4. Robert F. Engle & Victor K. Ng, 1991. "Time-Varying Volatility and the Dynamic Behavior of the Term Structure," NBER Working Papers 3682, National Bureau of Economic Research, Inc.

1990

  1. Robert F. Engle & Sharon Kozicki, 1990. "Testing For Common Features," NBER Technical Working Papers 0091, National Bureau of Economic Research, Inc.
  2. Scott J. Brown & N. Edward Coulson & Robert F. Engle, 1990. "Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share," NBER Working Papers 3291, National Bureau of Economic Research, Inc.
  3. Robert F. Engle & Che-Hsiung Hong & Alex Kane, 1990. "Valuation of Variance Forecast with Simulated Option Markets," NBER Working Papers 3350, National Bureau of Economic Research, Inc.
  4. Takatoshi Ito & Robert F. Engle & Wen-Ling Lin, 1990. "Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination," NBER Working Papers 3504, National Bureau of Economic Research, Inc.
  5. Engle, R. & Hendry, D., 1990. "Testing Super Exogeneity And Invariance In Regression Models," Economics Series Working Papers 99100, University of Oxford, Department of Economics.

1989

  1. Engle, R.F. & Yoo, B.S., 1989. "Cointegrated Economic Time Series: A Survey With New Results," Papers 8-89-13, Pennsylvania State - Department of Economics.

1988

  1. Engel, R.F. & Ito, T. & Lin, W-L., 1988. "Meteor Showers Or Heat Wages? Heteroskedastic Intra-Daily Volatility In A The Foreign Exchange Market," Papers 246, Minnesota - Center for Economic Research.
  2. Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal Integration And Cointegration," Papers 0-88-2, Pennsylvania State - Department of Economics.
  3. Robert F. Engle & Victor Ng & Michael Rothschild, 1988. "Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills," NBER Technical Working Papers 0065, National Bureau of Economic Research, Inc.

1979

  1. Engle, Robert F., 1979. "A General Approach To The Construction Of Model Diagnostics Based Upon The Lagrange Multiplier Principle," Economic Research Papers 269054, University of Warwick - Department of Economics.
  2. Engle, Robert F. & Hendry, David F. & Richard, Jean-Francois, 1979. "Exogeneity," Economic Research Papers 269060, University of Warwick - Department of Economics.
    • Engle, Robert F & Hendry, David F & Richard, Jean-Francois, 1983. "Exogeneity," Econometrica, Econometric Society, vol. 51(2), pages 277-304, March.

1975

  1. K. Bradbury & R. Engle et al., 1975. "Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area," Working papers 160, Massachusetts Institute of Technology (MIT), Department of Economics.
  2. R. F. Engle, 1975. "Estimation of the Price Elasticity of Demand Facing Metropolitan Producers," Working papers 162, Massachusetts Institute of Technology (MIT), Department of Economics.

1974

  1. R. F. Engle, 1974. "Testing Price Equations for Stability Across Frequencies," Working papers 144, Massachusetts Institute of Technology (MIT), Department of Economics.
  2. Robert F. Engle, 1974. "Interpreting Spectral Analyses in Terms of Time-Domain Models," NBER Working Papers 0037, National Bureau of Economic Research, Inc.

1973

  1. R. F. Engle, 1973. "De Facto Discrimination in Residential Assessments: Boston," Working papers 119, Massachusetts Institute of Technology (MIT), Department of Economics.
  2. R. F. Engle, 1973. "Issues in the Specification of an Econometric Model of Metropolitan Growth," Working papers 120, Massachusetts Institute of Technology (MIT), Department of Economics.
  3. R. F. Engle, 1973. "A Disequilibrium Model of Regional Investment," Working papers 121, Massachusetts Institute of Technology (MIT), Department of Economics.
  4. R. F. Engle & R. Gardner, 1973. "Some Finite Sample Properties of Spectral Estimators of a Linear Regression," Working papers 122, Massachusetts Institute of Technology (MIT), Department of Economics.

1972

  1. R. Engle & D. Foley, 1972. "A Supply Function Model of Aggregate Investment," Working papers 89, Massachusetts Institute of Technology (MIT), Department of Economics.
  2. R. F. Engle, 1972. "Band Spectrum Regressions," Working papers 96, Massachusetts Institute of Technology (MIT), Department of Economics.

1971

  1. R. F. Engle, 1971. "The Specification of the Disturbance for Efficient Estimation," Working papers 76, Massachusetts Institute of Technology (MIT), Department of Economics.

1970

  1. R. E. Engle, 1970. "The Inconsistency of Distributed Lag Estimators Due to Misspecification by Time Aggregation," Working papers 63, Massachusetts Institute of Technology (MIT), Department of Economics.

1966

  1. Robert F. Engle & Joshua Rosenberg, 1966. "Testing the Volatility Term Structure Using Option Hedging Criteria," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-24, New York University, Leonard N. Stern School of Business-.

Journal articles

Undated material is listed at the end

2023

  1. Engle, Robert F. & Campos-Martins, Susana, 2023. "What are the events that shake our world? Measuring and hedging global COVOL," Journal of Financial Economics, Elsevier, vol. 147(1), pages 221-242.

2022

  1. De Nard, Gianluca & Engle, Robert F. & Ledoit, Olivier & Wolf, Michael, 2022. "Large dynamic covariance matrices: Enhancements based on intraday data," Journal of Banking & Finance, Elsevier, vol. 138(C).

2021

  1. Robert F Engle & Martin Klint Hansen & Ahmet K Karagozoglu & Asger Lunde, 2021. "News and Idiosyncratic Volatility: The Public Information Processing Hypothesis [A Theory of Intraday Patterns: Volume and Price Variability]," Journal of Financial Econometrics, Oxford University Press, vol. 19(1), pages 1-38.
  2. Cavit Pakel & Neil Shephard & Kevin Sheppard & Robert F. Engle, 2021. "Fitting Vast Dimensional Time-Varying Covariance Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(3), pages 652-668, July.

2020

  1. Nguyen, Giang & Engle, Robert & Fleming, Michael & Ghysels, Eric, 2020. "Liquidity and volatility in the U.S. Treasury market," Journal of Econometrics, Elsevier, vol. 217(2), pages 207-229.
  2. Robert F Engle & Stefano Giglio & Bryan Kelly & Heebum Lee & Johannes Stroebel, 2020. "Hedging Climate Change News," The Review of Financial Studies, Society for Financial Studies, vol. 33(3), pages 1184-1216.

2019

  1. Robert F. Engle & Tianyue Ruan, 2019. "Measuring the probability of a financial crisis," Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, vol. 116(37), pages 18341-18346, September.
  2. Robert F. Engle & Olivier Ledoit & Michael Wolf, 2019. "Large Dynamic Covariance Matrices," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(2), pages 363-375, April.
  3. Robert Engle & Marina Brogi & Nicola Cucari & Valentina Lagasio, 2019. "Environmental, social, governance: Implications for businesses and effects for stakeholders," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 26(6), pages 1627-1628, November.

2018

  1. Robert Engle, 2018. "Systemic Risk 10 Years Later," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 125-152, November.
  2. Orley Ashenfelter & Robert F. Engle & Daniel L. McFadden & Klaus Schmidt‐Hebbel, 2018. "Globalization: Contents And Discontents," Contemporary Economic Policy, Western Economic Association International, vol. 36(1), pages 29-43, January.
  3. Robert F. Engle & Emil N. Siriwardane, 2018. "Structural GARCH: The Volatility-Leverage Connection," The Review of Financial Studies, Society for Financial Studies, vol. 31(2), pages 449-492.

2017

  1. Engle, Robert & Roussellet, Guillaume & Siriwardane, Emil, 2017. "Scenario generation for long run interest rate risk assessment," Journal of Econometrics, Elsevier, vol. 201(2), pages 333-347.
  2. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017. "Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity," Econometrics, MDPI, vol. 5(2), pages 1-24, April.
  3. Turan G. Bali & Robert F. Engle & Yi Tang, 2017. "Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns," Management Science, INFORMS, vol. 63(11), pages 3760-3779, November.
  4. Christian Brownlees & Robert F. Engle, 2017. "SRISK: A Conditional Capital Shortfall Measure of Systemic Risk," The Review of Financial Studies, Society for Financial Studies, vol. 30(1), pages 48-79.

2016

  1. Robert F. Engle, 2016. "Dynamic Conditional Beta," Journal of Financial Econometrics, Oxford University Press, vol. 14(4), pages 643-667.

2015

  1. Robert Engle & Eric Jondeau & Michael Rockinger, 2015. "Systemic Risk in Europe," Review of Finance, European Finance Association, vol. 19(1), pages 145-190.
  2. Robert Engle & Stephen Figlewski, 2015. "Modeling the Dynamics of Correlations among Implied Volatilities," Review of Finance, European Finance Association, vol. 19(3), pages 991-1018.

2014

  1. Engle, Robert & Mistry, Abhishek, 2014. "Priced risk and asymmetric volatility in the cross section of skewness," Journal of Econometrics, Elsevier, vol. 182(1), pages 135-144.
  2. Acharya, Viral & Engle, Robert & Pierret, Diane, 2014. "Testing macroprudential stress tests: The risk of regulatory risk weights," Journal of Monetary Economics, Elsevier, vol. 65(C), pages 36-53.

2013

  1. Robert F. Engle & Eric Ghysels & Bumjean Sohn, 2013. "Stock Market Volatility and Macroeconomic Fundamentals," The Review of Economics and Statistics, MIT Press, vol. 95(3), pages 776-797, July.
  2. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2013. "Semiparametric Vector Mem," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(7), pages 1067-1086, November.

2012

  1. Viral Acharya & Robert Engle & Matthew Richardson, 2012. "Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks," American Economic Review, American Economic Association, vol. 102(3), pages 59-64, May.
  2. Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi, 2012. "Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 222-223, February.

2011

  1. Colacito, Riccardo & Engle, Robert F. & Ghysels, Eric, 2011. "A component model for dynamic correlations," Journal of Econometrics, Elsevier, vol. 164(1), pages 45-59, September.
  2. Robert F. Engle, 2011. "Long-Term Skewness and Systemic Risk," Journal of Financial Econometrics, Oxford University Press, vol. 9(3), pages 437-468, Summer.
  3. José Gonzalo Rangel & Robert F. Engle, 2011. "The Factor--Spline--GARCH Model for High and Low Frequency Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 109-124, May.
  4. Robert Engle & Bryan Kelly, 2011. "Dynamic Equicorrelation," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 212-228, July.

2010

  1. Bali, Turan G. & Engle, Robert F., 2010. "The intertemporal capital asset pricing model with dynamic conditional correlations," Journal of Monetary Economics, Elsevier, vol. 57(4), pages 377-390, May.
  2. Robert F. Engle, 2010. "Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis," Journal of Financial Econometrics, Oxford University Press, vol. 8(2), pages 158-159, spring.

2008

  1. David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2008. "Time-Varying Arrival Rates of Informed and Uninformed Trades," Journal of Financial Econometrics, Oxford University Press, vol. 6(2), pages 171-207, Spring.
  2. Robert F. Engle & Jose Gonzalo Rangel, 2008. "The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes," The Review of Financial Studies, Society for Financial Studies, vol. 21(3), pages 1187-1222, May.
  3. Giovanni Barone-Adesi & Robert F. Engle & Loriano Mancini, 2008. "A GARCH Option Pricing Model with Filtered Historical Simulation," The Review of Financial Studies, Society for Financial Studies, vol. 21(3), pages 1223-1258, May.

2006

  1. Engle, Robert & Colacito, Riccardo, 2006. "Testing and Valuing Dynamic Correlations for Asset Allocation," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 238-253, April.
  2. Diebold, F.X. & Engle, R.F. & Favero, C. & Gallo, G.M. & Schorfheide, F., 2006. "The econometrics of macroeconomics, finance, and the interface," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 1-2.
  3. Engle, Robert F. & Gallo, Giampiero M., 2006. "A multiple indicators model for volatility using intra-daily data," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 3-27.
  4. Engle, Robert F. & Marcucci, Juri, 2006. "A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones," Journal of Econometrics, Elsevier, vol. 132(1), pages 7-42, May.
  5. Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006. "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, Oxford University Press, vol. 4(4), pages 537-572.

2005

  1. Russell, Jeffrey R. & Engle, Robert F., 2005. "A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 166-180, April.

2004

  1. Robert Engle, 2004. "Risk and Volatility: Econometric Models and Financial Practice," American Economic Review, American Economic Association, vol. 94(3), pages 405-420, June.
  2. 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.
  3. Engle, Robert F. & Patton, Andrew J., 2004. "Impacts of trades in an error-correction model of quote prices," Journal of Financial Markets, Elsevier, vol. 7(1), pages 1-25, January.
  4. Robert Engle, 2004. "Robert F Engle: Understanding volatility as a process," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 19-20.

2003

  1. Robert F. Engle & Asger Lunde, 2003. "Trades and Quotes: A Bivariate Point Process," Journal of Financial Econometrics, Oxford University Press, vol. 1(2), pages 159-188.

2002

  1. Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-350, July.
  2. Rosenberg, Joshua V. & Engle, Robert F., 2002. "Empirical pricing kernels," Journal of Financial Economics, Elsevier, vol. 64(3), pages 341-372, June.
  3. Robert Engle, 2002. "New frontiers for arch models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 425-446.

2001

  1. Robert Engle, 2001. "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 157-168, Fall.
  2. Engle, Robert, 2001. "Financial econometrics - A new discipline with new methods," Journal of Econometrics, Elsevier, vol. 100(1), pages 53-56, January.
  3. Engle, Robert F. & Lange, Joe, 2001. "Predicting VNET: A model of the dynamics of market depth," Journal of Financial Markets, Elsevier, vol. 4(2), pages 113-142, April.
  4. R. F. Engle & A. J. Patton, 2001. "What good is a volatility model?," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 237-245.

2000

  1. Alfonso Dufour & Robert F. Engle, 2000. "Time and the Price Impact of a Trade," Journal of Finance, American Finance Association, vol. 55(6), pages 2467-2498, December.
  2. Robert F. Engle, 2000. "The Econometrics of Ultra-High Frequency Data," Econometrica, Econometric Society, vol. 68(1), pages 1-22, January.

1999

  1. Robert F. Engle & Aaron D. Smith, 1999. "Stochastic Permanent Breaks," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 553-574, November.

1998

  1. Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.

1997

  1. Vahid, Farshid & Engle, Robert F., 1997. "Codependent cycles," Journal of Econometrics, Elsevier, vol. 80(2), pages 199-221, October.
  2. Engle, Robert F. & Russell, Jeffrey R., 1997. "Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 187-212, June.
  3. Ramanathan, Ramu & Engle, Robert & Granger, Clive W. J. & Vahid-Araghi, Farshid & Brace, Casey, 1997. "Shorte-run forecasts of electricity loads and peaks," International Journal of Forecasting, Elsevier, vol. 13(2), pages 161-174, June.

1996

  1. Engle, Robert F & Hylleberg, Svend, 1996. "Common Seasonal Features: Global Unemployment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(4), pages 615-630, November.

1995

  1. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(1), pages 122-150, February.
  2. Engle, Robert F. & Issler, Joao Victor, 1995. "Estimating common sectoral cycles," Journal of Monetary Economics, Elsevier, vol. 35(1), pages 83-113, February.

1994

  1. Engle, Robert F, 1994. "Bayesian Analysis of Stochastic Volatility Models: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 395-396, October.
  2. Susmel, Raul & Engle, Robert F., 1994. "Hourly volatility spillovers between international equity markets," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 3-25, February.
  3. Lin, Wen-Ling & Engle, Robert F & Ito, Takatoshi, 1994. "Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 7(3), pages 507-538.

1993

  1. Engle, Robert F & Susmel, Raul, 1993. "Common Volatility in International Equity Markets," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 167-176, April.
  2. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 369-380, October.
  3. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 393-395, October.
  4. Engle, Robert F & Ng, Victor K, 1993. "Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-1778, December.
  5. Bollerslev, Tim & Engle, Robert F, 1993. "Common Persistence in Conditional Variances," Econometrica, Econometric Society, vol. 61(1), pages 167-186, January.
  6. Engle, R. F. & Granger, C. W. J. & Hylleberg, S. & Lee, H. S., 1993. "The Japanese consumption function," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 275-298.
  7. Engle, Robert F. & Hendry, David F., 1993. "Testing superexogeneity and invariance in regression models," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 119-139, March.
  8. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
  9. Engle, Robert F. & Issler, João Victor, 1993. "Common trends and common cycles in Latin America," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 47(2), April.
  10. Vahid, F & Engle, Robert F, 1993. "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 341-360, Oct.-Dec..
  11. Engle, Robert F & Ng, Victor K, 1993. "Time-Varying Volatility and the Dynamic Behavior of the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(3), pages 336-349, August.

1992

  1. Ng, Victor & Engle, Robert F. & Rothschild, Michael, 1992. "A multi-dynamic-factor model for stock returns," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 245-266.
  2. Engle, Robert F. & Mustafa, Chowdhury, 1992. "Implied ARCH models from options prices," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 289-311.
  3. Ito, Takatoshi & Engle, Robert F. & Lin, Wen-Ling, 1992. "Where does the meteor shower come from? : The role of stochastic policy coordination," Journal of International Economics, Elsevier, vol. 32(3-4), pages 221-240, May.
  4. Engle, Robert & Navarro, Peter & Carson, Richard, 1992. "On the theory of growth controls," Journal of Urban Economics, Elsevier, vol. 32(3), pages 269-283, November.
  5. Brown, Scott J. & Coulson, N. Edward & Engle, Robert F., 1992. "On the determination of regional base and regional base multipliers," Regional Science and Urban Economics, Elsevier, vol. 22(4), pages 619-635, November.

1991

  1. Engle, Robert F & Gonzalez-Rivera, Gloria, 1991. "Semiparametric ARCH Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(4), pages 345-359, October.

1990

  1. Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990. "Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 58(3), pages 525-542, May.
  2. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
  3. Engle, Robert F. & Ng, Victor K. & Rothschild, Michael, 1990. "Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 213-237.
  4. Engle, Robert F, 1990. "Stock Volatility and the Crash of '87: Discussion," The Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 103-106.

1989

  1. Engle, R. F. & Granger, C. W. J. & Hallman, J. J., 1989. "Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting," Journal of Econometrics, Elsevier, vol. 40(1), pages 45-62, January.

1988

  1. Engle, Robert F, 1988. "Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: Reply," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 20(3), pages 422-423, August.
  2. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-131, February.

1987

  1. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
  2. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
  3. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
  4. Coulson, N. Edward & Engle, Robert F., 1987. "Transportation costs and the rent gradient," Journal of Urban Economics, Elsevier, vol. 21(3), pages 287-297, May.

1985

  1. Robert F. Engle & David F. Hendry & David Trumble, 1985. "Small-Sample Properties of ARCH Estimators and Tests," Canadian Journal of Economics, Canadian Economics Association, vol. 18(1), pages 66-93, February.
  2. Engle, Robert F. & Lilien, David M. & Watson, Mark, 1985. "A dymimic model of housing price determination," Journal of Econometrics, Elsevier, vol. 28(3), pages 307-326, June.
  3. Watson, Mark W & Engle, Robert F, 1985. "Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative," The Review of Economics and Statistics, MIT Press, vol. 67(2), pages 341-346, May.

1984

  1. Engle, Robert F. & Granger, C. W. J. & Kraft, Dennis, 1984. "Combining competing forecasts of inflation using a bivariate arch model," Journal of Economic Dynamics and Control, Elsevier, vol. 8(2), pages 151-165, November.
  2. Train, Kenneth & Ignelzi, Patrice & Engle, Robert & Granger, Clive & Ramanathan, Ramu, 1984. "The billing cycle and weather variables in models of electricity sales," Energy, Elsevier, vol. 9(11), pages 1041-1047.

1983

  1. Engle, Robert F & Hendry, David F & Richard, Jean-Francois, 1983. "Exogeneity," Econometrica, Econometric Society, vol. 51(2), pages 277-304, March.
  2. Watson, Mark W. & Engle, Robert F., 1983. "Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models," Journal of Econometrics, Elsevier, vol. 23(3), pages 385-400, December.
  3. Engle, Robert F, 1983. "Estimates of the Variance of U.S. Inflation Based upon the ARCH Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 15(3), pages 286-301, August.

1982

  1. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  2. Engle, Robert F., 1982. "A general approach to lagrange multiplier model diagnostics," Journal of Econometrics, Elsevier, vol. 20(1), pages 83-104, October.

1980

  1. Engle, Robert F, 1980. "Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(2), pages 391-407, June.

1979

  1. Granger, Clive W. J. & Engle, Robert & Ramanathan, Ramu & Andersen, Allan, 1979. "Residential load curves and time-of-day pricing : An econometric analysis," Journal of Econometrics, Elsevier, vol. 9(1-2), pages 13-32, January.
  2. Engle, Robert F., 1979. "Estimation of the price elasticity of demand facing metropolitan producers," Journal of Urban Economics, Elsevier, vol. 6(1), pages 42-64, January.

1978

  1. Engle, Robert F, 1978. "Testing Price Equations for Stability across Spectral Frequency Bands," Econometrica, Econometric Society, vol. 46(4), pages 869-881, July.

1976

  1. Engle, Robert F & Gardner, Roy, 1976. "Some Finite Sample Properties of Spectral Estimators of a Linear Regression," Econometrica, Econometric Society, vol. 44(1), pages 149-165, January.
  2. Engle, Robert F, 1976. "Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment," Econometrica, Econometric Society, vol. 44(3), pages 617-618, May.

1975

  1. Robert F. Engle, 1975. "Policy Pills For A Metropolitan Economy," Papers in Regional Science, Wiley Blackwell, vol. 35(1), pages 191-205, January.
  2. Engle, Robert F & Foley, Duncan K, 1975. "An Asset Price Model of Aggregate Investment," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 16(3), pages 625-647, October.

1974

  1. Engle, Robert F, 1974. "Specification of the Disturbance for Efficient Estimation," Econometrica, Econometric Society, vol. 42(1), pages 135-146, January.
  2. Engle, Robert F., 1974. "Issues in the specification of an econometric model of metropolitan growth," Journal of Urban Economics, Elsevier, vol. 1(2), pages 250-267, April.
  3. Engle, Robert F, 1974. "Band Spectrum Regression," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 1-11, February.

1972

  1. Engle, Robert F, III, et al, 1972. "An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government," American Economic Review, American Economic Association, vol. 62(2), pages 87-97, May.

Undated

  1. Robert F. Engle & Magdalena E. Sokalska, 0. "Forecasting intraday volatility in the US equity market. Multiplicative component GARCH," Journal of Financial Econometrics, Oxford University Press, vol. 10(1), pages 54-83.

Books

1999

  1. Engle, Robert F. & White (the late), Halbert (ed.), 1999. "Cointegration, Causality, and Forecasting: Festschrift in Honour of Clive W. J. Granger," OUP Catalogue, Oxford University Press, number 9780198296836, Decembrie.

1995

  1. Engle, Robert F. (ed.), 1995. "ARCH: Selected Readings," OUP Catalogue, Oxford University Press, number 9780198774327, Decembrie.

1991

  1. Engle, R. F. & Granger, C. W. J. (ed.), 1991. "Long-Run Economic Relationships: Readings in Cointegration," OUP Catalogue, Oxford University Press, number 9780198283393, Decembrie.

1986

  1. R. F. Engle & D. McFadden (ed.), 1986. "Handbook of Econometrics," Handbook of Econometrics, Elsevier, edition 1, volume 4, number 4.

Chapters

2014

  1. Giovanni Barone Adesi & Robert F. Engle & Loriano Mancini, 2014. "A GARCH Option Pricing Model with Filtered Historical Simulation," Palgrave Macmillan Books, in: Giovanni Barone Adesi (ed.), Simulating Security Returns: A Filtered Historical Simulation Approach, chapter 4, pages 66-108, Palgrave Macmillan.

2013

  1. Viral V. Acharya & Christian Brownlees & Robert Engle & Farhang Farazmand & Matthew Richardson, 2013. "Measuring Systemic Risk," World Scientific Book Chapters, in: Oliviero Roggi & Edward I Altman (ed.), Managing and Measuring Risk Emerging Global Standards and Regulations After the Financial Crisis, chapter 3, pages 65-98, World Scientific Publishing Co. Pte. Ltd..

1986

  1. Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038, Elsevier.

1984

  1. Engle, Robert F., 1984. "Wald, likelihood ratio, and Lagrange multiplier tests in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 13, pages 775-826, Elsevier.

1980

  1. Robert F. Engle, 1980. "Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic," NBER Chapters, in: Evaluation of Econometric Models, pages 309-321, National Bureau of Economic Research, Inc.

1978

  1. Robert F. Engle, 1978. "Estimating Structural Models of Seasonality," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 281-308, National Bureau of Economic Research, Inc.

1977

  1. Katharine Bradbury & Robert Engle & Owen Irvine & Jerome Rothenberg, 1977. "Simultaneous Estimation of the Supply and Demand for Housing Location in a Multizoned Metropolitan Area," NBER Chapters, in: Residential Location and Urban Housing Markets, pages 51-92, National Bureau of Economic Research, Inc.

1976

  1. Robert F. Engle, 1976. "Interpreting Spectral Analyses in Terms of Time-Domain Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 1, pages 89-109, National Bureau of Economic Research, Inc.

1972

  1. Robert F. Engle & Ta-Chung Liu, 1972. "Effects of Aggregation Over Time on Dynamic Characteristics of an Econometric Model," NBER Chapters, in: Econometric Models of Cyclical Behavior, Volumes 1 and 2, pages 673-737, National Bureau of Economic Research, Inc.

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