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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 institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.
| Working papers | Journal articles | Books | Chapters |

Working papers

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, Koc University-TUSIAD Economic Research Forum 1305, Koc University-TUSIAD Economic Research Forum.
  2. Viral V. Acharya & Robert Engle & Diane Pierret, 2013. "Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights," NBER Working Papers 18968, National Bureau of Economic Research, Inc.

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, School of Economics and Management, University of Aarhus.
  2. Robert Engle & Michael Fleming & Eric Ghysels & Giang Nguyen, 2012. "Liquidity, volatility, and flights to safety in the U.S. treasury market: evidence from a new class of dynamic order book models," Staff Reports, Federal Reserve Bank of New York 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. Jose Gonzalo Rangel & Robert F. Engle, 2009. "The Factor-Spline-GARCH Model for High and Low Frequency Correlations," Working Papers, Banco de México 2009-03, Banco de México.
  2. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2009. "Semiparametric vector MEM," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" wp2009_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  3. Robert F. Engle & José Gonzalo Rangel, 2009. "High and Low Frequency Correlations in Global Equity Markets," Working Papers, Banco de México 2009-17, Banco de México.

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, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" 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. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2007. "A Model for Multivariate Non-negative Valued Processes in Financial Econometrics," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" wp2007_16, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".

2006

  1. Robert Engle & Robert Ferstenberg, 2006. "Execution Risk," NBER Working Papers 12165, National Bureau of Economic Research, Inc.
  2. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2006. "Vector Multiplicative Error Models: Representation and Inference," NBER Working Papers 12690, National Bureau of Economic Research, Inc.
  3. Barone-Adesi, Giovanni & Engle, Robert & Mancini, Loriano, 2006. "GARCH Options in Incomplete Markets," CEI Working Paper Series, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University 2005-12, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.

2005

  1. Magdalena E. Sokalska & Ananda Chanda & Robert F. Engle, 2005. "High Frequency Multiplicative Component Garch," Computing in Economics and Finance 2005, Society for Computational Economics 409, Society for Computational Economics.
  2. Robert F. Engle & Jose Gonzalo Rangel, 2005. "The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes," Working Papers, Czech National Bank, Research Department 2005/13, Czech National Bank, Research Department.

2004

  1. Giovanni Barone-Adesi & Robert F. Engle & Loriano Mancini, 2004. "A GARCH Option Pricing Model in Incomplete Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute 07-03, Swiss Finance Institute, revised Feb 2007.
  2. Engle III, Robert F., 2004. "Autobiography," Nobel Prize in Economics documents, Nobel Prize Committee 2003-3, Nobel Prize Committee.

2003

  1. Robert F. Engle & Giampiero M. Gallo, 2003. "A Multiple Indicators Model for Volatility Using Intra-Daily Data," NBER Working Papers 10117, National Bureau of Economic Research, Inc.
  2. Sheppard, Kevin & Cappiello, Lorenzo & Engle, Robert F., 2003. "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series, European Central Bank 0204, European Central Bank.
  3. 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, Nobel Prize Committee 2003-5, Nobel Prize Committee.
  4. Engle III, Robert F., 2003. "Risk and Volatility: Econometric Models and Financial Practice," Nobel Prize in Economics documents, Nobel Prize Committee 2003-4, 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, EconWPA 0207017, EconWPA.

2001

  1. Robert F. Engle & Kevin Sheppard, 2001. "Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH," NBER Working Papers 8554, National Bureau of Economic Research, Inc.
  2. Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series, European Central Bank 0075, European Central Bank.

2000

  1. Robert Engle & Simone Manganelli, 2000. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 0841, Econometric Society.
  2. Joshua Rosenberg & Robert F. Engle, 2000. "Empirical Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 99-014, New York University, Leonard N. Stern School of Business-.
  3. Alfonso Dufour & Robert F Engle, 2000. "The ACD Model: Predictability of the Time Between Concecutive Trades," ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University icma-dp2000-05, Henley Business School, Reading University.
  4. Engle, Robert F, 2000. "Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego qt56j4143f, Department of Economics, UC San Diego.
  5. 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, Department of Economics, UC San Diego qt6dm6093f, Department of Economics, UC San Diego.

1999

  1. 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.
  2. Young-Hye Cho & Robert F. Engle, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," NBER Working Papers 7331, National Bureau of Economic Research, Inc.
  3. Robert F. Engle & Simone Manganelli, 1999. "CAViaR: Conditional Value at Risk by Quantile Regression," NBER Working Papers 7341, National Bureau of Economic Research, Inc.
  4. Simone Manganelli & Robert F. Engle, 1999. "Modeling a Time-Varying Order Statistic," Computing in Economics and Finance 1999, Society for Computational Economics 952, Society for Computational Economics.
  5. Dufour, Alfonso & Engle, Robert F, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego qt62c0h04j, Department of Economics, UC San Diego.

1998

  1. Jeffrey R. Russell & Robert F. Engle, 1998. "Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model," CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago 470, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  2. Engle, Robert F & Smith, Aaron, 1998. "Stochastic Permanent Breaks," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego qt99v0s0zx, Department of Economics, UC San Diego.
  3. Engle, Robert F, 1998. "Macroeconomic Announcements and Volatility of Treasury Futures," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego qt7rd4g3bk, Department of Economics, UC San Diego.
  4. Engle, Robert F & Lunde, Asger, 1998. "Trades and Quotes: A Bivariate Point Process," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego qt8bh079sq, 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. 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.
  2. 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.
  3. Robert F. Engle & Joao Victor Issler, 1993. "Estimating Sectoral Cycles Using Cointegration and Common Features," NBER Working Papers 4529, National Bureau of Economic Research, Inc.

1992

  1. Takatoshi Ito & Robert F. Engle & Wen-Ling Lin, 1992. "Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination," NBER Working Papers 3504, 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, Wisconsin Madison - Social Systems 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. 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, Pennsylvania State - Department of Economics 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, Minnesota - Center for Economic Research 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, Pennsylvania State - Department of Economics 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.
  4. Robert F. Engle & Takatoshi Ito & Wen-Ling Lin, 1988. "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market," NBER Working Papers 2609, 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," The Warwick Economics Research Paper Series (TWERPS) 156, University of Warwick, Department of Economics.
  2. Engle, Robert F & Hendry, David F & Richard, Jean-Francois, 1979. "Exogeneity," The Warwick Economics Research Paper Series (TWERPS) 162, University of Warwick, Department of Economics.

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, Massachusetts Institute of Technology (MIT), Department of Economics 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, Massachusetts Institute of Technology (MIT), Department of Economics 162, Massachusetts Institute of Technology (MIT), Department of Economics.

1974

  1. R. F. Engle, 1974. "Testing Price Equations for Stability Across Frequencies," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics 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, Massachusetts Institute of Technology (MIT), Department of Economics 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, Massachusetts Institute of Technology (MIT), Department of Economics 120, Massachusetts Institute of Technology (MIT), Department of Economics.
  3. R. F. Engle, 1973. "A Disequilibrium Model of Regional Investment," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics 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, Massachusetts Institute of Technology (MIT), Department of Economics 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, Massachusetts Institute of Technology (MIT), Department of Economics 89, Massachusetts Institute of Technology (MIT), Department of Economics.
  2. R. F. Engle, 1972. "Band Spectrum Regressions," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics 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, Massachusetts Institute of Technology (MIT), Department of Economics 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, Massachusetts Institute of Technology (MIT), Department of Economics 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, New York University, Leonard N. Stern School of Business- 96-24, New York University, Leonard N. Stern School of Business-.

Journal articles

Undated material is listed at the end

2014

  1. Engle, Robert & Mistry, Abhishek, 2014. "Priced risk and asymmetric volatility in the cross section of skewness," Journal of Econometrics, Elsevier, Elsevier, vol. 182(1), pages 135-144.

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. 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.
  2. Viral Acharya & Robert Engle & Matthew Richardson, 2012. "Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks," American Economic Review, American Economic Association, American Economic Association, vol. 102(3), pages 59-64, May.

2011

  1. Robert F. Engle, 2011. "Long-Term Skewness and Systemic Risk," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(3), pages 437-468, Summer.
  2. Colacito, Riccardo & Engle, Robert F. & Ghysels, Eric, 2011. "A component model for dynamic correlations," Journal of Econometrics, Elsevier, Elsevier, vol. 164(1), pages 45-59, September.
  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, 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, Taylor & Francis Journals, vol. 30(2), pages 212-228, July.

2010

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

2008

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

2006

  1. Engle, Robert F. & Gallo, Giampiero M., 2006. "A multiple indicators model for volatility using intra-daily data," Journal of Econometrics, Elsevier, Elsevier, vol. 131(1-2), pages 3-27.
  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, Elsevier, vol. 131(1-2), pages 1-2.
  3. 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, Elsevier, vol. 132(1), pages 7-42, May.
  4. Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006. "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(4), pages 537-572.
  5. Engle, Robert & Colacito, Riccardo, 2006. "Testing and Valuing Dynamic Correlations for Asset Allocation," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 24, pages 238-253, April.

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, American Statistical Association, vol. 23, pages 166-180, April.

2004

  1. Engle, Robert F. & Patton, Andrew J., 2004. "Impacts of trades in an error-correction model of quote prices," Journal of Financial Markets, Elsevier, Elsevier, vol. 7(1), pages 1-25, January.
  2. Robert Engle, 2004. "Risk and Volatility: Econometric Models and Financial Practice," American Economic Review, American Economic Association, American Economic Association, vol. 94(3), pages 405-420, June.
  3. Robert F. Engle & Simone Manganelli, 2004. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 22, pages 367-381, October.
  4. Robert Engle, 2004. "Robert F Engle: Understanding volatility as a process," Quantitative Finance, Taylor & Francis Journals, 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, Society for Financial Econometrics, 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, American Statistical Association, vol. 20(3), pages 339-50, July.
  2. Robert Engle, 2002. "New frontiers for arch models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 17(5), pages 425-446.
  3. Rosenberg, Joshua V. & Engle, Robert F., 2002. "Empirical pricing kernels," Journal of Financial Economics, Elsevier, Elsevier, vol. 64(3), pages 341-372, June.

2001

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

2000

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

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, Econometric Society, vol. 66(5), pages 1127-1162, September.

1997

  1. Vahid, Farshid & Engle, Robert F., 1997. "Codependent cycles," Journal of Econometrics, Elsevier, Elsevier, vol. 80(2), pages 199-221, October.
  2. 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, Elsevier, vol. 13(2), pages 161-174, June.
  3. 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, Elsevier, vol. 4(2-3), pages 187-212, 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 615-30, November.

1995

  1. Engle, Robert F. & Issler, Joao Victor, 1995. "Estimating common sectoral cycles," Journal of Monetary Economics, Elsevier, Elsevier, vol. 35(1), pages 83-113, February.
  2. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 11(01), pages 122-150, February.

1994

  1. Engle, Robert F, 1994. "Bayesian Analysis of Stochastic Volatility Models: Comment," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 12(4), pages 395-96, October.
  2. Lin, Wen-Ling & Engle, Robert F & Ito, Takatoshi, 1994. "Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 7(3), pages 507-38.
  3. Susmel, Raul & Engle, Robert F., 1994. "Hourly volatility spillovers between international equity markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 13(1), pages 3-25, February.

1993

  1. Engle, Robert F & Susmel, Raul, 1993. "Common Volatility in International Equity Markets," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 11(2), pages 167-76, April.
  2. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 11(4), pages 369-80, October.
  3. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features: Reply," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 11(4), pages 393-95, October.
  4. Bollerslev, Tim & Engle, Robert F, 1993. "Common Persistence in Conditional Variances," Econometrica, Econometric Society, Econometric Society, vol. 61(1), pages 167-86, January.
  5. Vahid, F & Engle, Robert F, 1993. "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 8(4), pages 341-60, Oct.-Dec..
  6. 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, Blackwell Publishing, vol. 25(3), pages 336-49, August.
  7. Engle, Robert F. & Hendry, David F., 1993. "Testing superexogeneity and invariance in regression models," Journal of Econometrics, Elsevier, 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, Elsevier, vol. 1(1), pages 83-106, June.
  9. Engle, R. F. & Granger, C. W. J. & Hylleberg, S. & Lee, H. S., 1993. "The Japanese consumption function," Journal of Econometrics, Elsevier, Elsevier, vol. 55(1-2), pages 275-298.
  10. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, American Finance Association, vol. 48(5), pages 1749-78, December.
  11. Robert F. Engle & João Victor Issler, 1993. "Common trends and common cycles in Latin America," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 47(2), pages 149-176, April.

1992

  1. 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, Elsevier, vol. 32(3-4), pages 221-240, May.
  2. Engle, Robert F. & Mustafa, Chowdhury, 1992. "Implied ARCH models from options prices," Journal of Econometrics, Elsevier, Elsevier, vol. 52(1-2), pages 289-311.
  3. 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, Elsevier, vol. 22(4), pages 619-635, November.
  4. Ng, Victor & Engle, Robert F. & Rothschild, Michael, 1992. "A multi-dynamic-factor model for stock returns," Journal of Econometrics, Elsevier, Elsevier, vol. 52(1-2), pages 245-266.
  5. 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.

1991

  1. Engle, Robert F & Gonzalez-Rivera, Gloria, 1991. "Semiparametric ARCH Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 9(4), pages 345-59, 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, Econometric Society, vol. 58(3), pages 525-42, May.
  2. Engle, Robert F, 1990. "Stock Volatility and the Crash of '87: Discussion," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 3(1), pages 103-06.
  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, Elsevier, vol. 45(1-2), pages 213-237.
  4. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, Elsevier, vol. 44(1-2), pages 215-238.

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, 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, Blackwell Publishing, vol. 20(3), pages 422-23, 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, University of Chicago Press, vol. 96(1), pages 116-31, February.

1987

  1. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 251-76, 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, 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, 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, Canadian Economics Association, vol. 18(1), pages 66-93, February.
  2. 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 341-46, May.
  3. Engle, Robert F. & Lilien, David M. & Watson, Mark, 1985. "A dymimic model of housing price determination," Journal of Econometrics, Elsevier, Elsevier, vol. 28(3), pages 307-326, June.

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, Elsevier, vol. 8(2), pages 151-165, November.

1983

  1. Engle, Robert F & Hendry, David F & Richard, Jean-Francois, 1983. "Exogeneity," Econometrica, Econometric Society, Econometric Society, vol. 51(2), pages 277-304, March.
  2. 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, Blackwell Publishing, vol. 15(3), pages 286-301, August.
  3. 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, Elsevier, vol. 23(3), pages 385-400, December.

1982

  1. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, 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, 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, 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, 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, Econometric Society, vol. 46(4), pages 869-81, July.

1976

  1. Engle, Robert F & Gardner, Roy, 1976. "Some Finite Sample Properties of Spectral Estimators of a Linear Regression," Econometrica, Econometric Society, Econometric Society, vol. 44(1), pages 149-65, January.
  2. Engle, Robert F, 1976. "Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment," Econometrica, Econometric Society, Econometric Society, vol. 44(3), pages 617-18, May.

1975

  1. 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, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 16(3), pages 625-47, October.

1974

  1. Engle, Robert F, 1974. "Specification of the Disturbance for Efficient Estimation," Econometrica, Econometric Society, Econometric Society, vol. 42(1), pages 135-46, January.
  2. 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, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 1-11, February.
  3. 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.

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, 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, Society for Financial Econometrics, 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, Oxford University Press, number 9780198296836, October.

1995

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

1991

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

1986

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

Chapters

1986

  1. Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics, Elsevier, 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, Elsevier, 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.

1979

  1. Robert F. Engle, 1979. "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, Vols. 1 and 2, pages 673-738 National Bureau of Economic Research, Inc.