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Publications

by members of

New York University (NYU) → Stern School of Business → Volatility Institute

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

2025

  1. Acharya, Viral & Engle, Robert & Wang, Olivier, 2025, "Strategic Commitments to Decarbonize: The Role of Large Firms, Common Ownership, and Governments," CEPR Discussion Papers, Centre for Economic Policy Research, number 20040, Mar.

2024

  1. Robert Engle & Shan Ge & Hyeyoon Jung & Xuran Zeng, 2024, "Physical Climate Risk and Insurers," Liberty Street Economics, Federal Reserve Bank of New York, number 20240403, Apr.

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, CESifo, number 10345.
    • Viral V. Acharya & Richard Berner & Robert Engle & Hyeyoon Jung & Johannes Stroebel & Xuran Zeng & Yihao Zhao, 2023, "Climate Stress Testing," Annual Review of Financial Economics, Annual Reviews, volume 15, issue 1, pages 291-326, November, DOI: 10.1146/annurev-financial-110921-10.
    • Viral V. Acharya & Richard Berner & Robert Engle & Hyeyoon Jung & Johannes Stroebel & Xuran Zeng & Yihao Zhao, 2023, "Climate Stress Testing," Staff Reports, Federal Reserve Bank of New York, number 1059, Apr.
    • Viral V. Acharya & Richard Berner & Robert F. Engle III & Hyeyoon Jung & Johannes Stroebel & Xuran Zeng & Yihao Zhao, 2023, "Climate Stress Testing," NBER Working Papers, National Bureau of Economic Research, Inc, number 31097, Apr.
  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, European Central Bank, number 2856, Oct.
  3. Robert Engle & Shan Ge & Hyeyoon Jung & Xuran Zeng, 2023, "Physical Climate Risk Factors and an Application to Measuring Insurers’ Climate Risk Exposure," Staff Reports, Federal Reserve Bank of New York, number 1066, Jul.
  4. Gianluca De Nard & Robert F. Engle & Bryan Kelly, 2023, "Factor mimicking portfolios for climate risk," ECON - Working Papers, Department of Economics - University of Zurich, number 429, Mar, revised Mar 2024.

2021

  1. Acharya, Viral & Engle, Robert & Steffen, Sascha, 2021, "Why did bank stocks crash during COVID-19?," CEPR Discussion Papers, Centre for Economic Policy Research, number 15901, Mar.
  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, European Central Bank, number 2565, Jun.
  3. Richard Berner & Robert Engle & Hyeyoon Jung, 2021, "CRISK: Measuring the Climate Risk Exposure of the Financial System," Staff Reports, Federal Reserve Bank of New York, number 977, Sep.

2020

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

2019

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

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, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2017_02, Apr.
  2. Brownlees, Christian & Engle, Robert F., 2017, "SRISK: a conditional capital shortfall measure of systemic risk," ESRB Working Paper Series, European Systemic Risk Board, number 37, Mar.

2016

  1. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2016, "Copula--based Specification of vector MEMs," Papers, arXiv.org, number 1604.01338, Apr.
  2. Robert F. Engle & Olivier Ledoit & Michael Wolf, 2016, "Large dynamic covariance matrices," ECON - Working Papers, Department of Economics - University of Zurich, number 231, Jul, 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, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2014022, Jan.
  2. Robert Engle & Emil Siriwardane, 2014, "Structural GARCH: The Volatility-Leverage Connection," Working Papers, Office of Financial Research, US Department of the Treasury, number 14-07, Oct.
  3. Yalincak, Orhun hakan, 2014, "Critical Analysis of Acquitted Conduct Sentencing in the U.S.: "Kafka-esque," "Repugnant," "Uniquely Malevolent" and "Pernicious"?," MPRA Paper, University Library of Munich, Germany, number 59143, Aug.

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, number 1305, Feb.
  2. Yalincak, Orhun Hakan, 2013, "Freedom of Movement Rights of Turkish Nationals in the European Union," MPRA Paper, University Library of Munich, Germany, number 63158, Sep.

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, Department of Economics and Business Economics, Aarhus University, number 2012-56, Dec.
  2. Robert F. Engle & Eric Jondeau & Michael Rockinger, 2012, "Systemic Risk in Europe," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-45, Dec.
  3. Robert Engle & Michael J. Fleming & Eric Ghysels & Giang Nguyen, 2012, "Liquidity and volatility in the U.S. treasury market," Staff Reports, Federal Reserve Bank of New York, number 590, Dec.

2010

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

2009

  1. Rangel José Gonzalo & Engle Robert F., 2009, "The Factor-Spline-GARCH Model for High and Low Frequency Correlations," Working Papers, Banco de México, number 2009-03, Feb.
  2. Engle Robert F. & Rangel José Gonzalo, 2009, "High and Low Frequency Correlations in Global Equity Markets," Working Papers, Banco de México, number 2009-17, Dec.
  3. 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", number wp2009_03, Feb.
  4. Yalincak, Hakan, 2009, "Understanding the Cyprus problem: a small chess piece on a huge board," MPRA Paper, University Library of Munich, Germany, number 40163, Sep.

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", number wp2008_09, Jun.
  2. Neil Shephard & Kevin Sheppard & Robert F. Engle, 2008, "Fitting vast dimensional time-varying covariance models," Economics Series Working Papers, University of Oxford, Department of Economics, number 403, Sep.

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, Swiss Finance Institute, number 07-03, Feb.
  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, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2007_16, Dec.

2006

  1. Fabrizio Cipollini & Robert F. Engle & Giampiero Gallo, 2006, "Vector Multiplicative Error Models: Representation and Inference," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2006_15, Oct.
  2. 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, number 2005-12, Mar.
  3. Robert Engle & Robert Ferstenberg, 2006, "Execution Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 12165, Apr.

2005

  1. 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 and Statistics Department, number 2005/13, Dec.
  2. Magdalena E. Sokalska & Ananda Chanda & Robert F. Engle, 2005, "High Frequency Multiplicative Component Garch," Computing in Economics and Finance 2005, Society for Computational Economics, number 409, Nov.
  3. Yalincak, Hakan & Li, Yu & Tong, Mike, 2005, "Examination of VaR after long term capital management," MPRA Paper, University Library of Munich, Germany, number 40152, May.
  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, University Library of Munich, Germany, number 63208.

2004

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

2003

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

2002

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

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, Department of Economics, UC San Diego, number qt5s2218dp, Sep.
  2. Engle, Robert F. & Manganelli, Simone, 2001, "Value at risk models in finance," Working Paper Series, European Central Bank, number 75, Aug.

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, Department of Economics, UC San Diego, number qt56j4143f, May.
  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, Department of Economics, UC San Diego, number qt6dm6093f, Aug.
  3. 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-, number 99-014, Jul.
  4. 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, University of Reading, number icma-dp2000-05, May.

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, Department of Economics, UC San Diego, number qt06m3d6nv, Oct.
  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, Department of Economics, UC San Diego, number qt62c0h04j, Jun.
  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, Department of Economics, UC San Diego, number qt6rp7g17q, Feb.
  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, National Bureau of Economic Research, Inc, number 7330, Sep.
  5. Robert F. Engle & Simone Manganelli, 1999, "CAViaR: Conditional Value at Risk by Quantile Regression," NBER Working Papers, National Bureau of Economic Research, Inc, number 7341, Sep.
  6. Simone Manganelli & Robert F. Engle, 1999, "Modeling a Time-Varying Order Statistic," Computing in Economics and Finance 1999, Society for Computational Economics, number 952, Mar.

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, Department of Economics, UC San Diego, number qt00m2c5hk, Apr.
  2. 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, number qt7rd4g3bk, Nov.
  3. 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, number qt8bh079sq, Mar.
  4. 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, number qt99v0s0zx, Jan.

1997

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

1996

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

1995

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

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), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 232, Mar.
  2. Robert F. Engle & Joshua Rosenberg, 1994, "Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 4958, Dec.
  3. Robert F. Engle & Jeffrey R. Russell, 1994, "Forecasting Transaction Rates: The Autoregressive Conditional Duration Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 4966, Dec.

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, National Bureau of Economic Research, Inc, number 4519, Nov.
  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, National Bureau of Economic Research, Inc, number 4520, Nov.

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, number 9121.
  2. Ray Chou & Robert F. Engle & Alex Kane, 1991, "Measuring Risk Aversion From Excess Returns on a Stock Index," NBER Working Papers, National Bureau of Economic Research, Inc, number 3643, Mar.
  3. Robert F. Engle & Victor K. Ng, 1991, "Measuring and Testing the Impact of News on Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 3681, Apr.
  4. Robert F. Engle & Victor K. Ng, 1991, "Time-Varying Volatility and the Dynamic Behavior of the Term Structure," NBER Working Papers, National Bureau of Economic Research, Inc, number 3682, Apr.

1990

  1. Robert F. Engle & Sharon Kozicki, 1990, "Testing For Common Features," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0091, Oct.
  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, National Bureau of Economic Research, Inc, number 3291, Mar.
  3. Robert F. Engle & Che-Hsiung Hong & Alex Kane, 1990, "Valuation of Variance Forecast with Simulated Option Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 3350, May.
  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, National Bureau of Economic Research, Inc, number 3504, Oct.
  5. Engle, R. & Hendry, D., 1990, "Testing Super Exogeneity And Invariance In Regression Models," Economics Series Working Papers, University of Oxford, Department of Economics, number 99100.

1989

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

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, number 246.
  2. Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988, "Seasonal Integration And Cointegration," Papers, Pennsylvania State - Department of Economics, number 0-88-2.
  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, National Bureau of Economic Research, Inc, number 0065, Nov.

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, number 160, Jul.
  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, number 162, Jul.

1974

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

1973

  1. R. F. Engle, 1973, "De Facto Discrimination in Residential Assessments: Boston," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics, number 119, Nov.
  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, number 120, Nov.
  3. R. F. Engle, 1973, "A Disequilibrium Model of Regional Investment," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics, number 121, Nov.
  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, number 122, Dec.

1972

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

1971

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

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, number 63, Oct.

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-, number 96-24, Apr.

Undated

  1. Engle, Robert F., undated, "A General Approach To The Construction Of Model Diagnostics Based Upon The Lagrange Multiplier Principle," Economic Research Papers, University of Warwick - Department of Economics, number 269054, DOI: 10.22004/ag.econ.269054.
  2. Engle, Robert F. & Hendry, David F. & Richard, Jean-Francois, undated, "Exogeneity," Economic Research Papers, University of Warwick - Department of Economics, number 269060, DOI: 10.22004/ag.econ.269060.

Journal articles

2026

  1. Chavleishvili, Sulkhan & Engle, Robert F. & Fahr, Stephan & Kremer, Manfred & Lund-Thomsen, Frederik & Manganelli, Simone & Schwaab, Bernd, 2026, "Macro-prudential policy under asymmetric risks: A Bayesian structural quantile VAR approach," Journal of Econometrics, Elsevier, volume 256, issue PB, DOI: 10.1016/j.jeconom.2026.106230.

2025

  1. Ding, Yi & Engle, Robert & Li, Yingying & Zheng, Xinghua, 2025, "Multiplicative factor model for volatility," Journal of Econometrics, Elsevier, volume 249, issue PB, DOI: 10.1016/j.jeconom.2025.105959.
  2. Jung, Hyeyoon & Engle, Robert F. & Berner, Richard, 2025, "CRISK: Measuring the climate risk exposure of the financial system," Journal of Financial Economics, Elsevier, volume 171, issue C, DOI: 10.1016/j.jfineco.2025.104076.
  3. Christian Conrad & Robert F. Engle, 2025, "Modelling Volatility Cycles: The MF2‐GARCH Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 40, issue 4, pages 438-454, June, DOI: 10.1002/jae.3118.
      Unknown

2024

  1. Engle, Robert F. & Emambakhsh, Tina & Manganelli, Simone & Parisi, Laura & Pizzeghello, Riccardo, 2024, "Estimating systemic risk for non-listed Euro-area banks," Journal of Financial Stability, Elsevier, volume 75, issue C, DOI: 10.1016/j.jfs.2024.101339.
  2. Viral V Acharya & Robert Engle & Maximilian Jager & Sascha Steffen, 2024, "Why Did Bank Stocks Crash during COVID-19?," The Review of Financial Studies, Society for Financial Studies, volume 37, issue 9, pages 2627-2684.
  3. Gianluca De Nard & Robert F. Engle & Bryan Kelly, 2024, "Factor-Mimicking Portfolios for Climate Risk," Financial Analysts Journal, Taylor & Francis Journals, volume 80, issue 3, pages 37-58, July, DOI: 10.1080/0015198X.2024.2332164.

2023

  1. Viral V. Acharya & Richard Berner & Robert Engle & Hyeyoon Jung & Johannes Stroebel & Xuran Zeng & Yihao Zhao, 2023, "Climate Stress Testing," Annual Review of Financial Economics, Annual Reviews, volume 15, issue 1, pages 291-326, November, DOI: 10.1146/annurev-financial-110921-10.
  2. 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, volume 147, issue 1, pages 221-242, DOI: 10.1016/j.jfineco.2022.09.009.

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, volume 138, issue C, DOI: 10.1016/j.jbankfin.2022.106426.

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, volume 19, issue 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, volume 39, issue 3, pages 652-668, July, DOI: 10.1080/07350015.2020.1713795.

2020

  1. Nguyen, Giang & Engle, Robert & Fleming, Michael & Ghysels, Eric, 2020, "Liquidity and volatility in the U.S. Treasury market," Journal of Econometrics, Elsevier, volume 217, issue 2, pages 207-229, DOI: 10.1016/j.jeconom.2019.12.002.
  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, volume 33, issue 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, volume 116, issue 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, volume 37, issue 2, pages 363-375, April, DOI: 10.1080/07350015.2017.1345683.
  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, volume 26, issue 6, pages 1627-1628, November, DOI: 10.1002/csr.1871.

2018

  1. Robert Engle, 2018, "Systemic Risk 10 Years Later," Annual Review of Financial Economics, Annual Reviews, volume 10, issue 1, pages 125-152, November, DOI: 10.1146/annurev-financial-110217-02.
  2. Orley Ashenfelter & Robert F. Engle & Daniel L. McFadden & Klaus Schmidt‐Hebbel, 2018, "Globalization: Contents And Discontents," Contemporary Economic Policy, Western Economic Association International, volume 36, issue 1, pages 29-43, January, DOI: 10.1111/coep.12237.
  3. Robert F. Engle & Emil N. Siriwardane, 2018, "Structural GARCH: The Volatility-Leverage Connection," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 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, volume 201, issue 2, pages 333-347, DOI: 10.1016/j.jeconom.2017.08.012.
  2. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017, "Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity," Econometrics, MDPI, volume 5, issue 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, volume 63, issue 11, pages 3760-3779, November, DOI: 10.1287/mnsc.2016.2536.
  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, volume 30, issue 1, pages 48-79.

2016

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

2015

  1. Robert Engle & Eric Jondeau & Michael Rockinger, 2015, "Systemic Risk in Europe," Review of Finance, European Finance Association, volume 19, issue 1, pages 145-190.
  2. Robert Engle & Stephen Figlewski, 2015, "Modeling the Dynamics of Correlations among Implied Volatilities," Review of Finance, European Finance Association, volume 19, issue 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, volume 182, issue 1, pages 135-144, DOI: 10.1016/j.jeconom.2014.04.013.
  2. Acharya, Viral & Engle, Robert & Pierret, Diane, 2014, "Testing macroprudential stress tests: The risk of regulatory risk weights," Journal of Monetary Economics, Elsevier, volume 65, issue C, pages 36-53, DOI: 10.1016/j.jmoneco.2014.04.014.

2013

  1. Robert F. Engle & Eric Ghysels & Bumjean Sohn, 2013, "Stock Market Volatility and Macroeconomic Fundamentals," The Review of Economics and Statistics, MIT Press, volume 95, issue 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., volume 28, issue 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, volume 102, issue 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, volume 94, issue 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, volume 164, issue 1, pages 45-59, September.
  2. Robert F. Engle, 2011, "Long-Term Skewness and Systemic Risk," Journal of Financial Econometrics, Oxford University Press, volume 9, issue 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, volume 30, issue 1, pages 109-124, May, DOI: 10.1080/07350015.2012.643132.
  4. Robert Engle & Bryan Kelly, 2011, "Dynamic Equicorrelation," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 2, pages 212-228, July, DOI: 10.1080/07350015.2011.652048.

2010

  1. Bali, Turan G. & Engle, Robert F., 2010, "The intertemporal capital asset pricing model with dynamic conditional correlations," Journal of Monetary Economics, Elsevier, volume 57, issue 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, volume 8, issue 2, pages 158-159, spring.

2009

  1. Viral V. Acharya & Menachem Brenner & Robert Engle & Anthony Lynch & Matthew Richardson, 2009, "Derivatives ‐ The Ultimate Financial Innovation," Financial Markets, Institutions & Instruments, John Wiley & Sons, volume 18, issue 2, pages 166-167, May, DOI: 10.1111/j.1468-0416.2009.00147_16.x.
  2. Viral V. Acharya & Robert Engle & Stephen Figlewski & Anthony Lynch & Marti Subrahmanyam, 2009, "Centralized Clearing for Credit Derivatives," Financial Markets, Institutions & Instruments, John Wiley & Sons, volume 18, issue 2, pages 168-170, May, DOI: 10.1111/j.1468-0416.2009.00147_17.x.

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, volume 6, issue 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, volume 21, issue 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, volume 21, issue 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, volume 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, volume 131, issue 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, volume 131, issue 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, volume 132, issue 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, volume 4, issue 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, volume 23, pages 166-180, April.

2004

  1. Robert Engle, 2004, "Risk and Volatility: Econometric Models and Financial Practice," American Economic Review, American Economic Association, volume 94, issue 3, pages 405-420, June, DOI: 10.1257/0002828041464597.
  2. Robert F. Engle & Simone Manganelli, 2004, "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Journal of Business & Economic Statistics, American Statistical Association, volume 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, volume 7, issue 1, pages 1-25, January.
  4. Robert Engle, 2004, "Robert F Engle: Understanding volatility as a process," Quantitative Finance, Taylor & Francis Journals, volume 4, issue 2, pages 19-20, DOI: 10.1080/14697680400000028.

2003

  1. Robert F. Engle & Asger Lunde, 2003, "Trades and Quotes: A Bivariate Point Process," Journal of Financial Econometrics, Oxford University Press, volume 1, issue 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, volume 20, issue 3, pages 339-350, July.
  2. Rosenberg, Joshua V. & Engle, Robert F., 2002, "Empirical pricing kernels," Journal of Financial Economics, Elsevier, volume 64, issue 3, pages 341-372, June.
  3. Robert Engle, 2002, "New frontiers for arch models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 17, issue 5, pages 425-446, DOI: 10.1002/jae.683.

2001

  1. Robert Engle, 2001, "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics," Journal of Economic Perspectives, American Economic Association, volume 15, issue 4, pages 157-168, Fall.
  2. Engle, Robert, 2001, "Financial econometrics - A new discipline with new methods," Journal of Econometrics, Elsevier, volume 100, issue 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, volume 4, issue 2, pages 113-142, April.
  4. R. F. Engle & A. J. Patton, 2001, "What good is a volatility model?," Quantitative Finance, Taylor & Francis Journals, volume 1, issue 2, pages 237-245, DOI: 10.1088/1469-7688/1/2/305.

2000

  1. Alfonso Dufour & Robert F. Engle, 2000, "Time and the Price Impact of a Trade," Journal of Finance, American Finance Association, volume 55, issue 6, pages 2467-2498, December, DOI: 10.1111/0022-1082.00297.
  2. Robert F. Engle, 2000, "The Econometrics of Ultra-High Frequency Data," Econometrica, Econometric Society, volume 68, issue 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, volume 81, issue 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, volume 66, issue 5, pages 1127-1162, September.

1997

  1. Vahid, Farshid & Engle, Robert F., 1997, "Codependent cycles," Journal of Econometrics, Elsevier, volume 80, issue 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, volume 4, issue 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, volume 13, issue 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, volume 58, issue 4, pages 615-630, November.

1995

  1. Engle, Robert F. & Kroner, Kenneth F., 1995, "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, volume 11, issue 1, pages 122-150, February.
  2. Engle, Robert F. & Issler, Joao Victor, 1995, "Estimating common sectoral cycles," Journal of Monetary Economics, Elsevier, volume 35, issue 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, volume 12, issue 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, volume 13, issue 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, volume 7, issue 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, volume 11, issue 2, pages 167-176, April.
  2. Engle, Robert F & Kozicki, Sharon, 1993, "Testing for Common Features," Journal of Business & Economic Statistics, American Statistical Association, volume 11, issue 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, volume 11, issue 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, volume 48, issue 5, pages 1749-1778, December.
  5. Bollerslev, Tim & Engle, Robert F, 1993, "Common Persistence in Conditional Variances," Econometrica, Econometric Society, volume 61, issue 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, volume 55, issue 1-2, pages 275-298.
  7. Engle, Robert F. & Hendry, David F., 1993, "Testing superexogeneity and invariance in regression models," Journal of Econometrics, Elsevier, volume 56, issue 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, volume 1, issue 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), volume 47, issue 2, April.
  10. Vahid, F & Engle, Robert F, 1993, "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 8, issue 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, volume 25, issue 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, volume 52, issue 1-2, pages 245-266.
  2. Engle, Robert F. & Mustafa, Chowdhury, 1992, "Implied ARCH models from options prices," Journal of Econometrics, Elsevier, volume 52, issue 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, volume 32, issue 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, volume 32, issue 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, volume 22, issue 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, volume 9, issue 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, volume 58, issue 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, volume 44, issue 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, volume 45, issue 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, volume 3, issue 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, volume 40, issue 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, volume 20, issue 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, volume 96, issue 1, pages 116-131, February, DOI: 10.1086/261527.

1987

  1. Engle, Robert F & Granger, Clive W J, 1987, "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, volume 55, issue 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, volume 55, issue 2, pages 391-407, March.
  3. Engle, Robert F. & Yoo, Byung Sam, 1987, "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, volume 35, issue 1, pages 143-159, May.
  4. Coulson, N. Edward & Engle, Robert F., 1987, "Transportation costs and the rent gradient," Journal of Urban Economics, Elsevier, volume 21, issue 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, volume 18, issue 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, volume 28, issue 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, volume 67, issue 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, volume 8, issue 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, volume 9, issue 11, pages 1041-1047, DOI: 10.1016/0360-5442(84)90042-2.

1983

  1. Engle, Robert F & Hendry, David F & Richard, Jean-Francois, 1983, "Exogeneity," Econometrica, Econometric Society, volume 51, issue 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, volume 23, issue 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, volume 15, issue 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, volume 50, issue 4, pages 987-1007, July.
  2. Engle, Robert F., 1982, "A general approach to lagrange multiplier model diagnostics," Journal of Econometrics, Elsevier, volume 20, issue 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, volume 21, issue 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, volume 9, issue 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, volume 6, issue 1, pages 42-64, January.

1978

  1. Engle, Robert F, 1978, "Testing Price Equations for Stability across Spectral Frequency Bands," Econometrica, Econometric Society, volume 46, issue 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, volume 44, issue 1, pages 149-165, January.
  2. Engle, Robert F, 1976, "Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment," Econometrica, Econometric Society, volume 44, issue 3, pages 617-618, May.

1975

  1. Robert F. Engle, 1975, "Policy Pills For A Metropolitan Economy," Papers in Regional Science, Wiley Blackwell, volume 35, issue 1, pages 191-205, January, DOI: 10.1111/j.1435-5597.1975.tb00955.x.
  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, volume 16, issue 3, pages 625-647, October.

1974

  1. Engle, Robert F, 1974, "Specification of the Disturbance for Efficient Estimation," Econometrica, Econometric Society, volume 42, issue 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, volume 1, issue 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, volume 15, issue 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, volume 62, issue 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, volume 10, issue 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, ISBN: ARRAY(0x81411558).

1995

  1. Engle, Robert F. (ed.), 1995, "ARCH: Selected Readings," OUP Catalogue, Oxford University Press, number 9780198774327, ISBN: ARRAY(0x82159410).

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, ISBN: ARRAY(0x80f3e410).

1986

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

Chapters

2014

  1. Giovanni Barone Adesi & Robert F. Engle & Loriano Mancini, 2014, "A GARCH Option Pricing Model with Filtered Historical Simulation," Palgrave Macmillan Books, Palgrave Macmillan, chapter 4, in: Giovanni Barone Adesi, "Simulating Security Returns: A Filtered Historical Simulation Approach", DOI: 10.1057/9781137465559_4.

2013

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

1986

  1. Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986, "Arch models," Handbook of Econometrics, Elsevier, chapter 49, in: R. F. Engle & D. McFadden, "Handbook of Econometrics".

1984

  1. Engle, Robert F., 1984, "Wald, likelihood ratio, and Lagrange multiplier tests in econometrics," Handbook of Econometrics, Elsevier, chapter 13, in: Z. Griliches† & M. D. Intriligator, "Handbook of Econometrics".

1980

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

1978

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

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, National Bureau of Economic Research, Inc, "Residential Location and Urban Housing Markets".

1976

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

1972

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

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