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Engle, Robert F. Sudoc [ABES], France ISNI National Library of the Netherlands NUKAT Center of Warsaw University Library National Library of France National Library of Latvia

Engle, R. F. (Robert F.) National Library of Australia National Library of the Czech Republic Library of Congress/NACO National Library of Sweden

Robert F. Engle American statistician Wikidata

Engle, Robert F. 1942- German National Library

VIAF ID: 188864149 (Personal)

Permalink: http://viaf.org/viaf/188864149

ISNI: 0000  0003  8528  1683 

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Title Sources
Anticipating correlations : a new paradigm for risk management National Library of the Netherlands National Library of the Czech Republic Library of Congress/NACO NUKAT Center of Warsaw University Library Sudoc [ABES], France
Arch models in finance National Library of the Netherlands Sudoc [ABES], France German National Library
ARCH : selected readings NUKAT Center of Warsaw University Library National Library of the Netherlands Sudoc [ABES], France Library of Congress/NACO
Asymmetric dynamics in the correlations of global equity and bond returns German National Library
CAViaR National Library of the Netherlands
CAViaR: conditional value at risk by quantile regression National Library of the Netherlands
Cointegration, causality, and forecasting : a festschrift in honour of Clive W.J. Granger Library of Congress/NACO NUKAT Center of Warsaw University Library Sudoc [ABES], France National Library of France National Library of Latvia
Do bulls and bears move across borders? : international transmission of stock returns and volatility as the world turns National Library of the Netherlands
The econometrics of ultra-high frequency data, 1996: National Library of Sweden
Économétrie des fondements à la modélisation Sudoc [ABES], France
Estimating sectorial cycles using cointegration and common features National Library of the Netherlands
Execution risk National Library of the Netherlands
Forecasting transaction rates : the autoregressive conditional duration model National Library of the Netherlands
Garch gamma National Library of the Netherlands
A General approach to the construction of model diagnostics based upon the Lagrange multiplier principle Sudoc [ABES], France
Handbook of econometrics. NUKAT Center of Warsaw University Library National Library of the Netherlands Sudoc [ABES], France Library of Congress/NACO
Hedging options in a garch environment testing the term structure of stochastic volatility models National Library of the Netherlands
Long-run economic relationships : readings in cointegration National Library of Australia NUKAT Center of Warsaw University Library Library of Congress/NACO German National Library National Library of the Netherlands Sudoc [ABES], France National Library of France
Measuring and testing the impact of news on volatility, 1992: National Library of Australia National Library of the Netherlands Library of Congress/NACO German National Library
Measuring, forecasting and explaining time varying liquidity in the stock market National Library of the Netherlands
Measuring risk aversion from excess returns on a stock index National Library of the Netherlands
Modeling the impacts of market activity on bid-ask spreads in the option market National Library of the Netherlands
A multi-dynamic-factor model for stock returns, 1991: National Library of Australia Library of Congress/NACO
A multiple indicators model for volatility using intra-daily data National Library of the Netherlands
Non-cointegration and econometric evaluation of models of regional shift and share National Library of the Netherlands
Option hedging using empirical pricing kernels National Library of the Netherlands
A Small affair. Library of Congress/NACO
The spline GARCH model for unconditional volatility and its global macroeconomic causes National Library of the Czech Republic
Technical capabilities necessary for regulation of systemic financial risk summary of a workshop National Library of the Czech Republic
Testing Macroprudential Stress Tests The Risk of Regulatory Risk Weights National Library of the Netherlands Library of Congress/NACO
Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH National Library of the Netherlands
Time-varying betas and asymmetric effects of news : empirical analysis of blue chip stocks National Library of the Netherlands
Time-varying volatility and the dynamic behavior of the term structure National Library of the Netherlands
Trygve Haavelmo, James J. Heckman, Daniel L. McFadden, Robert F. Engle and Clive W. J. Granger NUKAT Center of Warsaw University Library
Valuation of variance forecasts with simulated option markets National Library of the Netherlands
Vector multiplicative error models representation and inference Library of Congress/NACO
Where does the meteor shower come from? : the role of stochastic policy coordination National Library of the Netherlands

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