Engle, Robert F.
Engle, Robert F., 1942-....
Engle, R. F. (Robert F.)
Robert F. Engle
Engle, R. F.
אנגל, רוברט
Engle, R. F. (Robert F.), 1942-
Engle, Robert
VIAF ID: 188864149 ( Personal )
Permalink: http://viaf.org/viaf/188864149
Preferred Forms
- 200 _ | ‡a Engle ‡b Robert F.
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- 100 1 _ ‡a Engle, R. F. ‡q (Robert F.)
- 100 1 _ ‡a Engle, R. F. ‡q (Robert F.)
- 100 1 _ ‡a Engle, R. F. ‡q (Robert F.)
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- 100 1 _ ‡a Engle, Robert F.
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- 100 1 _ ‡a Engle, Robert F. ‡d 1942-
- 100 1 _ ‡a Engle, Robert F. ‡d 1942-...
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- 100 1 _ ‡a Engle, Robert F., ‡d 1942-....
- 100 0 _ ‡a Robert F. Engle
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4xx's: Alternate Name Forms (64)
5xx's: Related Names (11)
- 510 2 _ ‡a Leonard N. Stern School of Business
- 510 2 _ ‡a Leonard N. Stern School of Business ‡4 affi ‡4 http://d-nb.info/standards/elementset/gnd#affiliation ‡e Affiliation
- 510 2 _ ‡a National Bureau of Economic Research
- 510 2 _ ‡a National Bureau of Economic Research (NBER)
- 510 2 _ ‡a National Bureau of Economic Research ‡4 affi ‡4 http://d-nb.info/standards/elementset/gnd#affiliation ‡e Affiliation
- 510 2 _ ‡a New York University (NYU) / Stern School of Business / Finance Department
- 510 2 _ ‡a New York University (NYU) / Stern School of Business / Volatility Institute
- 551 _ _ ‡a Syracuse, NY ‡4 ortg ‡4 http://d-nb.info/standards/elementset/gnd#placeOfBirth
- 510 2 _ ‡a University of California, San Diego ‡b Department of Economics
- 510 2 _ ‡a University of California, San Diego ‡b Department of Economics ‡4 affi ‡4 http://d-nb.info/standards/elementset/gnd#affiliation ‡e Affiliation
- 510 2 _ ‡a ebrary, Inc
Works
Title | Sources |
---|---|
Anticipating correlations : a new paradigm for risk management | |
Arch : selected readings | |
Asset pricing with a factor arch covariance structure : empirical estimates for treasury bills | |
Asymmetric dynamics in the correlations of global equity and bond returns | |
CAViaR : conditional autoregressive value-at-Risk by regression quantiles | |
Cointegration, causality, and forecasting : a festschrift in honour of Clive W.J. Granger | |
Common seasonal features : global unemployment | |
Do bulls and bears move across borders? : international transmission of stock returns and volatility as the world turns | |
The econometrics of ultra-high frequency data, 1996: | |
Économétrie : des fondements à la modélisation | |
Empirical Asset Pricing The Cross Section of Stock Returns | |
Estimating sectoral cycles using cointegration and common features | |
Execution risk | |
Forecasting transaction rates : the autoregressive conditional duration model | |
A General approach to the construction of model diagnostics based upon the Lagrange multiplier principle | |
Handbook of econometrics. | |
Long-run economic relationships : readings in cointegration | |
Long-run economics realtionships / R. F. Engle, C. W. J. Granger. - Oxford, 1991. | |
Measuring and testing the impact of news on volatility | |
Measuring, forecasting and explaining time varying liquidity in the stock market | |
Measuring risk aversion from excess returns on a stock index | |
Meteor showers or heat waves? heterroskedastic intra-daily volatility in the foreign exchange market | |
A multi-dynamic-factor model for stock returns, 1991: | |
A multiple indicators model for volatility using intra-daily data | |
Nobel 2003 w naukach ekonomicznych | |
Non-cointegration and econometric evaluation of models of regional shift and share | |
Option hedging using empirical pricing kernels | |
Risk and volatility : econometric models and financial practice | |
Seasonal cointegration : the Japanes consumption function 1961.1-1987.4 | |
A Small affair. | |
The spline GARCH model for unconditional volatility and its global macroeconomic causes | |
Technical capabilities necessary for regulation of systemic financial risk summary of a workshop | |
Testing macroprudential stress tests, April 2013: | |
Testing the volatility term structure using option hedging criteria | |
Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH | |
Time-varying volatility and the dynamic behavior of the term structure | |
Trygve Haavelmo, James J. Heckman, Daniel L. McFadden, Robert F. Engle and Clive W. J. Granger | |
Valuation of variance forecasts with simulated option markets | |
Value at risk models in finance | |
Vector multiplicative error models representation and inference | |
Volatility and time series econometrics : essays in honor of Robert Engle | |
Where does the meteor shower come from? : the role of stochastic policy coordination |