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Engle, Robert F.


 SSRN Author Rank: 148 by Downloads
 

New York University - Leonard N. Stern School of Business - Department of Economics


 269 Mercer Street
 New York, NY 10003
 United States
 email address
 

National Bureau of Economic Research (NBER)


 1050 Massachusetts Avenue
 Cambridge, MA 02138
 United States
 Michael Armellino Professorship in the Management of Financial Services
 

New York University (NYU) - Department of Finance


 Stern School of Business
 44 West 4th Street
 New York, NY 10012-1126
 United States

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. Engle, Robert F.'s Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
45,902
Total
Citations
2,600
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Brownlees, Christian T.
Universitat Pompeu Fabra
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
18 May 10
Last Revised:
15 Nov 13
5,610
(537)
43

2.  
Value at Risk Models in Finance | Show Abstract | Download |
ECB Working Paper No. 75
Working Paper Series
Manganelli, Simone
European Central Bank (ECB)
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
25 Feb 03
4,504
(792)
15

3.   Incl. Electronic Paper
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
01 Dec 00
Last Revised:
23 Dec 08
3,342
(1,313)
193

4.  
Brownlees, Christian T.
Universitat Pompeu Fabra
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Kelly, Bryan T.
University of Chicago - Booth School of Business
Posted:
10 Nov 09
Last Revised:
15 Nov 13
2,359
(2,492)
6

5.   Incl. Electronic Paper
Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
Posted:
15 Oct 04
Last Revised:
29 Jul 10
2,325
(2,549)
22

6.   Incl. Electronic Paper
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Sohn, Bumjean
Georgetown University - McDonough School of Business
Posted:
21 Mar 07
Last Revised:
18 Sep 12
1,652
(4,596)
30

7.  
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
03 Nov 08
1,637
(4,683)
2

8.   Incl. Electronic Paper
Easley, David
Cornell University - Department of Economics
Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
O'Hara, Maureen
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
21 Dec 01
Last Revised:
29 Jul 10
1,467
(5,689)
47

9.   Incl. Electronic Paper
Cappiello, Lorenzo
European Central Bank (ECB)
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Sheppard, Kevin
University of Oxford - Department of Economics
Posted:
04 Feb 03
Last Revised:
29 Jul 10
1,133
(8,749)
146

10.   Incl. Electronic Paper
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Ferstenberg, Robert
Morgan Stanley
Russell, Jeffrey
University of Chicago - Booth School of Business
Posted:
08 Aug 08
Last Revised:
15 Nov 13
1,125
(8,859)
13

11.   Incl. Electronic Paper
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
04 Feb 08
Last Revised:
27 Feb 12
1,086
(9,365)
11

12.  
Pricing Exchange Traded Funds | Show Abstract | Download |
NYU Working Paper No. S-DRP-02-11
Working Paper Series
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Sarkar, Debojyoti
Integral Research Inc.
Posted:
07 Nov 08
1,044
(9,980)
15

13.   Incl. Electronic Paper
Lange, Joe
Cornerstone Research
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
10 Feb 98
Last Revised:
29 Apr 08
1,022
(10,297)
8

14.   Incl. Electronic Paper
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Tang, Yi
Fordham University - School of Business
Posted:
23 Jun 12
Last Revised:
18 Mar 14
954
(11,473)
1

15.  
Dynamic Equicorrelation | Show Abstract | Download |
NYU Working Paper No. FIN-08-038, Chicago Booth Research Paper No. 12-07, Fama-Miller Working Paper
Working Paper Series
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Kelly, Bryan T.
University of Chicago - Booth School of Business
Posted:
09 Mar 09
Last Revised:
15 Nov 13
933
(11,860)
31

16.  
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Sun, Zheng
University of California, Irvine - Paul Merage School of Business
Posted:
10 Mar 05
844
(13,823)
7

17.   Incl. Electronic Paper
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
10 Nov 08
Last Revised:
27 Feb 12
796
(15,132)
4

18.  
Measuring and Testing the Impact of News on Volatility | Show Abstract | Download |
NBER Working Paper No. w3681
Working Paper Series
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Ng, Victor K.
International Monetary Fund (IMF) - Research Department
Posted:
18 Jun 04
710
(17,859)
414

19.  
Systemic Risk in Europe | Show Abstract | Download |
Forthcoming in the Review of Finance
Accepted Paper Series
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Jondeau, Eric
University of Lausanne
Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Posted:
22 Dec 12
Last Revised:
22 Feb 14
688
(18,717)
5

20.  
Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model | Show Abstract | Download |
CRSP Working Paper No. 470; University of California at San Diego Working Paper No. 98-10
Working Paper Series
Russell, Jeffrey R.
University of Chicago - Booth School of Business - Econometrics and Statistics
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
14 Aug 98
682
(18,943)
14

21.   Incl. Electronic Paper
Rosenberg, Joshua V.
Federal Reserve Bank of New York
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
21 Dec 97
Last Revised:
06 Oct 10
619
(21,719)
33

22.   Incl. Electronic Paper
Sheppard, Kevin
University of Oxford - Department of Economics
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
18 Oct 01
Last Revised:
29 Dec 08
614
(21,963)
170

23.   Incl. Electronic Paper
Berd, Arthur M.
General Quantitative, LLC
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Voronov, Artem B.
New York University (NYU) - Department of Economics
Posted:
06 Nov 05
Last Revised:
16 Jan 12
554
(25,271)
6

24.   Incl. Electronic Paper
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Patton, Andrew J.
Duke University - Department of Economics
Posted:
17 Apr 01
Last Revised:
04 Nov 08
553
(25,338)
37

25.  
A Component Model for Dynamic Correlations | Show Abstract | Download |
Journal of Econometrics, Forthcoming
Accepted Paper Series
Colacito, Riccardo
University of North Carolina Kenan-Flagler Business School
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
09 Mar 09
Last Revised:
15 Nov 13
539
(26,259)
11

26.  
Testing and Valuing Dynamic Correlations for Asset Allocation | Show Abstract | Download |
Journal of Business and Economic Statistics, Vol. 24, N. 2,, pp. 238-253, April 2006
Accepted Paper Series
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Colacito, Riccardo
University of North Carolina Kenan-Flagler Business School
Posted:
15 Sep 08
513
(28,030)
28

27.   Incl. Electronic Paper
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
22 Jun 12
Last Revised:
06 Mar 14
504
(28,753)
3

28.   Incl. Electronic Paper
Ding, Zhuanxin
Russell Investments
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
03 Nov 08
Last Revised:
29 Dec 08
491
(29,721)
46

29.  
Gau, Yin-Feng
National Chi Nan University
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
12 May 97
477
(30,871)
8

30.  
Fitting Vast Dimensional Time-Varying Covariance Models | Show Abstract | Download |
NYU Working Paper No. FIN-08-009
Working Paper Series
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Shephard, Neil
University of Oxford - Oxford-Man Institute
Sheppard, Kevin
University of Oxford - Department of Economics
Posted:
09 Mar 09
433
(35,026)
31

31.  
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Figlewski, Stephen
New York University - Stern School of Business
Posted:
15 Jul 12
377
(41,636)
2

32.   Incl. Electronic Paper
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Rangel, Jose Gonzalo
affiliation not provided to SSRN
Posted:
24 Oct 06
Last Revised:
06 Oct 10
366
(43,123)
66

33.   Incl. Electronic Paper
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Patton, Andrew J.
Duke University - Department of Economics
Posted:
03 Nov 08
Last Revised:
07 Nov 08
349
(45,649)
44

34.  
High Dimension Dynamic Correlations | Show Abstract | Download |
NYU Working Paper No. FIN-07-045
Working Paper Series
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
03 Nov 08
349
(45,649)
7

35.  
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Mistry, Abhishek
affiliation not provided to SSRN
Posted:
09 Mar 09
312
(52,120)
10

36.  
Sun, Zheng
University of California, Irvine - Paul Merage School of Business
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
03 Nov 08
298
(54,970)
4

37.   Incl. Electronic Paper
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Sokalska, Magdalena
Warsaw School of Economics (SGH)
Posted:
03 Nov 08
Last Revised:
15 Nov 13
286
(57,683)
3

38.  
The Conditional CAPM Explains the Value Premium | Show Abstract | Download |
Georgetown McDonough School of Business Research Paper, Sloan Foundation Economics Research Paper
Working Paper Series
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
18 Nov 12
Last Revised:
25 Mar 14
285
(57,912)
 

39.  
New Frontiers for Arch Models | Show Abstract | Download |
NYU Working Paper No. FIN-02-037
Working Paper Series
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
03 Nov 08
234
(71,736)
57

40.  
Hylleberg, Svend
University of Aarhus - Department of Economics
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
17 Dec 96
220
(76,458)
4

41.  
The Factor-Spline-GARCH Model for High- and Low-Frequency Correlations | Show Abstract | Download |
Journal of Business and Economic Statistics, Vol. 30, No. 1, pp. 109-124, 2012
Accepted Paper Series
Rangel, Jose Gonzalo
Goldman Sachs Group, Inc. - Global Investment Research
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
07 Feb 11
Last Revised:
15 Nov 13
217
(77,570)
7

42.  
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Shephard, Neil
University of Oxford - Oxford-Man Institute
Sheppard, Kevin
University of Oxford - Department of Economics
Posted:
03 Nov 08
214
(78,695)
27

43.   Incl. Electronic Paper
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Rosenberg, Joshua V.
Federal Reserve Bank of New York
Posted:
07 Nov 08
Last Revised:
11 Nov 08
211
(79,839)
6

44.   Incl. Electronic Paper
Colacito, Riccardo
University of North Carolina Kenan-Flagler Business School
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
14 Sep 08
Last Revised:
03 Oct 12
198
(85,089)
2

45.  
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Rangel, J. Gonzalo
affiliation not provided to SSRN
Posted:
07 Nov 08
197
(85,535)
65

46.   Incl. Electronic Paper
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Velucchi, Margherita
University of Florence - Dipartimento di Statistica
Posted:
14 Oct 08
Last Revised:
10 Dec 13
193
(87,313)
5

47.   Incl. Electronic Paper
Cipollini, Fabrizio
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni)
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Posted:
12 Oct 08
Last Revised:
28 Apr 09
164
(101,603)
3

48.  
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Rangel, Jose Gonzalo
Goldman Sachs Group, Inc. - Global Investment Research
Posted:
09 Feb 11
151
(109,399)
1

49.  
Manganelli, Simone
European Central Bank (ECB)
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
17 Feb 00
149
(110,670)
115

50.  
Cipollini, Fabrizio
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni)
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Posted:
28 Jan 09
146
(112,663)
3

51.   Incl. Electronic Paper
Acharya, Viral V.
New York University - Leonard N. Stern School of Business
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Pierret, Diane
New York University (NYU) - Leonard N. Stern School of Business
Posted:
04 Apr 13
Last Revised:
02 Apr 14
136
(119,709)
1

52.   Incl. Electronic Paper
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Posted:
05 Dec 03
Last Revised:
25 Aug 10
130
(124,312)
60

53.  
Liquidity, Volatility, and Flights to Safety in the U.S. Treasury Market: Evidence from a New Class of Dynamic Order Book Models | Show Abstract | Download |
FRB of New York Staff Report No. 590, UNC Kenan-Flagler Research Paper No. 2013-20
Working Paper Series
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Fleming, Michael J.
Federal Reserve Bank of New York
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Nguyen, Giang
University of North Carolina at Chapel Hill
Posted:
02 Jan 13
126
(127,440)
 

54.  
Execution Risk | Show Abstract | Download |
NBER Working Paper No. w12165
Working Paper Series
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Ferstenberg, Robert
Morgan Stanley
Posted:
21 May 06
123
(130,729)
16

55.  
Cho, Young-Hye
affiliation not provided to SSRN
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
23 Feb 00
117
(135,012)
16

56.  
Cho, Young-Hye
affiliation not provided to SSRN
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
06 May 00
110
(141,370)
23

57.   Incl. Electronic Paper
Rosenberg, Joshua V.
Federal Reserve Bank of New York
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
02 Jun 03
Last Revised:
16 Dec 08
107
(144,153)
111

58.   Incl. Electronic Paper
Cipollini, Fabrizio
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni)
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Posted:
20 Nov 06
Last Revised:
31 May 11
100
(151,239)
10

59.  
The Econometrics of Ultra-High Frequency Data | Show Abstract | Download |
NBER Working Paper No. w5816
Working Paper Series
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
26 Jun 00
99
(152,267)
109

60.  
Noh, Jaesun
Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Kane, Alex
University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS)
Posted:
09 Jul 00
72
(186,079)
2

61.  
Russell, Jeffrey R.
University of Chicago - Booth School of Business - Econometrics and Statistics
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
30 Aug 00
69
(190,644)
17

62.  
Chou, Ray
Georgia Institute of Technology - College of Management
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Kane, Alex
University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS)
Posted:
17 Oct 07
65
(196,858)
26

63.  
Testing for Common Features | Show Abstract | Download |
NBER Working Paper No. t0091
Working Paper Series
Kozicki, Sharon
Bank of Canada
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
27 Jun 07
65
(196,858)
69

64.   Incl. Electronic Paper
Rosenberg, Joshua V.
Federal Reserve Bank of New York
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
10 Oct 98
Last Revised:
30 Jul 10
57
(210,421)
6

65.  
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Kane, Alex
University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS)
Noh, Jaesun
Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance
Posted:
25 May 06
56
(212,226)
5

66.  
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Ito, Takatoshi
University of Tokyo - Faculty of Economics
Lin, Wenling
Office of Comptroller of Currency
Posted:
18 Jun 04
56
(212,226)
101

67.  
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Ng, Victor
University of Michigan at Ann Arbor
Rothschild, Michael
Princeton University - Woodrow Wilson School of Public and International Affairs
Posted:
28 Dec 06
54
(215,929)
80

68.  
Lin, Wenling
Office of Comptroller of Currency
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Ito, Takatoshi
University of Tokyo - Faculty of Economics
Posted:
12 Apr 04
45
(234,118)
77

69.  
Ng, Victor K.
International Monetary Fund (IMF) - Research Department
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
27 Apr 00
43
(238,528)
18

70.  
Rosenberg, Joshua V.
Federal Reserve Bank of New York
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
05 Sep 00
39
(247,375)
 

71.  
Ito, Takatoshi
University of Tokyo - Faculty of Economics
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Lin, Wenling
Office of Comptroller of Currency
Posted:
08 Jan 08
31
(267,883)
13

72.  
Brown, Scott J.
Raymond James and Associates, Inc.
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Coulson, N. Edward
Pennsylvania State University, College of the Liberal Arts - Department of Economic
Posted:
19 Jun 04
31
(267,883)
1

73.  
Issler, João Victor
Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
22 Aug 07
25
(287,261)
1

74.  
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Hong, Che-Hsiung
affiliation not provided to SSRN
Kane, Alex
University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS)
Posted:
30 Aug 10
12
(337,763)
 

75.  
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
09 Aug 12
8
(353,264)
 

76.  
Time and the Price Impact of a Trade | Show Abstract |
Journal of Finance, Vol. 55, No. 6, 2000
Accepted Paper Series
Dufour, Alfonso
University of Reading - Henley Business School, ICMA Centre
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
29 Oct 13
 

77.  
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
05 Jan 11
 

78.  
The Risk that Risk Will Change | Show Abstract |
Journal Of Investment Management (JOIM), Fourth Quarter 2009
Accepted Paper Series
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
19 Jan 10
Last Revised:
02 Jun 10
 

79.   Incl. Electronic Paper
Lunde, Asger
CREATES
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
20 Aug 98
Last Revised:
29 Jul 10
 

80.  
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility | Show Abstract |
Review of Financial Studies, Volume 7, Number 4, 1994.
Accepted Paper Series
Lin, Wenling
Office of Comptroller of Currency
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
26 Oct 99
 

81.  
Macroeconomic Announcements and Volatility of Treasury Futures | Show Abstract |
UCSD Economics Discussion Paper 98-27
Working Paper Series
Li, Li
University of California, San Diego (UCSD)
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
17 Feb 99
 

82.  
Lee, Gary G. J.
University of California, San Diego (UCSD) - Department of Economics
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
27 Dec 98
 

83.  
Russell, Jeffrey R.
University of Chicago - Booth School of Business - Econometrics and Statistics
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
22 Aug 98
 

84.  
Stochastic Permanent Breaks | Show Abstract |
University of California at San Diego, Department of Economics, Discussion Paper No. 98-03
Working Paper Series
Smith, Aaron
University of California, Davis - Department of Agricultural and Resource Economics
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
14 Aug 98
 

85.  
Russell, Jeffrey R.
University of Chicago - Booth School of Business - Econometrics and Statistics
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
21 Apr 98
 

86.  
Correlations and Volatilities of Asynchronous Data | Show Abstract |
UCSD Economics Discussion Paper 97-30
Working Paper Series
Burns, Patrick
Burns Statistics
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Mezrich, Joseph
Salomon Smith Barney, Inc., U.S.
Posted:
04 Mar 98
 


Records 1 - 86 of 86 matches
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