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Engle, Robert F.


 SSRN Author Rank: 138 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
 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
 

National Bureau of Economic Research (NBER)


 1050 Massachusetts Avenue
 Cambridge, MA 02138
 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
50,323
Total
Citations
2,617
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 - Department of Economics and Business
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
18 May 10
Last Revised:
08 Jan 15
6,796
(443)
5

2.  
Value at Risk Models in Finance | Show Abstract | Download This Paper |
ECB Working Paper No. 75
Number of Pages in PDF File: 41
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
4,760
(812)
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
3,458
(1,429)
195

4.  
Brownlees, Christian T.
Universitat Pompeu Fabra - Department of Economics and Business
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
2,463
(2,638)
8

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
2,453
(2,651)
24

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
1,826
(4,396)
30

7.  
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
03 Nov 08
1,754
(4,688)
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
1,490
(6,274)
49

9.   Incl. Electronic Paper
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Ferstenberg, Robert
Morgan Stanley
Russell, Jeffrey R.
University of Chicago - Booth School of Business - Econometrics and Statistics
Posted:
08 Aug 08
Last Revised:
15 Nov 13
1,211
(8,861)
16

10.   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
1,150
(9,664)
147

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
Tang, Yi
Fordham University - School of Business
Posted:
23 Jun 12
Last Revised:
18 Mar 14
1,132
(9,908)
1

12.   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
1,110
(10,227)
10

13.  
Pricing Exchange Traded Funds | Show Abstract | Download This Paper |
NYU Working Paper No. S-DRP-02-11
Number of Pages in PDF File: 28
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Sarkar, Debojyoti
Integral Research Inc.
Posted:
07 Nov 08
1,099
(10,381)
15

14.   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
1,035
(11,429)
8

15.  
Systemic Risk in Europe | Show Abstract | Download This Paper |
Forthcoming in the Review of Finance
Number of Pages in PDF File: 55
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
1,004
(11,986)
5

16.  
Dynamic Equicorrelation | Show Abstract | Download This Paper |
NYU Working Paper No. FIN-08-038, Chicago Booth Research Paper No. 12-07, Fama-Miller Working Paper
Number of Pages in PDF File: 40
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
970
(12,627)
33

17.  
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
875
(14,748)
7

18.   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
844
(15,608)
4

19.  
Measuring and Testing the Impact of News on Volatility | Show Abstract | Download This Paper |
NBER Working Paper No. w3681
Number of Pages in PDF File: 32
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
801
(16,914)
416

20.   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
717
(19,800)
4

21.  
Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model | Show Abstract | Download This Paper |
CRSP Working Paper No. 470; University of California at San Diego Working Paper No. 98-10
Number of Pages in PDF File: 33
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
706
(20,247)
13

22.   Incl. Electronic Paper
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Sheppard, Kevin
University of Oxford - Department of Economics
Posted:
18 Oct 01
Last Revised:
29 Dec 08
659
(22,351)
169

23.   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
626
(24,001)
33

24.  
A Component Model for Dynamic Correlations | Show Abstract | Download This Paper |
Journal of Econometrics, Forthcoming
Number of Pages in PDF File: 51
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
590
(26,074)
13

25.   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
560
(27,997)
7

26.   Incl. Electronic Paper
Patton, Andrew J.
Duke University - Department of Economics
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
17 Apr 01
Last Revised:
04 Nov 08
556
(28,278)
38

27.   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
536
(29,763)
46

28.  
Testing and Valuing Dynamic Correlations for Asset Allocation | Show Abstract | Download This Paper |
Journal of Business and Economic Statistics, Vol. 24, N. 2,, pp. 238-253, April 2006
Number of Pages in PDF File: 48
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
528
(30,325)
28

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
481
(34,230)
8

30.  
Fitting Vast Dimensional Time-Varying Covariance Models | Show Abstract | Download This Paper |
NYU Working Paper No. FIN-08-009
Number of Pages in PDF File: 39
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Shephard, Neil
Harvard University
Sheppard, Kevin
University of Oxford - Department of Economics
Posted:
09 Mar 09
477
(34,599)
33

31.  
The Conditional CAPM Explains the Value Premium | Show Abstract | Download This Paper |
Georgetown McDonough School of Business Research Paper, Sloan Foundation Economics Research Paper
Number of Pages in PDF File: 41
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
450
(37,303)
 

32.  
Modeling the Dynamics of Correlations Among Implied Volatilities | Show Abstract | Download This Paper |
The Review of Finance, Forthcoming
Number of Pages in PDF File: 40
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
Last Revised:
03 May 14
441
(38,257)
2

33.   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
387
(45,011)
69

34.   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
379
(46,148)
45

35.  
High Dimension Dynamic Correlations | Show Abstract | Download This Paper |
NYU Working Paper No. FIN-07-045
Number of Pages in PDF File: 45
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
03 Nov 08
377
(46,431)
7

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
336
(53,364)
5

37.   Incl. Electronic Paper
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Sokalska, Magdalena
CUNY Queens College
Posted:
03 Nov 08
Last Revised:
15 Nov 13
327
(55,118)
4

38.  
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
319
(56,792)
10

39.  
The Factor-Spline-GARCH Model for High- and Low-Frequency Correlations | Show Abstract | Download This Paper |
Journal of Business and Economic Statistics, Vol. 30, No. 1, pp. 109-124, 2012
Number of Pages in PDF File: 49
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
262
(70,699)
7

40.   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
HEC - University of Lausanne
Posted:
04 Apr 13
Last Revised:
02 Jun 14
249
(74,681)
3

41.  
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Shephard, Neil
Harvard University
Sheppard, Kevin
University of Oxford - Department of Economics
Posted:
03 Nov 08
236
(79,088)
29

42.  
New Frontiers for Arch Models | Show Abstract | Download This Paper |
NYU Working Paper No. FIN-02-037
Number of Pages in PDF File: 29
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
03 Nov 08
236
(79,088)
60

43.  
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
223
(83,896)
4

44.   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
215
(87,042)
5

45.   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, Informatica, Applicazioni (DiSIA)
Posted:
14 Oct 08
Last Revised:
10 Dec 13
209
(89,612)
5

46.  
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
207
(90,488)
68

47.   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
203
(92,178)
1

48.   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
183
(101,816)
4

49.  
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
167
(110,840)
3

50.  
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
162
(113,914)
1

51.  
Caviar: Conditional Value at Risk by Quantile Regression | Show Abstract | Download This Paper |
NBER Working Paper No. w7341
Number of Pages in PDF File: 54
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
152
(120,372)
117

52.  
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 This Paper |
FRB of New York Staff Report No. 590, UNC Kenan-Flagler Research Paper No. 2013-20
Number of Pages in PDF File: 55
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
148
(123,205)
2

53.  
Execution Risk | Show Abstract | Download This Paper |
NBER Working Paper No. w12165
Number of Pages in PDF File: 25
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Ferstenberg, Robert
Morgan Stanley
Posted:
21 May 06
135
(133,112)
16

54.   Incl. Electronic Paper
Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
05 Dec 03
Last Revised:
25 Aug 10
135
(133,112)
60

55.  
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Moshirian, Fariborz
University of New South Wales (UNSW) - Institute of Global Finance, Australian School of Business
Sahgal, Sidharth
University of New South Wales (UNSW)
Zhang, Bohui
University of New South Wales (UNSW) - School of Banking and Finance
Posted:
30 May 14
127
(139,888)
 

56.  
The Econometrics of Ultra-High Frequency Data | Show Abstract | Download This Paper |
NBER Working Paper No. w5816
Number of Pages in PDF File: 19
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
26 Jun 00
123
(143,367)
111

57.  
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
120
(146,072)
16

58.  
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
117
(148,944)
23

59.   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
115
(150,923)
11

60.   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
109
(156,937)
113

61.  
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
77
(197,074)
2

62.  
Testing for Common Features | Show Abstract | Download This Paper |
NBER Working Paper No. t0091
Number of Pages in PDF File: 25
Kozicki, Sharon
Bank of Canada
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
27 Jun 07
74
(201,806)
70

63.  
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
(209,980)
17

64.  
Measuring Risk Aversion from Excess Returns on a Stock Index | Show Abstract | Download This Paper |
NBER Working Paper No. w3643
Number of Pages in PDF File: 41
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
(216,801)
26

65.   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
59
(227,994)
6

66.  
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
(233,924)
5

67.  
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
(233,924)
104

68.  
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
Posted:
28 Dec 06
55
(235,904)
81

69.  
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Moshirian, Fariborz
University of New South Wales (UNSW) - Institute of Global Finance, Australian School of Business
Zhang, Bohui
University of New South Wales (UNSW) - School of Banking and Finance
Posted:
05 Nov 14
Last Revised:
07 Nov 14
51
(244,373)
 

70.  
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
47
(253,251)
77

71.  
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
(262,638)
18

72.  
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
(272,743)
 

73.  
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
33
(289,511)
2

74.  
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
(295,681)
15

75.  
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
27
(309,354)
1

76.  
Valuation of Variance Forecast with Simulated Option Markets | Show Abstract | Download This Paper |
NBER Working Paper No. w3350
Number of Pages in PDF File: 40
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
15
(359,771)
 

77.  
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
09 Aug 12
10
(382,455)
 

78.  
Time and the Price Impact of a Trade | Show Abstract |
Journal of Finance, Vol. 55, No. 6, 2000
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
 

79.  
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
05 Jan 11
 

80.  
The Risk that Risk Will Change | Show Abstract |
Journal Of Investment Management (JOIM), Fourth Quarter 2009
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Posted:
19 Jan 10
Last Revised:
02 Jun 10
 

81.  
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
 

82.  
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
 

83.  
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
 

84.  
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
 

85.   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
 

86.  
Stochastic Permanent Breaks | Show Abstract |
University of California at San Diego, Department of Economics, Discussion Paper No. 98-03
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
 

87.  
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
 

88.  
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 - 88 of 88 matches
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