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 Robert F. Engle
 SSRN Author Rank: 256 by Downloads
 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

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. Robert F. Engle's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
17,951
Total
Citations
1,767
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Value at Risk Models in Finance | Show Abstract | Download |
ECB Working Paper No. 75
Working Paper Series
Simone Manganelli
European Central Bank (ECB)
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Posted:
25 Feb 03
Last Revised:
29 Apr 08
2,350
(1,032)
6

2.   Incl. Electronic Paper
Giovanni Barone-Adesi
Swiss Finance Institute at the University of Lugano
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Loriano Mancini
Swiss Federal Institute of Technology Lausanne
Posted:
15 Oct 04
Last Revised:
20 Feb 09
1,454
( 2,569)
3

3.   Incl. Electronic Paper
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Posted:
01 Dec 00
Last Revised:
23 Dec 08
1,430
( 2,646)
128

4.  
David Easley
Cornell University - Department of Economics
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Liuren Wu
City University of New York, CUNY Baruch College - Zicklin School of Business
Maureen O'Hara
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
21 Dec 01
Last Revised:
29 Apr 08
1,251
(3,358)
27

5.   Incl. Electronic Paper
Lorenzo Cappiello
European Central Bank (ECB)
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Kevin Sheppard
University of Oxford - Department of Economics
Posted:
04 Feb 03
Last Revised:
29 Apr 08
882
( 6,152)
92

6.   Incl. Electronic Paper
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Joe Lange
Cornerstone Research
Posted:
10 Feb 98
Last Revised:
29 Apr 08
823
( 6,844)
5

7.   Incl. Electronic Paper
Turan G. Bali
CUNY Baruch College - Zicklin School of Business
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Posted:
04 Feb 08
Last Revised:
15 Dec 08
651
( 9,769)
7

8.  
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Posted:
07 Nov 08
Last Revised:
16 Dec 08
633
(10,227)
118

9.   Incl. Electronic Paper
Joshua V. Rosenberg
Federal Reserve Bank of New York
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Posted:
21 Dec 97
Last Revised:
29 Apr 08
545
( 12,635)
32

10.  
On the Economic Sources of Stock Market Volatility | Show Abstract | Download |
AFA 2008 New Orleans Meetings Paper
Working Paper Series
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Eric Ghysels
University of North Carolina at Chapel Hill - Department of Economics
Bumjean Sohn
Georgetown University - McDonough School of Business
Posted:
21 Mar 07
Last Revised:
02 Sep 08
475
(15,313)
9

11.  
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
Jeffrey R. Russell
University of Chicago - Booth School of Business - Econometrics and Statistics
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Posted:
14 Aug 98
Last Revised:
29 Apr 08
460
(16,035)
12

12.   Incl. Electronic Paper
Arthur M. Berd
Quantitative Alternatives, LLC
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Artem B. Voronov
New York University - Department of Economics
Posted:
06 Nov 05
Last Revised:
01 Apr 09
454
( 16,419)
4

13.  
Impacts of Trades in an Error-Correction Model of Quote Prices | Show Abstract | Download |
UCSD Economics Working Paper No. 2000-26; Twelfth Annual Utah Winter Finance Conference
Working Paper Series
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Andrew J. Patton
Duke University - Department of Economics
Posted:
17 Apr 01
Last Revised:
29 Apr 08
447
(16,650)
23

14.  
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Zheng Sun
University of California, Irvine - Paul Merage School of Business
Posted:
10 Mar 05
Last Revised:
16 Aug 08
432
(17,453)
5

15.  
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Yin-Feng Gau
National Chi Nan University
Posted:
12 May 97
Last Revised:
29 Apr 08
417
(18,237)
6

16.  
Measuring and Modeling Execution Cost and Risk | Show Abstract | Download |
Chicago GSB Research Paper No. 08-09
Working Paper Series
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Robert Ferstenberg
Morgan Stanley
Jeffrey Russell
University of Chicago - Booth School of Business
Posted:
08 Aug 08
Last Revised:
08 Aug 08
328
(24,628)
2

17.  
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Posted:
03 Nov 08
Last Revised:
23 Dec 08
310
(26,506)
 

18.   Incl. Electronic Paper
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Kevin Sheppard
University of Oxford - Department of Economics
Posted:
18 Oct 01
Last Revised:
29 Dec 08
308
( 26,619)
112

19.  
Pricing Exchange Traded Funds | Show Abstract | Download |
NYU Working Paper No. S-DRP-02-11
Working Paper Series
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Debojyoti Sarkar
Integral Research Inc.
Posted:
07 Nov 08
Last Revised:
16 Dec 08
248
(34,233)
8

20.  
The Spline-GARCH Model for Low Frequency Volatility and its Global Macroeconomic Causes | Show Abstract | Download |
Working Paper Series of the Czech National Bank (CNB)
Working Paper Series
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Jose Gonzalo Rangel
Bank of Mexico - Economic Studies
Posted:
24 Oct 06
Last Revised:
29 Apr 08
218
(39,058)
7

21.  
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Bryan T. Kelly
New York University - Leonard N. Stern School of Business
Posted:
27 Feb 08
Last Revised:
29 Apr 08
196
(43,479)
11

22.   Incl. Electronic Paper
Turan G. Bali
CUNY Baruch College - Zicklin School of Business
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Posted:
10 Nov 08
Last Revised:
27 Apr 09
191
( 44,642)
 

23.  
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Svend Hylleberg
University of Aarhus - Department of Economics
Posted:
17 Dec 96
Last Revised:
29 Apr 08
185
(46,169)
4

24.  
Measuring and Testing the Impact of News on Volatility | Show Abstract | Download |
NBER Working Paper No. W3681
Working Paper Series
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Victor K. Ng
International Monetary Fund (IMF) - Research Department
Posted:
18 Jun 04
Last Revised:
18 Jun 04
161
(52,885)
296

25.  
Dynamic Equicorrelation | Show Abstract | Download |
NYU Working Paper No. FIN-08-038
Working Paper Series
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Bryan T. Kelly
New York University - Leonard N. Stern School of Business
Posted:
09 Mar 09
Last Revised:
26 May 09
160
(53,198)
11

26.  
On the Economic Sources of Stock Market Volatility | Show Abstract | Download |
NYU Working Paper No. FIN-08-043
Working Paper Series
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Eric Ghysels
University of North Carolina at Chapel Hill - Department of Economics
Bumjean Sohn
Georgetown University - McDonough School of Business
Posted:
09 Mar 09
Last Revised:
15 Mar 09
141
(59,813)
9

27.   Incl. Electronic Paper
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Robert Ferstenberg
Morgan Stanley
Jeffrey R. Russell
University of Chicago - Booth School of Business - Econometrics and Statistics
Posted:
03 Nov 08
Last Revised:
29 Dec 08
129
( 64,988)
2

28.  
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
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Riccardo Colacito
UNC Chapel Hill
Posted:
15 Sep 08
Last Revised:
15 Sep 08
129
(64,537)
10

29.  
Fitting Vast Dimensional Time-Varying Covariance Models | Show Abstract | Download |
NYU Working Paper No. FIN-08-009
Working Paper Series
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Neil Shephard
University of Oxford - Oxford-Man Institute
Kevin Sheppard
University of Oxford - Department of Economics
Posted:
09 Mar 09
Last Revised:
17 Mar 09
127
(65,845)
1

30.  
A Component Model for Dynamic Correlations | Show Abstract | Download |
NYU Working Paper No. FIN-08-039
Working Paper Series
Riccardo Colacito
UNC Chapel Hill
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Eric Ghysels
University of North Carolina at Chapel Hill - Department of Economics
Posted:
09 Mar 09
Last Revised:
10 May 09
123
(67,163)
2

31.   Incl. Electronic Paper
Zhuanxin Ding
Frank Russell Company (Worldwide)
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Posted:
03 Nov 08
Last Revised:
29 Dec 08
123
( 67,163)
20

32.  
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Abhishek Mistry
affiliation not provided to SSRN
Posted:
09 Mar 09
Last Revised:
05 Apr 09
119
(69,003)
1

33.  
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Simone Manganelli
European Central Bank (ECB)
Posted:
17 Feb 00
Last Revised:
01 Apr 01
106
(75,640)
8

34.  
Zheng Sun
University of California, Irvine - Paul Merage School of Business
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Posted:
03 Nov 08
Last Revised:
23 Dec 08
97
(80,684)
1

35.  
High Dimension Dynamic Correlations | Show Abstract | Download |
NYU Working Paper No. FIN-07-045
Working Paper Series
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Posted:
03 Nov 08
Last Revised:
03 Nov 08
88
(86,430)
1

36.   Incl. Electronic Paper
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Joshua V. Rosenberg
Federal Reserve Bank of New York
Posted:
07 Nov 08
Last Revised:
11 Nov 08
83
( 89,829)
6

37.   Incl. Electronic Paper
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Andrew J. Patton
Duke University - Department of Economics
Posted:
03 Nov 08
Last Revised:
07 Nov 08
79
( 92,677)
34

38.  
New Frontiers for Arch Models | Show Abstract | Download |
NYU Working Paper No. FIN-02-037
Working Paper Series
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Posted:
03 Nov 08
Last Revised:
23 Dec 08
77
(94,237)
46

39.   Incl. Electronic Paper
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Giampiero M. Gallo
Universita' di Firenze - Dipartimento di Statistica
Posted:
05 Dec 03
Last Revised:
16 Dec 08
77
( 94,237)
40

40.  
Young-Hye Cho
affiliation not provided to SSRN
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Posted:
23 Feb 00
Last Revised:
10 Apr 01
77
(94,237)
9

41.  
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
J. Gonzalo Rangel
affiliation not provided to SSRN
Posted:
07 Nov 08
Last Revised:
07 Nov 08
70
(100,002)
16

42.  
Execution Risk | Show Abstract | Download |
NBER Working Paper No. W12165
Working Paper Series
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Robert Ferstenberg
Morgan Stanley
Posted:
21 May 06
Last Revised:
14 Jul 09
69
(100,840)
8

43.  
Young-Hye Cho
affiliation not provided to SSRN
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Posted:
06 May 00
Last Revised:
02 Apr 01
62
(107,100)
15

44.  
Jaesun Noh
Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Alex Kane
University of California, San Diego - Graduate School of International Relations and Pacific Studies (IRPS)
Posted:
09 Jul 00
Last Revised:
09 Jul 00
59
(109,850)
1

45.  
The Econometrics of Ultra-High Frequency Data | Show Abstract | Download |
NBER Working Paper No. W5816
Working Paper Series
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Posted:
26 Jun 00
Last Revised:
26 Jun 00
55
(113,746)
45

46.  
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Neil Shephard
University of Oxford - Oxford-Man Institute
Kevin Sheppard
University of Oxford - Department of Economics
Posted:
03 Nov 08
Last Revised:
23 Dec 08
50
(119,954)
6

47.  
Magdalena E. Sokalska
affiliation not provided to SSRN
Ananda Chanda
Morgan Stanley
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Posted:
03 Nov 08
Last Revised:
23 Dec 08
50
(118,849)
1

48.  
Turan G. Bali
CUNY Baruch College - Zicklin School of Business
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Posted:
23 Mar 09
Last Revised:
23 Mar 09
49
(119,954)
 

49.  
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Giampiero M. Gallo
Universita' di Firenze - Dipartimento di Statistica
Margherita Velucchi
University of Florence - Dipartimento di Statistica
Posted:
14 Oct 08
Last Revised:
15 Oct 08
49
(119,954)
 

50.   Incl. Electronic Paper
Joshua V. Rosenberg
Federal Reserve Bank of New York
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Posted:
02 Jun 03
Last Revised:
16 Dec 08
48
(121,038)
76

51.  
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
John Russell
University of Southampton - School of Management
Posted:
30 Aug 00
Last Revised:
22 Apr 08
48
(121,038)
15

52.  
Riccardo Colacito
UNC Chapel Hill
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Posted:
09 Mar 09
Last Revised:
22 Apr 09
47
(123,264)
 

53.  
Term Structure of Risk, the Role of Known and Unknown Risks and Non-Stationary Distributions | Show Abstract | Download |
THE KNOWN, THE UNKNOWN AND THE UNKNOWABLE IN FINANCIAL RISK MANAGEMENT, F.X. Diebold, ed., Forthcoming
Accepted Paper Series
Riccardo Colacito
UNC Chapel Hill
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Posted:
14 Sep 08
Last Revised:
14 Sep 08
46
(123,264)
 

54.  
Fabrizio Cipollini
Universita' di Firenze, Dipartimento di Statistica
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Giampiero M. Gallo
Universita' di Firenze - Dipartimento di Statistica
Posted:
12 Oct 08
Last Revised:
12 Oct 08
44
(125,495)
2

55.  
Ray Chou
Georgia Institute of Technology - College of Management
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Alex Kane
University of California, San Diego - Graduate School of International Relations and Pacific Studies (IRPS)
Posted:
17 Oct 07
Last Revised:
21 Sep 08
42
(127,891)
22

56.   Incl. Electronic Paper
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Joshua V. Rosenberg
Federal Reserve Bank of New York
Posted:
10 Oct 98
Last Revised:
29 Apr 08
39
(131,573)
6

57.   Incl. Electronic Paper
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Asger Lunde
CREATES
Posted:
20 Aug 98
Last Revised:
29 Apr 08
38
(132,808)
22

58.  
Fabrizio Cipollini
Universita' di Firenze, Dipartimento di Statistica
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Giampiero M. Gallo
Universita' di Firenze - Dipartimento di Statistica
Posted:
28 Jan 09
Last Revised:
28 Jan 09
36
(135,392)
3

59.  
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Giampiero M. Gallo
Universita' di Firenze - Dipartimento di Statistica
Margherita Velucchi
University of Florence - Dipartimento di Statistica
Posted:
09 Mar 09
Last Revised:
18 Jul 09
34
(138,089)
 

60.  
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Victor K. Ng
International Monetary Fund (IMF) - Research Department
Posted:
27 Apr 00
Last Revised:
28 Jan 02
34
(138,089)
8

61.  
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Takatoshi Ito
University of Tokyo - Faculty of Economics
Wen-Ling Lin
affiliation not provided to SSRN
Posted:
18 Jun 04
Last Revised:
24 Aug 08
33
(139,494)
62

62.  
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Alex Kane
University of California, San Diego - Graduate School of International Relations and Pacific Studies (IRPS)
Jaesun Noh
Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance
Posted:
25 May 06
Last Revised:
25 May 06
32
(140,918)
3

63.  
Testing for Common Features | Show Abstract | Download |
NBER Working Paper No. T0091
Working Paper Series
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Sharon Kozicki
Bank of Canada
Posted:
27 Jun 07
Last Revised:
27 Jun 07
31
(142,387)
55

64.  
High Frequency Multiplicative Component GARCH | Show Abstract | Download |
NYU Working Paper No. SC-CFE-05-05
Working Paper Series
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Magdalena Sokalska
Warsaw School of Economics (SGH)
Posted:
07 Nov 08
Last Revised:
16 Dec 08
29
(145,664)
1

65.  
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Posted:
04 Nov 08
Last Revised:
23 Dec 08
29
(145,664)
118

66.  
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Joshua V. Rosenberg
Federal Reserve Bank of New York
Posted:
05 Sep 00
Last Revised:
22 Apr 08
28
(147,436)
 

67.  
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Posted:
05 Jan 07
Last Revised:
05 Jan 07
25
(153,767)
1

68.  
Wen-Ling Lin
affiliation not provided to SSRN
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Takatoshi Ito
University of Tokyo - Faculty of Economics
Posted:
12 Apr 04
Last Revised:
22 Sep 08
24
(156,183)
76

69.  
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Jose Gonzalo Rangel
affiliation not provided to SSRN
Posted:
03 Nov 08
Last Revised:
23 Dec 08
23
(158,762)
11

70.  
Semiparametric Vector MEM | Show Abstract | Download |
NYU Working Paper No. FIN-08-041
Working Paper Series
Fabrizio Cipollini
Universita' di Firenze, Dipartimento di Statistica
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Giampiero M. Gallo
Universita' di Firenze - Dipartimento di Statistica
Posted:
09 Mar 09
Last Revised:
28 Apr 09
22
(161,510)
2

71.  
Fabrizio Cipollini
Universita' di Firenze, Dipartimento di Statistica
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Giampiero M. Gallo
Universita' di Firenze - Dipartimento di Statistica
Posted:
20 Nov 06
Last Revised:
16 Apr 07
21
(164,320)
11

72.  
Scott J. Brown
Raymond James and Associates, Inc.
N. Edward Coulson
Pennsylvania State University, College of the Liberal Arts - Department of Economic
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Posted:
19 Jun 04
Last Revised:
19 Jun 04
21
(164,320)
1

73.  
Takatoshi Ito
University of Tokyo - Faculty of Economics
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Wen-Ling Lin
affiliation not provided to SSRN
Posted:
08 Jan 08
Last Revised:
08 Jan 08
18
(172,894)
7

74.  
Vector Multiplicative Error Models: Representation and Inference | Show Abstract | Download |
NYU Working Paper No. SC-CFE-06-01
Working Paper Series
Fabrizio Cipollini
Universita' di Firenze, Dipartimento di Statistica
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Giampiero M. Gallo
Universita' di Firenze - Dipartimento di Statistica
Posted:
07 Nov 08
Last Revised:
07 Nov 08
17
(175,776)
11

75.  
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
João Victor Issler
Getulio Vargas Foundation (FGV) - Graduate School of Economics
Posted:
22 Aug 07
Last Revised:
22 Aug 07
17
(175,776)
1

76.  
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Andrew J. Patton
Duke University - Department of Economics
Posted:
04 Nov 08
Last Revised:
04 Nov 08
14
(184,395)
23

77.  
Fabrizio Cipollini
Universita' di Firenze, Dipartimento di Statistica
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Giampiero M. Gallo
affiliation not provided to SSRN
Posted:
03 Nov 08
Last Revised:
23 Dec 08
13
(187,291)
 

78.  
The Spline-GARCH Model for Low-Frequency Volatility and its Global Macroeconomic Causes | Show Abstract | Download |
The Review of Financial Studies, Vol. 21, Issue 3, pp. 1187-1222, 2008
Accepted Paper Series
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Jose Gonzalo Rangel
affiliation not provided to SSRN
Posted:
02 Jul 08
Last Revised:
20 Feb 09
1
(216,028)
4

79.  
Christian T. Brownlees
New York University - Department of Finance
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Bryan T. Kelly
New York University - Leonard N. Stern School of Business
Posted:
10 Nov 09
Last Revised:
10 Nov 09
0
(0)
 

80.  
Time-Varying Arrival Rates of Informed and Uninformed Trades | Show Abstract | Download |
Journal of Financial Econometrics, Vol. 6, Issue 2, pp. 171-207, 2008
Accepted Paper Series
David Easley
Cornell University - Department of Economics
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Maureen O'Hara
Cornell University - Samuel Curtis Johnson Graduate School of Management
Liuren Wu
City University of New York, CUNY Baruch College - Zicklin School of Business
Posted:
10 Jul 08
Last Revised:
23 May 09
0
(0)
27

81.  
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
Wen-Ling Lin
affiliation not provided to SSRN
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Posted:
26 Oct 99
Last Revised:
29 Apr 08
0
(0)
 

82.  
Macroeconomic Announcements and Volatility of Treasury Futures | Show Abstract |
UCSD Economics Discussion Paper 98-27
Working Paper Series
Li NMI2 Li
University of California, San Diego
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Posted:
17 Feb 99
Last Revised:
29 Apr 08
0
(0)
 

83.  
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Gary G.J. Lee
University of California, San Diego - Department of Economics
Posted:
27 Dec 98
Last Revised:
29 Apr 08
0
(0)
 

84.  
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Jeffrey R. Russell
University of Chicago - Booth School of Business - Econometrics and Statistics
Posted:
22 Aug 98
Last Revised:
29 Apr 08
0
(0)
 

85.  
Stochastic Permanent Breaks | Show Abstract |
University of California at San Diego, Department of Economics, Discussion Paper No. 98-03
Working Paper Series
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Aaron D. Smith
University of California, Davis - Department of Agricultural and Resource Economics
Posted:
14 Aug 98
Last Revised:
29 Apr 08
0
(0)
 

86.  
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Jeffrey R. Russell
University of Chicago - Booth School of Business - Econometrics and Statistics
Posted:
21 Apr 98
Last Revised:
29 Apr 08
0
(0)
 

87.  
Correlations and Volatilities of Asynchronous Data | Show Abstract |
UCSD Economics Discussion Paper 97-30
Working Paper Series
Patrick J. Burns
Burns Statistics
Robert F. Engle
Leonard N. Stern School of Business - Department of Economics
Joseph Mezrich
Salomon Smith Barney, Inc., U.S.
Posted:
04 Mar 98
Last Revised:
29 Apr 08
0
(0)
 


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