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Engle, Robert F.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
41,123 |
Total
Citations
2,420 |
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1.
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Brownlees, Christian T.
Universitat Pompeu Fabra Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
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18 May 10
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Last Revised:
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26 Oct 12
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4,458
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28
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Systemic Risk, Volatility, Correlations, Tails, Forecasting
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2.
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Manganelli , Simone
European Central Bank (ECB) Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
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4,173
(757)
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13
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Value at Risk; CAViaR; Extreme Value Theory
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3.
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Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
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Posted:
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01 Dec 00
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Last Revised:
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23 Dec 08
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3,191
(1,213)
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182
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
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1,107
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179
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
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48
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179
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
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271
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179
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
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1,765
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182
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ARCH, GARCH, Correlation, Time Series, Value at Risk
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4.
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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
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10 Nov 09
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Last Revised:
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07 Sep 11
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2,226
(2,358)
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6
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Volatility, ARCH, Forecasting, Forecast Evaluation
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5.
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A GARCH Option Pricing Model with Filtered Historical Simulation
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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
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Posted:
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15 Oct 04
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Last Revised:
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29 Jul 10
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2,183
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20
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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
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0
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G13
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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
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15 Oct 04
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Last Revised:
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29 Apr 08
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2,183
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20
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Option pricing, GARCH model, state price density, Monte Carlo simulation
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6.
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On the Economic Sources of Stock Market Volatility
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Ghysels, Eric
University of North Carolina (UNC) at Chapel Hill - Department of Economics Sohn, Bumjean
Georgetown University - McDonough School of Business
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Posted:
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21 Mar 07
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Last Revised:
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18 Sep 12
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1,474
(4,813)
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31
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Ghysels, Eric
University of North Carolina (UNC) at Chapel Hill - Department of Economics Sohn, Bumjean
Georgetown University - McDonough School of Business
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315
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31
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Ghysels, Eric
University of North Carolina (UNC) at Chapel Hill - Department of Economics Sohn, Bumjean
Georgetown University - McDonough School of Business
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| Posted: |
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21 Mar 07
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Last Revised:
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18 Sep 12
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1,159
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31
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stock market volatility, macroeconomic variables, volatility decomposition, cross-section of returns
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7.
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Time-Varying Arrival Rates of Informed and Uninformed Trades
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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
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Posted:
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21 Dec 01
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Last Revised:
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29 Jul 10
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1,447
(4,972)
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48
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Easley, David
Cornell University - Department of Economics 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 Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business
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0
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C51, C53, G10, G12, G14, Arrival rates, informed trades, uninformed trades, autoregressive process, market depth, liquidity
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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
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1,447
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48
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8.
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
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1,441
(5,033)
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2
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9.
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Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
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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
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Posted:
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04 Feb 03
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Last Revised:
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29 Jul 10
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1,114
(7,752)
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144
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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
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0
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dynamic conditional correlation' international stock and bond correlation' multivariate GARCH' variance targeting
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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
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1,114
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144
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International Finance, Correlation, Variance Targeting, Multivariate GARCH, International Stock and Bond correlation
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10.
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Investigating ICAPM with Dynamic Conditional Correlations
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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
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Posted:
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04 Feb 08
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Last Revised:
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27 Feb 12
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1,055
(8,513)
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9
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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
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168
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9
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ICAPM, Dynamic conditional correlation, ARCH, Risk aversion, Dow Jones
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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
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| Posted: |
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04 Feb 08
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Last Revised:
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27 Feb 12
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887
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9
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ICAPM, Dynamic conditional correlation, ARCH, Risk aversion, Dow Jones
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11.
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Measuring and Modeling Execution Cost and Risk
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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
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Posted:
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08 Aug 08
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Last Revised:
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29 Dec 08
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1,034
(8,809)
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11
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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
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328
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11
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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
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104
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11
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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
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602
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11
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12.
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Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market
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Lange, Joe
Cornerstone Research Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
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Posted:
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10 Feb 98
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Last Revised:
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29 Apr 08
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1,009
(9,163)
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8
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Lange, Joe
Cornerstone Research Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
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41
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8
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Lange, Joe
Cornerstone Research Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
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968
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13.
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Sarkar, Debojyoti
Integral Research Inc.
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952
(10,028)
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14
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14.
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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
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| Posted: |
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09 Mar 09
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Last Revised:
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07 Feb 12
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875
(11,415)
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27
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15.
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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
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804
(13,032)
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7
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volatility, tick by tick data, duration, microstructure noise, ACD, Kalman Filter
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16.
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Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns
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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
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Posted:
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23 Jun 12
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Last Revised:
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01 Nov 12
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746
(14,562)
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1
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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
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| Posted: |
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24 Jul 12
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Last Revised:
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01 Nov 12
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216
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1
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dynamic conditional beta, conditional CAPM, ICAPM, expected stock returns
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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
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| Posted: |
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23 Jun 12
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Last Revised:
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08 Oct 12
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530
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1
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Dynamic conditional beta, conditional CAPM, ICAPM, expected stock returns
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17.
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Resurrecting the Conditional CAPM with Dynamic Conditional Correlations
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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
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Posted:
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10 Nov 08
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Last Revised:
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27 Feb 12
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736
(14,863)
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3
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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
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| Posted: |
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23 Mar 09
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Last Revised:
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27 Feb 12
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215
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3
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ICAPM, Risk-return tradeoff, Risk aversion, Multivariate GARCH-in-mean
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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
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| Posted: |
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09 Mar 09
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Last Revised:
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27 Feb 12
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171
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3
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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
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| Posted: |
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10 Nov 08
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Last Revised:
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27 Feb 12
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350
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3
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G12; G13; C51
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18.
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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
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656
(17,560)
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14
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19.
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Option Hedging Using Empirical Pricing Kernels
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Rosenberg, Joshua V.
Federal Reserve Bank of New York Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
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Posted:
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21 Dec 97
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Last Revised:
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06 Oct 10
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610
(19,525)
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33
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Rosenberg, Joshua V.
Federal Reserve Bank of New York Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
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32
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33
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Rosenberg, Joshua V.
Federal Reserve Bank of New York Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
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578
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33
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20.
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Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH
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Sheppard, Kevin
University of Oxford - Department of Economics Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
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Posted:
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18 Oct 01
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Last Revised:
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29 Dec 08
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570
(21,576)
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163
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Sheppard, Kevin
University of Oxford - Department of Economics
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254
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157
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Dynamic Correlation, Multivariate GARCH, Volatility
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Sheppard, Kevin
University of Oxford - Department of Economics
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67
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157
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Sheppard, Kevin
University of Oxford - Department of Economics Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
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249
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163
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21.
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Ng, Victor K.
International Monetary Fund (IMF) - Research Department
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556
(22,119)
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402
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22.
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Impacts of Trades in an Error-Correction Model of Quote Prices
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Patton, Andrew J.
Duke University - Department of Economics
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Posted:
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17 Apr 01
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Last Revised:
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04 Nov 08
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542
(22,879)
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36
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Patton, Andrew J.
Duke University - Department of Economics
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40
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35
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market microstructure, error-correction, vector autoregression, price dynamics
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Patton, Andrew J.
Duke University - Department of Economics Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
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502
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36
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market microstructure, error-correction, vector autoregression, price dynamics
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23.
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The Underlying Dynamics of Credit Correlations
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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
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Posted:
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06 Nov 05
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Last Revised:
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16 Jan 12
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538
(23,111)
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6
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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
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54
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6
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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
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85
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6
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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
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| Posted: |
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06 Nov 05
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Last Revised:
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16 Jan 12
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399
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6
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credit risk, credit derivatives, credit correlation, downside risk, tail risk, time series, GARCH
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24.
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Colacito, Riccardo
University of North Carolina, Chapel Hill - 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 (UNC) at Chapel Hill - Department of Economics
|
| Posted: |
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09 Mar 09
|
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Last Revised:
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18 Sep 12
|
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495
(25,818)
|
11
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| |
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| |
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25.
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Colacito, Riccardo
University of North Carolina, Chapel Hill - Kenan-Flagler Business School
|
|
485
(26,543)
|
25
|
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| |
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| |
GARCH, DCC, Forecast Evaluation
|
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26.
|
|
|
Gau, Yin-Feng
National Chi Nan University Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
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472
(27,476)
|
8
|
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| |
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| |
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27.
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Large Scale Conditional Covariance Matrix Modeling, Estimation and Testing
|
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Ding, Zhuanxin
Russell Investments Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
|
Posted:
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|
03 Nov 08
|
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Last Revised:
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|
29 Dec 08
|
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416
(32,571)
|
47
|
|
|
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|
Ding, Zhuanxin
Russell Investments Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
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202
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47
|
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| |
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| |
conditional covariance, Multivariate ARCH, Hadamard product, M-test
|
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|
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Ding, Zhuanxin
Russell Investments Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
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214
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47
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| |
|
| |
conditional covariance, Multivariate ARCH, Hadamard product, M-test
|
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|
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28.
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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
|
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373
(37,150)
|
29
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| |
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| |
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29.
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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)
|
|
369
(37,775)
|
|
|
| |
|
| |
Systemic Risk, Marginal Expected Shortfall, Multi-factor Model, Volatility, Correlation
|
|
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30.
|
|
The Spline-Garch Model for Low Frequency Volatility and its Global Macroeconomic Causes
|
Show Abstracts |
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|
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
|
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337
(42,066)
|
62
|
|
|
|
|
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Rangel, Jose Gonzalo
affiliation not provided to SSRN
|
|
48
|
62
|
|
| |
|
| |
|
|
|
|
|
|
|
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Rangel, Jose Gonzalo
affiliation not provided to SSRN
|
|
0
|
|
|
| |
|
| |
|
|
|
|
|
|
|
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: |
|
24 Oct 06
|
|
Last Revised:
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06 Oct 10
|
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289
|
62
|
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| |
|
| |
Spline-GARCH, Global Equity Volatility, Low-frequency Volatility, Semi-Parametric Models, Macroeconomic Determinants
|
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31.
|
|
What Good is a Volatility Model?
|
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|
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:
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|
07 Nov 08
|
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312
(46,066)
|
44
|
|
|
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|
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Patton, Andrew J.
Duke University - Department of Economics
|
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312
|
44
|
|
| |
|
| |
volatility modelling, ARCH, GARCH, volatility forecasting
|
|
|
|
|
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|
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Patton, Andrew J.
Duke University - Department of Economics
|
|
0
|
|
|
| |
|
| |
volatility modelling, ARCH, GARCH, volatility forecasting
|
|
|
|
|
|
32.
|
|
|
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
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307
(46,914)
|
8
|
|
| |
|
| |
|
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33.
|
|
Dynamic Conditional Beta
|
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|
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|
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
|
Posted:
|
|
22 Jun 12
|
|
Last Revised:
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|
13 Jul 12
|
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306
(47,071)
|
1
|
|
|
|
|
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
|
86
|
1
|
|
| |
|
| |
Dynamic Conditional Beta
|
|
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
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220
|
1
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| |
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| |
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34.
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Figlewski, Stephen
New York University - Stern School of Business
|
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297
(49,162)
|
1
|
|
| |
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| |
stochastic volatility, hedging correlation, implied volatility, GARCH
|
|
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35.
|
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|
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Mistry, Abhishek
affiliation not provided to SSRN
|
|
295
(49,162)
|
10
|
|
| |
|
| |
|
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36.
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|
High Frequency Multiplicative Component GARCH
|
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|
hide multiple versions |
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|
E. Sokalska, Magdalena
affiliation not provided to SSRN Chanda, Ananda
Morgan Stanley Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
|
Posted:
|
|
03 Nov 08
|
|
Last Revised:
|
|
23 Dec 08
|
|
258
(57,215)
|
3
|
|
|
|
|
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Sokalska, Magdalena
Warsaw School of Economics (SGH)
|
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155
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3
|
|
| |
|
| |
Volatility, ARCH, Intra-day Returns
|
|
|
|
|
|
|
E. Sokalska, Magdalena
affiliation not provided to SSRN Chanda, Ananda
Morgan Stanley Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
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103
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3
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|
| |
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| |
|
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37.
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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
|
|
253
(58,763)
|
4
|
|
| |
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| |
|
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38.
|
|
|
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
|
232
(64,193)
|
55
|
|
| |
|
| |
ARCH, GARCH, volatility, non-linear process, non-negative process, option pricing, stochastic volatility, long memory, Least Squares Monte Carlo, ACD, Multiplicative Error Model, MEM
|
|
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39.
|
|
|
Hylleberg, Svend
University of Aarhus - Department of Economics Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
|
213
(70,149)
|
4
|
|
| |
|
| |
|
|
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40.
|
|
Testing the Volatility Term Structure Using Option Hedging Criteria
|
Show Abstracts |
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|
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|
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
|
|
194
(77,115)
|
6
|
|
|
|
|
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Rosenberg, Joshua V.
Federal Reserve Bank of New York
|
|
46
|
6
|
|
| |
|
| |
|
|
|
|
|
|
|
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Rosenberg, Joshua V.
Federal Reserve Bank of New York
|
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148
|
6
|
|
| |
|
| |
|
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41.
|
|
|
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Rangel, J. Gonzalo
affiliation not provided to SSRN
|
|
193
(77,492)
|
63
|
|
| |
|
| |
|
|
|
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
|
|
192
(77,881)
|
25
|
|
| |
|
| |
|
|
|
43.
|
|
Term Structure of Risk, the Role of Known and Unknown Risks and Non-Stationary Distributions
|
Show Abstracts |
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|
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|
Colacito, Riccardo
University of North Carolina, Chapel Hill - 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
|
|
183
(81,982)
|
1
|
|
|
|
|
Colacito, Riccardo
University of North Carolina, Chapel Hill - Kenan-Flagler Business School Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
|
76
|
1
|
|
| |
|
| |
|
|
|
|
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|
|
Colacito, Riccardo
University of North Carolina, Chapel Hill - Kenan-Flagler Business School Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
|
107
|
1
|
|
| |
|
| |
|
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44.
|
|
|
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:
|
|
19 Apr 13
|
|
181
(82,379)
|
|
|
| |
|
| |
Value Premium, Book-to-Market, Conditional CAPM, ICAPM, Dynamic Conditional Beta
|
|
|
45.
|
|
A MEM-Based Analysis of Volatility Spillovers in East Asian Financial Markets
|
Show Abstracts |
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|
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|
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica Velucchi, Margherita
University of Florence - Dipartimento di Statistica
|
|
Posted:
|
|
14 Oct 08
|
|
Last Revised:
|
|
16 Feb 12
|
|
176
(84,610)
|
4
|
|
|
|
|
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica Velucchi, Margherita
University of Florence - Dipartimento di Statistica
|
|
104
|
4
|
|
| |
|
| |
|
|
|
|
|
|
|
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica Velucchi, Margherita
University of Florence - Dipartimento di Statistica
|
|
72
|
4
|
|
| |
|
| |
Volatility, Multiplicative Error Models, Asian Crisis, Market integration
|
|
|
|
|
|
46.
|
|
|
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:
|
|
06 May 12
|
|
174
(85,563)
|
6
|
|
| |
|
| |
Factor models, Dynamic correlation, Spline-GARCH, DCC, Idiosyncratic volatility, Time-varying betas, Long-term forecast evaluation.
|
|
|
47.
|
|
|
Manganelli , Simone
European Central Bank (ECB) Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
|
143
(102,151)
|
113
|
|
| |
|
| |
|
|
|
48.
|
|
Semiparametric Vector MEM
|
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|
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|
Cipollini, Fabrizio
Universita di Firenze, Dipartimento di Statistica Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica
|
|
Posted:
|
|
12 Oct 08
|
|
Last Revised:
|
|
28 Apr 09
|
|
139
(104,610)
|
3
|
|
|
|
|
Cipollini, Fabrizio
Universita di Firenze, Dipartimento di Statistica Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica
|
|
64
|
3
|
|
| |
|
| |
|
|
|
|
|
|
|
Cipollini, Fabrizio
Universita di Firenze, Dipartimento di Statistica Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica
|
|
75
|
3
|
|
| |
|
| |
GARCH, GMM, MEM, NYSE, number of trades, realized volatility, volumes
|
|
|
|
|
|
49.
|
|
|
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
|
|
133
(108,580)
|
|
|
| |
|
| |
Factor-Spline-GARCH, Multiple factors, International correlations, Non-synchronous trading
|
|
|
50.
|
|
|
Cipollini, Fabrizio
Universita di Firenze, Dipartimento di Statistica Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica
|
|
127
(112,772)
|
4
|
|
| |
|
| |
GARCH, MEM, Volatility, Copula, financial time series
|
|
|
51.
|
|
A Multiple Indicators Model for Volatility Using Intra-Daily Data
|
Show Abstracts |
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|
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|
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica
|
|
Posted:
|
|
05 Dec 03
|
|
Last Revised:
|
|
25 Aug 10
|
|
123
(115,769)
|
57
|
|
|
|
|
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica
|
|
76
|
57
|
|
| |
|
| |
volatility modeling, volatility forecasting, GARCH, VIX, high-low range, realized volatility
|
|
|
|
|
|
|
Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
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47
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57
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|
| |
|
| |
|
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52.
|
|
|
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Ferstenberg, Robert
Morgan Stanley
|
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115
(122,131)
|
15
|
|
| |
|
| |
|
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53.
|
|
|
Cho, Young-Hye
affiliation not provided to SSRN Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
|
112
(124,621)
|
15
|
|
| |
|
| |
|
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54.
|
|
Empirical Pricing Kernels
|
Show Abstracts |
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|
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|
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
(128,931)
|
111
|
|
|
|
|
Rosenberg, Joshua V.
Federal Reserve Bank of New York Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
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53
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111
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|
| |
|
| |
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Rosenberg, Joshua V.
Federal Reserve Bank of New York Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
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25
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111
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|
| |
|
| |
|
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|
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Rosenberg, Joshua V.
Federal Reserve Bank of New York Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
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29
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111
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|
| |
|
| |
|
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|
Rosenberg, Joshua V.
Federal Reserve Bank of New York Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
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0
|
|
|
| |
|
| |
Pricing kernels, Risk aversion, Derivatives, Hedging
|
|
|
|
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55.
|
|
|
Cho, Young-Hye
affiliation not provided to SSRN Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
|
102
(133,399)
|
21
|
|
| |
|
| |
|
|
|
56.
|
|
Vector Multiplicative Error Models: Representation and Inference
|
Show Abstracts |
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Versions (4)
|
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|
Cipollini, Fabrizio
Universita di Firenze, Dipartimento di Statistica Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica
|
|
Posted:
|
|
20 Nov 06
|
|
Last Revised:
|
|
31 May 11
|
|
99
(136,203)
|
10
|
|
|
|
|
Cipollini, Fabrizio
Universita di Firenze, Dipartimento di Statistica Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica
|
|
8
|
10
|
|
| |
|
| |
|
|
|
|
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|
|
Cipollini, Fabrizio
Universita di Firenze, Dipartimento di Statistica Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica
|
|
29
|
10
|
|
| |
|
| |
|
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|
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|
Cipollini, Fabrizio
Universita di Firenze, Dipartimento di Statistica Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica
|
|
38
|
10
|
|
| |
|
| |
|
|
|
|
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Cipollini, Fabrizio
Universita di Firenze, Dipartimento di Statistica Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica
|
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24
|
10
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|
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57.
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|
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
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81
(155,199)
|
109
|
|
| |
|
| |
|
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58.
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|
|
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)
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71
(168,040)
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2
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59.
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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 (UNC) at Chapel Hill - Department of Economics Nguyen, Giang
University of North Carolina (UNC) at Chapel Hill
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69
(170,788)
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liquidity, Treasury market, limit order book, financial crisis, volatility, announcement
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60.
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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)
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62
(180,781)
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26
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61.
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Russell, John
University of Southampton - School of Management Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
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62
(180,781)
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17
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62.
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Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights
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Versions (3)
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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
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|
Posted:
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04 Apr 13
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Last Revised:
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20 Apr 13
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53
(195,292)
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|
|
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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
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6
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|
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|
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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
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|
1
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|
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| |
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| |
macroprudential regulation, risk-weighted assets, stress test, systemic risk
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|
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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: |
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04 Apr 13
|
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Last Revised:
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10 Apr 13
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46
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macroprudential regulation, stress test, systemic risk, risk-weighted assets
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63.
|
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Kozicki, Sharon
Bank of Canada Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
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53
(195,292)
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69
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64.
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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
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52
(197,047)
|
99
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|
| |
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65.
|
|
GARCH Gamma
|
Show Abstracts |
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Versions (2)
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|
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:
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|
10 Oct 98
|
|
Last Revised:
|
|
30 Jul 10
|
|
52
(197,047)
|
6
|
|
|
|
|
Rosenberg, Joshua V.
Federal Reserve Bank of New York Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
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52
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6
|
|
| |
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| |
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|
|
|
|
|
Rosenberg, Joshua V.
Federal Reserve Bank of New York Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
|
0
|
|
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| |
|
| |
|
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66.
|
|
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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
|
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49
(202,311)
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6
|
|
| |
|
| |
|
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67.
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Ng, Victor K.
International Monetary Fund (IMF) - Research Department Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
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40
(219,905)
|
18
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68.
|
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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
|
|
39
(221,995)
|
76
|
|
| |
|
| |
|
|
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69.
|
|
|
Rosenberg, Joshua V.
Federal Reserve Bank of New York Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
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38
(224,129)
|
|
|
| |
|
| |
|
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70.
|
|
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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
|
|
31
(240,683)
|
1
|
|
| |
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| |
|
|
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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
|
|
29
(246,109)
|
13
|
|
| |
|
| |
|
|
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72.
|
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Issler, João Victor
Getulio Vargas Foundation (FGV) - Graduate School of Economics Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
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24
(261,569)
|
1
|
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| |
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73.
|
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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)
|
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11
(307,195)
|
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| |
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| |
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74.
|
|
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
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4
(328,177)
|
|
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| |
|
| |
|
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75.
|
|
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
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76.
|
|
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
| Posted: |
|
19 Jan 10
|
|
Last Revised:
|
|
02 Jun 10
|
|
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| |
|
| |
Risk, long-term risk, short-run risk, financial crisis, GARCH, TARCH, spline GARCH. value at risk, hedge portfolio
|
|
|
77.
|
|
Trades and Quotes: A Bivariate Point Process
|
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|
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|
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
|
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Lunde, Asger
CREATES Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
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0
|
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| |
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| |
duration analysis, market microstructure, transaction data
|
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Lunde, Asger
CREATES Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
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0
|
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78.
|
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Lin, Wenling
Office of Comptroller of Currency Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
|
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| |
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| |
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79.
|
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Li, Li
University of California, San Diego (UCSD) Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
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80.
|
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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
|
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81.
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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
|
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| |
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82.
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|
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
|
|
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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
|
|
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| |
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| |
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84.
|
|
|
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.
|
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