Robert F. Engle

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

Professor of Finance; Director, Volatility Institute

269 Mercer Street

New York, NY 10003

United States

New York University (NYU) - Department of Finance

Michael Armellino Professorship in the Management of Financial Services

Stern School of Business

44 West 4th Street

New York, NY 10012-1126

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

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

SCHOLARLY PAPERS

97

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2,533

Scholarly Papers (97)

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1.

SRISK: A Conditional Capital Shortfall Measure of Systemic Risk

Number of pages: 47 Posted: 18 May 2010 Last Revised: 05 Aug 2016
Christian T. Brownlees and Robert F. Engle
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 11,311 (325)
Citation 6

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Systemic Risk Measurement, Forecasting

2.

Value at Risk Models in Finance

ECB Working Paper No. 75
Number of pages: 41 Posted: 25 Feb 2003
Simone Manganelli and Robert F. Engle
European Central Bank (ECB) and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 6,152 (1,007)
Citation 14

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Value at Risk; CAViaR; Extreme Value Theory

3.

Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models

Downloads 4,141 ( 2,010)
Citation 187

Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models

UCSD Economics Discussion Paper No. 2000-09
Number of pages: 28 Posted: 01 Dec 2000
Robert F. Engle
New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 2,369 (5,128)
Citation 187

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ARCH, GARCH, Correlation, Time Series, Value at Risk

Dynamic Conditional Correlation : A Simple Class of Multivariate GARCH Models

NYU Working Paper No. S-DRP-02-01
Number of pages: 34 Posted: 07 Nov 2008
Robert F. Engle
New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 1,350 (13,074)
Citation 184

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Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models

NYU Working Paper No. FIN-02-038
Number of pages: 34 Posted: 03 Nov 2008
Robert F. Engle
New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 287 (102,771)
Citation 184

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Dynamic Conditional Correlation a Simple Class of Multivariate GARCH Models

NYU Working Paper No. FIN-00-034
Number of pages: 27 Posted: 04 Nov 2008
Robert F. Engle
New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 135 (208,802)
Citation 184

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4.

A Practical Guide to Volatility Forecasting through Calm and Storm

Number of pages: 23 Posted: 10 Nov 2009 Last Revised: 15 Nov 2013
Christian T. Brownlees, Robert F. Engle and Bryan T. Kelly
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, New York University - Leonard N. Stern School of Business - Department of Economics and Yale SOM
Downloads 3,073 (3,387)
Citation 6

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Volatility, ARCH, Forecasting, Forecast Evaluation

5.

A GARCH Option Pricing Model with Filtered Historical Simulation

Downloads 3,001 ( 3,519)
Citation 22

A GARCH Option Pricing Model with Filtered Historical Simulation

Review of Financial Studies, 2008
Number of pages: 54 Posted: 15 Oct 2004 Last Revised: 29 Apr 2008
Giovanni Barone-Adesi, Robert F. Engle and Loriano Mancini
University of Lugano, New York University - Leonard N. Stern School of Business - Department of Economics and USI Lugano - Institute of Finance
Downloads 3,001 (3,447)
Citation 22

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Option pricing, GARCH model, state price density, Monte Carlo simulation

A GARCH Option Pricing Model with Filtered Historical Simulation

The Review of Financial Studies, Vol. 21, Issue 3, pp. 1223-1258, 2008
Posted: 02 Jul 2008
Giovanni Barone-Adesi, Robert F. Engle and Loriano Mancini
University of Lugano, New York University - Leonard N. Stern School of Business - Department of Economics and USI Lugano - Institute of Finance

Abstract:

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G13

6.

On the Economic Sources of Stock Market Volatility

Downloads 2,524 ( 4,713)
Citation 28

On the Economic Sources of Stock Market Volatility

AFA 2008 New Orleans Meetings Paper
Number of pages: 54 Posted: 21 Mar 2007 Last Revised: 18 Sep 2012
Robert F. Engle, Eric Ghysels and Bumjean Sohn
New York University - Leonard N. Stern School of Business - Department of Economics, University of North Carolina Kenan-Flagler Business School and Korea University Business School
Downloads 2,106 (6,256)
Citation 28

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stock market volatility, macroeconomic variables, volatility decomposition, cross-section of returns

On the Economic Sources of Stock Market Volatility

NYU Working Paper No. FIN-08-043
Number of pages: 54 Posted: 09 Mar 2009
Robert F. Engle, Eric Ghysels and Bumjean Sohn
New York University - Leonard N. Stern School of Business - Department of Economics, University of North Carolina Kenan-Flagler Business School and Korea University Business School
Downloads 418 (66,709)
Citation 28

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7.

GARCH 101: An Introduction to the Use of Arch/Garch Models in Applied Econometrics

NYU Working Paper No. FIN-01-030
Number of pages: 25 Posted: 03 Nov 2008
Robert F. Engle
New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 2,424 (5,035)
Citation 2

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8.

Systemic Risk in Europe

Review of Finance (2015) 19(1), 145-190
Number of pages: 55 Posted: 22 Dec 2012 Last Revised: 09 Feb 2016
Robert F. Engle, Eric Jondeau and Michael Rockinger
New York University - Leonard N. Stern School of Business - Department of Economics, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 1,927 (7,462)
Citation 5

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Systemic Risk, Marginal Expected Shortfall, Multi-factor Model

9.

Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns

Downloads 1,824 ( 8,195)
Citation 1

Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns

Number of pages: 55 Posted: 23 Jun 2012 Last Revised: 15 Apr 2016
Turan G. Bali, Robert F. Engle and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, New York University - Leonard N. Stern School of Business - Department of Economics and Fordham University - Gabelli School of Business
Downloads 1,316 (13,578)
Citation 1

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Dynamic conditional beta, conditional CAPM, ICAPM, investor attention, buying intensity, and expected stock returns

Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns

Georgetown McDonough School of Business Research Paper 2012-16
Number of pages: 56 Posted: 24 Jul 2012 Last Revised: 15 Apr 2016
Turan G. Bali, Robert F. Engle and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, New York University - Leonard N. Stern School of Business - Department of Economics and Fordham University - Gabelli School of Business
Downloads 508 (52,351)
Citation 1

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Dynamic conditional beta, conditional CAPM, ICAPM, investor attention, buying intensity, and expected stock returns

10.

Dynamic Conditional Beta

Downloads 1,703 ( 9,176)
Citation 3

Dynamic Conditional Beta

Number of pages: 45 Posted: 04 Mar 2014 Last Revised: 12 Aug 2015
Robert F. Engle
New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 935 (22,799)
Citation 3

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GARCH, DCC, Time Varying Parameters, Multivariate GARCH, Non-Nested Tests, Multi-factor Asset Pricing, Systemic Risk, SRISK

Dynamic Conditional Beta

Number of pages: 30 Posted: 22 Jun 2012
Robert F. Engle
New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 607 (41,514)
Citation 3

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Dynamic Conditional Beta

NYU Working Paper No. 2451/31582
Number of pages: 30 Posted: 04 Jul 2012
Robert F. Engle
New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 161 (180,329)
Citation 3

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Dynamic Conditional Beta

11.

Time-Varying Arrival Rates of Informed and Uninformed Trades

Downloads 1,629 ( 9,848)
Citation 48

Time-Varying Arrival Rates of Informed and Uninformed Trades

AFA 2002 Atlanta Meetings
Number of pages: 38 Posted: 21 Dec 2001
David Easley, Liuren Wu, Robert F. Engle and Maureen O'Hara
Cornell University - Department of Economics, City University of New York, CUNY Baruch College - Zicklin School of Business, New York University - Leonard N. Stern School of Business - Department of Economics and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 1,629 (9,672)
Citation 48

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Time-Varying Arrival Rates of Informed and Uninformed Trades

Journal of Financial Econometrics, Vol. 6, Issue 2, pp. 171-207, 2008
Posted: 10 Jul 2008
David Easley, Robert F. Engle, Maureen O'Hara and Liuren Wu
Cornell University - Department of Economics, New York University - Leonard N. Stern School of Business - Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and City University of New York, CUNY Baruch College - Zicklin School of Business

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C51, C53, G10, G12, G14, Arrival rates, informed trades, uninformed trades, autoregressive process, market depth, liquidity

12.

Pricing Exchange Traded Funds

NYU Working Paper No. S-DRP-02-11
Number of pages: 28 Posted: 07 Nov 2008
Robert F. Engle and Debojyoti Sarkar
New York University - Leonard N. Stern School of Business - Department of Economics and Integral Research Inc.
Downloads 1,373 (12,988)
Citation 15

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13.

Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

Downloads 1,251 ( 14,982)
Citation 144

Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

ECB Working Paper No. 204
Number of pages: 66 Posted: 04 Feb 2003
Lorenzo Cappiello, Robert F. Engle and Kevin Sheppard
European Central Bank (ECB), New York University - Leonard N. Stern School of Business - Department of Economics and University of Oxford - Department of Economics
Downloads 1,251 (14,692)
Citation 144

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International Finance, Correlation, Variance Targeting, Multivariate GARCH, International Stock and Bond correlation

Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

Journal of Financial Econometrics, Vol. 4, Issue 4, pp. 537-572, 2006
Posted: 02 Apr 2008
Lorenzo Cappiello, Robert F. Engle and Kevin Sheppard
European Central Bank (ECB), New York University - Leonard N. Stern School of Business - Department of Economics and University of Oxford - Department of Economics

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dynamic conditional correlation' international stock and bond correlation' multivariate GARCH' variance targeting

14.

Investigating ICAPM with Dynamic Conditional Correlations

Downloads 1,222 ( 15,553)
Citation 10

Investigating ICAPM with Dynamic Conditional Correlations

AFA 2009 San Francisco Meetings Paper
Number of pages: 61 Posted: 04 Feb 2008 Last Revised: 27 Feb 2012
Turan G. Bali and Robert F. Engle
Georgetown University - Robert Emmett McDonough School of Business and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 1,005 (20,541)
Citation 10

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ICAPM, Dynamic conditional correlation, ARCH, Risk aversion, Dow Jones

Investigating Icapm with Dynamic Conditional Correlations

NYU Working Paper No. FIN-07-051
Number of pages: 67 Posted: 13 Nov 2008
Turan G. Bali and Robert F. Engle
Georgetown University - Robert Emmett McDonough School of Business and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 217 (137,076)
Citation 10

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ICAPM, Dynamic conditional correlation, ARCH, Risk aversion, Dow Jones

15.

Fitting Vast Dimensional Time-Varying Covariance Models

Downloads 1,145 ( 17,169)
Citation 32

Fitting Vast Dimensional Time-Varying Covariance Models

NYU Working Paper No. FIN-08-009
Number of pages: 35 Posted: 09 Mar 2009 Last Revised: 05 Dec 2018
Cavit Pakel, Neil Shephard, Kevin Sheppard and Robert F. Engle
Bilkent University - Department of Economics, Harvard University, University of Oxford - Department of Economics and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 808 (28,175)
Citation 31

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Fitting and Testing Vast Dimensional Time-Varying Covariance Models

NYU Working Paper No. FIN-07-046
Number of pages: 28 Posted: 03 Nov 2008
Robert F. Engle, Neil Shephard and Kevin Sheppard
New York University - Leonard N. Stern School of Business - Department of Economics, Harvard University and University of Oxford - Department of Economics
Downloads 337 (86,053)
Citation 28

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16.

Forecasting Volatility Using Tick by Tick Data

Forthcoming
Number of pages: 45 Posted: 10 Mar 2005
Robert F. Engle and Zheng Sun
New York University - Leonard N. Stern School of Business - Department of Economics and University of California, Irvine - Paul Merage School of Business
Downloads 1,118 (17,794)
Citation 7

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volatility, tick by tick data, duration, microstructure noise, ACD, Kalman Filter

17.

Dynamic Equicorrelation

NYU Working Paper No. FIN-08-038, Chicago Booth Research Paper No. 12-07, Fama-Miller Working Paper
Number of pages: 40 Posted: 09 Mar 2009 Last Revised: 10 Nov 2015
Robert F. Engle and Bryan T. Kelly
New York University - Leonard N. Stern School of Business - Department of Economics and Yale SOM
Downloads 1,102 (18,186)
Citation 31

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18.

Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market

Downloads 1,082 ( 18,713)
Citation 8

Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market

UCSD Economics Discussion Paper 97-12R
Number of pages: 24 Posted: 10 Feb 1998
Joe Lange and Robert F. Engle
Cornerstone Research and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 1,025 (19,884)
Citation 8

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Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market

NBER Working Paper No. w6129
Number of pages: 24 Posted: 24 Jul 2000 Last Revised: 06 Apr 2008
Joe Lange and Robert F. Engle
Cornerstone Research and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 57 (362,998)
Citation 8

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19.

Measuring and Testing the Impact of News on Volatility

NBER Working Paper No. w3681
Number of pages: 32 Posted: 18 Jun 2004 Last Revised: 26 Jul 2010
Robert F. Engle and Victor K. Ng
New York University - Leonard N. Stern School of Business - Department of Economics and International Monetary Fund (IMF) - Research Department
Downloads 1,061 (19,250)
Citation 409

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20.

Resurrecting the Conditional CAPM with Dynamic Conditional Correlations

Downloads 986 ( 21,485)
Citation 4

Resurrecting the Conditional CAPM with Dynamic Conditional Correlations

Number of pages: 56 Posted: 10 Nov 2008 Last Revised: 27 Feb 2012
Turan G. Bali and Robert F. Engle
Georgetown University - Robert Emmett McDonough School of Business and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 503 (52,983)
Citation 4

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G12; G13; C51

Resurrecting the Conditional CAPM with Dynamic Conditional Correlations

Number of pages: 56 Posted: 23 Mar 2009 Last Revised: 27 Feb 2012
Turan G. Bali and Robert F. Engle
Georgetown University - Robert Emmett McDonough School of Business and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 283 (104,331)
Citation 4

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ICAPM, Risk-return tradeoff, Risk aversion, Multivariate GARCH-in-mean

Resurrecting the Conditional CAPM with Dynamic Conditional Correlations

NYU Working Paper No. FIN-08-037
Number of pages: 56 Posted: 09 Mar 2009 Last Revised: 27 Feb 2012
Turan G. Bali and Robert F. Engle
Georgetown University - Robert Emmett McDonough School of Business and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 200 (148,212)
Citation 4

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21.

Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH

Downloads 819 ( 28,115)
Citation 165

Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH

NYU Working Paper No. S-DRP-01-10
Number of pages: 43 Posted: 07 Nov 2008
Robert F. Engle and Kevin Sheppard
New York University - Leonard N. Stern School of Business - Department of Economics and University of Oxford - Department of Economics
Downloads 421 (66,172)
Citation 159

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Dynamic Correlation, Multivariate GARCH, Volatility

Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH

NBER Working Paper No. w8554
Number of pages: 44 Posted: 18 Oct 2001
Kevin Sheppard and Robert F. Engle
University of Oxford - Department of Economics and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 319 (91,543)
Citation 165

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Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH

NYU Working Paper No. FIN-01-027
Number of pages: 43 Posted: 03 Nov 2008
Robert F. Engle and Kevin Sheppard
New York University - Leonard N. Stern School of Business - Department of Economics and University of Oxford - Department of Economics
Downloads 79 (303,582)
Citation 159

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22.

Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model

CRSP Working Paper No. 470; University of California at San Diego Working Paper No. 98-10
Number of pages: 33 Posted: 14 Aug 1998
Jeffrey R. Russell and Robert F. Engle
University of Chicago - Booth School of Business - Econometrics and Statistics and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 815 (28,295)
Citation 13

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23.

A Component Model for Dynamic Correlations

Journal of Econometrics, Forthcoming
Number of pages: 51 Posted: 09 Mar 2009 Last Revised: 15 Nov 2013
Ric Colacito, Robert F. Engle and Eric Ghysels
University of North Carolina Kenan-Flagler Business School, New York University - Leonard N. Stern School of Business - Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 799 (29,066)
Citation 11

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24.

Large Scale Conditional Covariance Matrix Modeling, Estimation and Testing

Downloads 788 ( 29,621)
Citation 45

Large Scale Conditional Covariance Matrix Modeling, Estimation and Testing

NYU Working Paper No. FIN-01-029
Number of pages: 18 Posted: 03 Nov 2008
Zhuanxin Ding and Robert F. Engle
Russell Investments and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 434 (63,742)
Citation 45

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conditional covariance, Multivariate ARCH, Hadamard product, M-test

Large Scale Conditional Covariance Matrix Modeling, Estimation and Testing

NYU Working Paper No. S-DRP-01-07
Number of pages: 18 Posted: 07 Nov 2008
Zhuanxin Ding and Robert F. Engle
Russell Investments and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 354 (81,242)
Citation 45

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conditional covariance, Multivariate ARCH, Hadamard product, M-test

25.

Measuring and Modeling Execution Cost and Risk

Downloads 741 ( 32,223)
Citation 17

Measuring and Modeling Execution Cost and Risk

NYU Working Paper No. FIN-06-044
Number of pages: 54 Posted: 03 Nov 2008
Robert F. Engle, Robert Ferstenberg and Jeffrey R. Russell
New York University - Leonard N. Stern School of Business - Department of Economics, Morgan Stanley and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 594 (42,755)
Citation 17

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Measuring and Modeling Execution Cost and Risk

NYU Working Paper No. FIN-07-044
Number of pages: 30 Posted: 03 Nov 2008
Robert F. Engle, Robert Ferstenberg and Jeffrey R. Russell
New York University - Leonard N. Stern School of Business - Department of Economics, Morgan Stanley and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 147 (194,815)
Citation 17

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Measuring and Modeling Execution Cost and Risk

Chicago GSB Research Paper No. 08-09, https://doi.org/10.3905/jpm.2012.38.2.014
Posted: 21 May 2019
Robert F. Engle, Robert Ferstenberg and Jeffrey R. Russell
New York University - Leonard N. Stern School of Business - Department of Economics, Morgan Stanley and University of Chicago - Booth School of Business - Econometrics and Statistics

Abstract:

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26.

The Conditional CAPM Explains the Value Premium

Georgetown McDonough School of Business Research Paper, Sloan Foundation Economics Research Paper
Number of pages: 41 Posted: 18 Nov 2012 Last Revised: 25 Mar 2014
Turan G. Bali and Robert F. Engle
Georgetown University - Robert Emmett McDonough School of Business and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 730 (32,885)

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Value Premium, Book-to-Market, Conditional CAPM, ICAPM, Dynamic Conditional Beta

27.

Modeling the Dynamics of Correlations Among Implied Volatilities

The Review of Finance, Forthcoming
Number of pages: 40 Posted: 15 Jul 2012 Last Revised: 02 Oct 2015
Robert F. Engle and Stephen Figlewski
New York University - Leonard N. Stern School of Business - Department of Economics and New York University - Stern School of Business
Downloads 687 (35,734)
Citation 3

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stochastic volatility, hedging correlation, implied volatility, GARCH

28.

Option Hedging Using Empirical Pricing Kernels

Downloads 655 ( 38,084)
Citation 32

Option Hedging Using Empirical Pricing Kernels

UCSD Economics Discussion Paper 97-20
Number of pages: 35 Posted: 21 Dec 1997
Joshua V. Rosenberg and Robert F. Engle
Federal Reserve Bank of New York and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 606 (41,617)
Citation 32

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Option Hedging Using Empirical Pricing Kernels

NBER Working Paper No. w6222
Number of pages: 35 Posted: 16 Jul 2000 Last Revised: 06 Oct 2010
Joshua V. Rosenberg and Robert F. Engle
Federal Reserve Bank of New York and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 49 (389,524)
Citation 32

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29.

The Underlying Dynamics of Credit Correlations

Downloads 631 ( 39,999)
Citation 7

The Underlying Dynamics of Credit Correlations

Journal of Credit Risk, Vol. 3, No. 2, p. 27
Number of pages: 37 Posted: 06 Nov 2005 Last Revised: 16 Jan 2012
Arthur M. Berd, Robert F. Engle and Artem B. Voronov
General Quantitative, LLC, New York University - Leonard N. Stern School of Business - Department of Economics and New York University (NYU) - Department of Economics
Downloads 455 (60,182)
Citation 7

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credit risk, credit derivatives, credit correlation, downside risk, tail risk, time series, GARCH

The Underlying Dynamics of Credit Correlations

NYU Working Paper No. S-DRP-05-04
Number of pages: 45 Posted: 05 Nov 2008
Arthur M. Berd, Robert F. Engle and Artem B. Voronov
General Quantitative, LLC, New York University - Leonard N. Stern School of Business - Department of Economics and New York University (NYU) - Department of Economics
Downloads 107 (248,999)
Citation 7

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The Underlying Dynamics of Credit Correlations

NYU Working Paper No. SC-CFE-05-04
Number of pages: 43 Posted: 07 Nov 2008
Arthur M. Berd, Robert F. Engle and Artem B. Voronov
General Quantitative, LLC, New York University - Leonard N. Stern School of Business - Department of Economics and New York University (NYU) - Department of Economics
Downloads 69 (328,403)
Citation 7

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30.

The Spline-Garch Model for Low Frequency Volatility and its Global Macroeconomic Causes

Downloads 630 ( 40,073)
Citation 64

The Spline-Garch Model for Low Frequency Volatility and its Global Macroeconomic Causes

Review of Financial Studies, Vol. 21, 2008
Number of pages: 51 Posted: 24 Oct 2006 Last Revised: 06 Oct 2010
Robert F. Engle and Jose Gonzalo Rangel
New York University - Leonard N. Stern School of Business - Department of Economics and Goldman Sachs Group, Inc. - Global Investment Research
Downloads 565 (45,678)
Citation 64

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Spline-GARCH, Global Equity Volatility, Low-frequency Volatility, Semi-Parametric Models, Macroeconomic Determinants

The Spline-Garch Model for Low Frequency Volatility and its Global Macroeconomic Causes

NYU Working Paper No. FIN-07-049
Number of pages: 52 Posted: 03 Nov 2008
Robert F. Engle and Jose Gonzalo Rangel
New York University - Leonard N. Stern School of Business - Department of Economics and affiliation not provided to SSRN
Downloads 65 (339,272)
Citation 64

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The Spline-GARCH Model for Low-Frequency Volatility and its Global Macroeconomic Causes

The Review of Financial Studies, Vol. 21, Issue 3, pp. 1187-1222, 2008
Posted: 02 Jul 2008
Robert F. Engle and Jose Gonzalo Rangel
New York University - Leonard N. Stern School of Business - Department of Economics and affiliation not provided to SSRN

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31.

Structural GARCH: The Volatility-Leverage Connection

Harvard Business School Finance Working Paper No. 16-009
Number of pages: 62 Posted: 21 Apr 2015 Last Revised: 28 Oct 2016
Robert F. Engle and Emil Siriwardane
New York University - Leonard N. Stern School of Business - Department of Economics and Harvard Business School - Finance Unit
Downloads 613 (41,563)

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GARCH, Leverage, Credit Risk, Systemic Risk, SRISK, Structural Models of Credit, Leverage Effect

32.

Impacts of Trades in an Error-Correction Model of Quote Prices

Downloads 604 ( 42,396)
Citation 36

Impacts of Trades in an Error-Correction Model of Quote Prices

UCSD Economics Working Paper No. 2000-26; Twelfth Annual Utah Winter Finance Conference
Number of pages: 40 Posted: 17 Apr 2001
Andrew J. Patton and Robert F. Engle
Duke University - Department of Economics and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 544 (47,928)
Citation 36

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market microstructure, error-correction, vector autoregression, price dynamics

Impacts of Trades in an Error-Correction Model of Quote Prices

NYU Working Paper No. FIN-00-033
Number of pages: 52 Posted: 04 Nov 2008
Robert F. Engle and Andrew J. Patton
New York University - Leonard N. Stern School of Business - Department of Economics and Duke University - Department of Economics
Downloads 60 (353,667)
Citation 35

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market microstructure, error-correction, vector autoregression, price dynamics

33.

Testing and Valuing Dynamic Correlations for Asset Allocation

Journal of Business and Economic Statistics, Vol. 24, N. 2,, pp. 238-253, April 2006
Number of pages: 48 Posted: 15 Sep 2008
Robert F. Engle and Ric Colacito
New York University - Leonard N. Stern School of Business - Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 578 (44,923)
Citation 29

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GARCH, DCC, Forecast Evaluation

34.

Global Systemic Risk: What's Driving the Shadow Banking System?

Institute of Global Finance Working Paper No. 1
Number of pages: 16 Posted: 17 Nov 2015
Robert F. Engle, Fariborz Moshirian and Christopher Wong
New York University - Leonard N. Stern School of Business - Department of Economics, Institute of Global Finance, UNSW Business School and University of New South Wales (UNSW), UNSW Business School, School of Economics, Students
Downloads 576 (45,127)

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35.

Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights

Downloads 553 ( 47,567)
Citation 4

Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights

Number of pages: 51 Posted: 04 Apr 2013 Last Revised: 01 Oct 2015
Viral V. Acharya, Robert F. Engle and Diane Pierret
New York University - Leonard N. Stern School of Business, New York University - Leonard N. Stern School of Business - Department of Economics and HEC - University of Lausanne
Downloads 530 (49,600)
Citation 4

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macroprudential regulation, stress test, systemic risk, risk-weighted assets

Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights

NBER Working Paper No. w18968
Number of pages: 45 Posted: 20 Apr 2013
Viral V. Acharya, Robert F. Engle and Diane Pierret
New York University - Leonard N. Stern School of Business, New York University - Leonard N. Stern School of Business - Department of Economics and HEC - University of Lausanne
Downloads 19 (533,569)
Citation 4

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Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights

CEPR Discussion Paper No. DP9431
Number of pages: 48 Posted: 16 Apr 2013
Viral V. Acharya, Robert F. Engle and Diane Pierret
New York University - Leonard N. Stern School of Business, New York University - Leonard N. Stern School of Business - Department of Economics and HEC - University of Lausanne
Downloads 2 (651,388)
Citation 4
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macroprudential regulation, risk-weighted assets, stress test, systemic risk

Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights

CEPR Discussion Paper No. DP9800
Number of pages: 51 Posted: 02 Jun 2014
Viral V. Acharya, Robert F. Engle and Diane Pierret
New York University - Leonard N. Stern School of Business, New York University - Leonard N. Stern School of Business - Department of Economics and HEC - University of Lausanne
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macroprudential regulation, risk-weighted assets, stress test, systemic risk

36.

What Good is a Volatility Model?

Downloads 551 ( 47,782)
Citation 45

What Good is a Volatility Model?

NYU Working Paper No. S-DRP-01-03
Number of pages: 29 Posted: 07 Nov 2008
Robert F. Engle and Andrew J. Patton
New York University - Leonard N. Stern School of Business - Department of Economics and Duke University - Department of Economics
Downloads 551 (47,198)
Citation 45

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volatility modelling, ARCH, GARCH, volatility forecasting

What Good is a Volatility Model?

NYU Working Paper No. FIN-01-028
Posted: 03 Nov 2008
Robert F. Engle and Andrew J. Patton
New York University - Leonard N. Stern School of Business - Department of Economics and Duke University - Department of Economics

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volatility modelling, ARCH, GARCH, volatility forecasting

37.

How Much SRISK Is Too Much?

Number of pages: 50 Posted: 09 Feb 2018 Last Revised: 04 Oct 2018
Robert F. Engle and Tianyue Ruan
New York University - Leonard N. Stern School of Business - Department of Economics and National University of Singapore (NUS) - Department of Finance
Downloads 535 (49,580)

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systemic risk, financial crisis

38.

High Dimension Dynamic Correlations

NYU Working Paper No. FIN-07-045
Number of pages: 45 Posted: 03 Nov 2008
Robert F. Engle
New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 533 (49,837)
Citation 7

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39.

Conditional Volatility of Exchange Rates Under a Target Zone

Number of pages: 24 Posted: 12 May 1997
Yin-Feng Gau and Robert F. Engle
National Central University and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 504 (53,469)
Citation 8

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40.

High Frequency Multiplicative Component GARCH

Downloads 476 ( 57,540)
Citation 3

High Frequency Multiplicative Component GARCH

NYU Working Paper No. SC-CFE-05-05
Number of pages: 30 Posted: 07 Nov 2008
Robert F. Engle and Magdalena Sokalska
New York University - Leonard N. Stern School of Business - Department of Economics and City University of New York
Downloads 307 (95,534)
Citation 3

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Volatility, ARCH, Intra-day Returns

High Frequency Multiplicative Component GARCH

NYU Working Paper No.
Number of pages: 29 Posted: 03 Nov 2008
Magdalena E. Sokalska, Ananda Chanda and Robert F. Engle
affiliation not provided to SSRN, Morgan Stanley and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 169 (172,927)
Citation 3

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41.

Banks Non-Interest Income and Global Financial Stability

CIFR Paper No. 015/2014
Number of pages: 59 Posted: 30 May 2014
Robert F. Engle, Fariborz Moshirian, Sidharth Sahgal and Bohui Zhang
New York University - Leonard N. Stern School of Business - Department of Economics, Institute of Global Finance, UNSW Business School, University of New South Wales (UNSW) and The Chinese University of Hong Kong, Shenzhen
Downloads 470 (58,450)

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Global financial stability, Tournament incentives, Banking system concentration, Income diversification

42.

Hedging Climate Change News

Downloads 467 ( 59,209)

Hedging Climate Change News

Number of pages: 43 Posted: 17 Jan 2019 Last Revised: 16 May 2019
Robert F. Engle, Stefano Giglio, Heebum Lee, Bryan T. Kelly and Johannes Stroebel
New York University - Leonard N. Stern School of Business - Department of Economics, Yale School of Management, New York University (NYU) - Leonard N. Stern School of Business, Students, Yale SOM and New York University (NYU)
Downloads 452 (61,021)

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Climate Risk, Hedge Portfolio

Hedging Climate Change News

NBER Working Paper No. w25734
Number of pages: 47 Posted: 08 Apr 2019
Robert F. Engle, Stefano Giglio, Bryan T. Kelly, Heebum Lee and Johannes Stroebel
New York University - Leonard N. Stern School of Business - Department of Economics, Yale School of Management, Yale SOM, New York University (NYU) - Department of Finance and New York University (NYU)
Downloads 14 (565,423)
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Hedging Climate Change News

CEPR Discussion Paper No. DP13730
Number of pages: 49 Posted: 22 May 2019
Robert F. Engle, Stefano Giglio, Bryan T. Kelly, Heebum Lee and Johannes Stroebel
New York University - Leonard N. Stern School of Business - Department of Economics, Yale School of Management, Yale SOM, New York University (NYU) - Department of Finance and New York University (NYU)
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43.

When is Noise Not Noise - A Microstructure Estimate of Realized Volatility

NYU Working Paper No. FIN-07-047
Number of pages: 50 Posted: 03 Nov 2008
Zheng Sun and Robert F. Engle
University of California, Irvine - Paul Merage School of Business and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 452 (61,296)
Citation 5

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44.

Large Dynamic Covariance Matrices

University of Zurich, Department of Economics, Working Paper No. 231, Revised version
Number of pages: 43 Posted: 28 Jul 2016 Last Revised: 20 Apr 2017
Robert F. Engle, Olivier Ledoit and Michael Wolf
New York University - Leonard N. Stern School of Business - Department of Economics, University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 438 (63,667)

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Composite likelihood, dynamic conditional correlations, GARCH, Markowitz portfolio selection, nonlinear shrinkage

45.

The Factor-Spline-GARCH Model for High- and Low-Frequency Correlations

Journal of Business and Economic Statistics, Vol. 30, No. 1, pp. 109-124, 2012
Number of pages: 49 Posted: 07 Feb 2011 Last Revised: 15 Nov 2013
Jose Gonzalo Rangel and Robert F. Engle
Goldman Sachs Group, Inc. - Global Investment Research and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 399 (71,218)
Citation 7

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Factor models, Dynamic correlation, Spline-GARCH, DCC, Idiosyncratic volatility, Time-varying betas, Long-term forecast evaluation.

46.

Liquidity and Volatility in the U.S. Treasury Market

Journal of Econometrics, Forthcoming, FRB of New York Staff Report No. 590, UNC Kenan-Flagler Research Paper No. 2013-20
Number of pages: 55 Posted: 02 Jan 2013 Last Revised: 14 Nov 2018
Giang Nguyen, Robert F. Engle, Michael J. Fleming and Eric Ghysels
Pennsylvania State University - Smeal College of Business, New York University - Leonard N. Stern School of Business - Department of Economics, Federal Reserve Bank of New York and University of North Carolina Kenan-Flagler Business School
Downloads 381 (75,174)
Citation 5

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liquidity, Treasury market, limit order book, financial crisis, volatility, announcement

47.

Priced Risk and Asymmetric Volatility in the Cross-Section of Skewness

NYU Working Paper No. FIN-08-042
Number of pages: 28 Posted: 09 Mar 2009
Robert F. Engle and Abhishek Mistry
New York University - Leonard N. Stern School of Business - Department of Economics and affiliation not provided to SSRN
Downloads 372 (77,279)
Citation 9

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48.

The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes

NYU Working Paper No. SC-CFE-04-05
Number of pages: 41 Posted: 07 Nov 2008
Robert F. Engle and J. Gonzalo Rangel
New York University - Leonard N. Stern School of Business - Department of Economics and affiliation not provided to SSRN
Downloads 319 (92,126)
Citation 61

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49.

Testing the Volatility Term Structure Using Option Hedging Criteria

Downloads 292 (101,396)
Citation 5

Testing the Volatility Term Structure Using Option Hedging Criteria

NYU Working Paper No. FIN-98-031
Number of pages: 28 Posted: 07 Nov 2008
Robert F. Engle and Joshua V. Rosenberg
New York University - Leonard N. Stern School of Business - Department of Economics and Federal Reserve Bank of New York
Downloads 230 (129,410)
Citation 5

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Testing the Volatility Term Structure Using Option Hedging Criteria

NYU Working Paper No. FIN-96-024
Number of pages: 38 Posted: 11 Nov 2008
Robert F. Engle and Joshua V. Rosenberg
New York University - Leonard N. Stern School of Business - Department of Economics and Federal Reserve Bank of New York
Downloads 62 (347,789)
Citation 5

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50.

A MEM-Based Analysis of Volatility Spillovers in East Asian Financial Markets

Downloads 266 (111,975)
Citation 4

A MEM-Based Analysis of Volatility Spillovers in East Asian Financial Markets

NYU Working Paper No. FIN-08-036
Number of pages: 21 Posted: 09 Mar 2009
Robert F. Engle, Giampiero M. Gallo and Margherita Velucchi
New York University - Leonard N. Stern School of Business - Department of Economics, Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti" and University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA)
Downloads 169 (172,927)
Citation 4

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A MEM-Based Analysis of Volatility Spillovers in East Asian Financial Markets

Number of pages: 21 Posted: 14 Oct 2008 Last Revised: 10 Dec 2013
Robert F. Engle, Giampiero M. Gallo and Margherita Velucchi
New York University - Leonard N. Stern School of Business - Department of Economics, Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti" and University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA)
Downloads 97 (266,518)
Citation 4

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Volatility, Multiplicative Error Models, Asian Crisis, Market integration

51.

New Frontiers for Arch Models

NYU Working Paper No. FIN-02-037
Number of pages: 29 Posted: 03 Nov 2008
Robert F. Engle
New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 263 (113,313)
Citation 58

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ARCH, GARCH, volatility, non-linear process, non-negative process, option pricing, stochastic volatility, long memory, Least Squares Monte Carlo, ACD, Multiplicative Error Model, MEM

52.

Term Structure of Risk, the Role of Known and Unknown Risks and Non-Stationary Distributions

Downloads 248 (120,412)
Citation 2

Term Structure of Risk, the Role of Known and Unknown Risks and Non-Stationary Distributions

THE KNOWN, THE UNKNOWN AND THE UNKNOWABLE IN FINANCIAL RISK MANAGEMENT, F.X. Diebold, ed., Forthcoming
Number of pages: 25 Posted: 14 Sep 2008
Ric Colacito and Robert F. Engle
University of North Carolina Kenan-Flagler Business School and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 147 (194,815)
Citation 2

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Term Structure of Risk, the Role of Known and Unknown Risks and Non-Stationary Distributions

NYU Working Paper No. FIN-08-040
Number of pages: 25 Posted: 09 Mar 2009
Ric Colacito and Robert F. Engle
University of North Carolina Kenan-Flagler Business School and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 101 (259,401)
Citation 2

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53.

Common Seasonal Features: Global Unemployment

Number of pages: 21 Posted: 17 Dec 1996
Svend Hylleberg and Robert F. Engle
Aarhus University - Department of Economics and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 243 (122,920)
Citation 4

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54.

The Econometrics of Ultra-High Frequency Data

NBER Working Paper No. w5816
Number of pages: 19 Posted: 26 Jun 2000
Robert F. Engle
New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 236 (126,605)
Citation 107

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55.

A Model for Multivariate Non-Negative Valued Processes in Financial Econometrics

Number of pages: 38 Posted: 28 Jan 2009
Fabrizio Cipollini, Robert F. Engle and Giampiero M. Gallo
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University - Leonard N. Stern School of Business - Department of Economics and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 229 (130,450)
Citation 3

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GARCH, MEM, Volatility, Copula, financial time series

56.

Semiparametric Vector MEM

Downloads 228 (131,014)
Citation 4

Semiparametric Vector MEM

Number of pages: 21 Posted: 12 Oct 2008
Fabrizio Cipollini, Robert F. Engle and Giampiero M. Gallo
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University - Leonard N. Stern School of Business - Department of Economics and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 146 (195,915)
Citation 4

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GARCH, GMM, MEM, NYSE, number of trades, realized volatility, volumes

Semiparametric Vector MEM

NYU Working Paper No. FIN-08-041
Number of pages: 21 Posted: 09 Mar 2009
Fabrizio Cipollini, Robert F. Engle and Giampiero M. Gallo
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University - Leonard N. Stern School of Business - Department of Economics and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 82 (296,818)
Citation 4

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57.

High and Low Frequency Correlations in Global Equity Markets

Posted: 09 Feb 2011
Robert F. Engle and Jose Gonzalo Rangel
New York University - Leonard N. Stern School of Business - Department of Economics and Goldman Sachs Group, Inc. - Global Investment Research
Downloads 226 (132,137)
Citation 1

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Factor-Spline-GARCH, Multiple factors, International correlations, Non-synchronous trading

58.

Scenario Generation for Long-Run Interest Rate Risk Assessment

Number of pages: 42 Posted: 14 Sep 2016 Last Revised: 04 Nov 2016
Robert F. Engle, Guillaume Roussellet and Emil Siriwardane
New York University - Leonard N. Stern School of Business - Department of Economics, McGill University - Desautels Faculty of Management and Harvard Business School - Finance Unit
Downloads 190 (155,649)

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Interest Rate Forecast, Regime Switching, Factor Model

59.

Caviar: Conditional Value at Risk by Quantile Regression

NBER Working Paper No. w7341
Number of pages: 54 Posted: 17 Feb 2000 Last Revised: 13 Oct 2010
Simone Manganelli and Robert F. Engle
European Central Bank (ECB) and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 190 (155,649)
Citation 114

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60.

Execution Risk

NBER Working Paper No. w12165
Number of pages: 25 Posted: 21 May 2006 Last Revised: 29 Sep 2010
Robert F. Engle and Robert Ferstenberg
New York University - Leonard N. Stern School of Business - Department of Economics and Morgan Stanley
Downloads 174 (168,386)
Citation 14

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61.

Vector Multiplicative Error Models:Representation and Inference

Downloads 165 (176,444)
Citation 11

Vector Multiplicative Error Models:Representation and Inference

NYU Working Paper No. FIN-07-048
Number of pages: 53 Posted: 03 Nov 2008
Fabrizio Cipollini, Robert F. Engle and Giampiero M. Gallo
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University - Leonard N. Stern School of Business - Department of Economics and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 81 (299,067)
Citation 11

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Vector Multiplicative Error Models: Representation and Inference

NYU Working Paper No. SC-CFE-06-01
Number of pages: 54 Posted: 07 Nov 2008
Fabrizio Cipollini, Robert F. Engle and Giampiero M. Gallo
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University - Leonard N. Stern School of Business - Department of Economics and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 35 (445,048)
Citation 11

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Vector Multiplicative Error Models: Representation and Inference

NBER Working Paper No. w12690
Number of pages: 54 Posted: 20 Nov 2006 Last Revised: 05 Sep 2010
Fabrizio Cipollini, Robert F. Engle and Giampiero M. Gallo
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University - Leonard N. Stern School of Business - Department of Economics and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 32 (458,643)
Citation 11

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Vector Multiplicative Error Models: Representation and Inference

NBER Working Paper No. t0331
Number of pages: 54 Posted: 31 May 2011
Fabrizio Cipollini, Robert F. Engle and Giampiero M. Gallo
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University - Leonard N. Stern School of Business - Department of Economics and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 17 (546,209)
Citation 11

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62.

A Multiple Indicators Model for Volatility Using Intra-Daily Data

Downloads 158 (183,076)
Citation 59

A Multiple Indicators Model for Volatility Using Intra-Daily Data

NYU Working Paper No. S-DRP-03-17
Number of pages: 27 Posted: 05 Nov 2008
Robert F. Engle and Giampiero M. Gallo
New York University - Leonard N. Stern School of Business - Department of Economics and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 98 (264,706)
Citation 59

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volatility modeling, volatility forecasting, GARCH, VIX, high-low range, realized volatility

A Multiple Indicators Model for Volatility Using Intra-Daily Data

NBER Working Paper No. w10117
Number of pages: 28 Posted: 05 Dec 2003 Last Revised: 25 Aug 2010
Giampiero M. Gallo and Robert F. Engle
Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti" and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 60 (353,667)
Citation 59

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63.

Empirical Pricing Kernels

Downloads 149 (192,237)
Citation 111

Empirical Pricing Kernels

NYU Working Paper No. FIN-98-030
Number of pages: 44 Posted: 07 Nov 2008
Joshua V. Rosenberg and Robert F. Engle
Federal Reserve Bank of New York and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 71 (323,278)
Citation 111

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Empirical Pricing Kernels

NYU Working Paper No. FIN-99-014
Number of pages: 44 Posted: 07 Nov 2008
Joshua V. Rosenberg and Robert F. Engle
Federal Reserve Bank of New York and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 47 (396,842)
Citation 111

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Empirical Pricing Kernels

NYU Working Paper No. S-DRP-99-01
Number of pages: 38 Posted: 07 Nov 2008
Joshua V. Rosenberg and Robert F. Engle
Federal Reserve Bank of New York and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 31 (463,669)
Citation 111

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Empirical Pricing Kernels

Journal of Financial Economics, Vol. 64, No. 3, 2002
Posted: 02 Jun 2003
Joshua V. Rosenberg and Robert F. Engle
Federal Reserve Bank of New York and New York University - Leonard N. Stern School of Business - Department of Economics

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Pricing kernels, Risk aversion, Derivatives, Hedging

64.

Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks

NBER Working Paper No. w7330
Number of pages: 42 Posted: 23 Feb 2000 Last Revised: 13 Oct 2010
Young-Hye Cho and Robert F. Engle
affiliation not provided to SSRN and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 142 (199,883)
Citation 15

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65.

Aspects of Regional Financial Stability: A Policy Approach

CIFR Paper No. 046/2014
Number of pages: 37 Posted: 05 Nov 2014 Last Revised: 07 Nov 2014
Robert F. Engle, Fariborz Moshirian and Bohui Zhang
New York University - Leonard N. Stern School of Business - Department of Economics, Institute of Global Finance, UNSW Business School and The Chinese University of Hong Kong, Shenzhen
Downloads 138 (204,535)

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Gobal Financial Stability, Regional Financial Stability and Systemic Risk

66.

Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market

NBER Working Paper No. w7331
Number of pages: 46 Posted: 06 May 2000 Last Revised: 13 Oct 2010
Young-Hye Cho and Robert F. Engle
affiliation not provided to SSRN and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 130 (214,608)
Citation 22

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67.

Testing for Common Features

NBER Working Paper No. t0091
Number of pages: 25 Posted: 27 Jun 2007 Last Revised: 26 Sep 2010
Sharon Kozicki and Robert F. Engle
Bank of Canada and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 98 (262,901)
Citation 68

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68.

A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts

NBER Working Paper No. w4520
Number of pages: 31 Posted: 09 Jul 2000
Jaesun Noh, Robert F. Engle and Alex Kane
Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance, New York University - Leonard N. Stern School of Business - Department of Economics and University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS)
Downloads 93 (271,984)
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69.

Forecasting Transaction Rates: The Autoregressive Conditional Duration Model

NBER Working Paper No. w4966
Number of pages: 47 Posted: 30 Aug 2000 Last Revised: 30 Jul 2010
Jeffrey R. Russell and Robert F. Engle
University of Chicago - Booth School of Business - Econometrics and Statistics and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 84 (289,908)
Citation 17

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70.

Measuring Risk Aversion from Excess Returns on a Stock Index

NBER Working Paper No. w3643
Number of pages: 41 Posted: 17 Oct 2007 Last Revised: 21 Sep 2008
Ray Chou, Robert F. Engle and Alex Kane
Georgia Institute of Technology - Scheller College of Business, New York University - Leonard N. Stern School of Business - Department of Economics and University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS)
Downloads 79 (300,686)
Citation 24

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71.

GARCH Gamma

Downloads 73 (314,829)
Citation 6

GARCH Gamma

NBER Working Paper No. w5128
Number of pages: 26 Posted: 15 Jul 2000 Last Revised: 30 Jul 2010
Joshua V. Rosenberg and Robert F. Engle
Federal Reserve Bank of New York and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 73 (318,229)
Citation 6

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GARCH Gamma

JOURNAL OF DERIVATIVES Vol 2 No 4
Posted: 10 Oct 1998
Joshua V. Rosenberg and Robert F. Engle
Federal Reserve Bank of New York and New York University - Leonard N. Stern School of Business - Department of Economics

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72.

Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

NBER Working Paper No. w2609
Number of pages: 28 Posted: 18 Jun 2004 Last Revised: 22 Aug 2010
Robert F. Engle, Takatoshi Ito and Wenling Lin
New York University - Leonard N. Stern School of Business - Department of Economics, University of Tokyo - Faculty of Economics and Office of Comptroller of Currency
Downloads 70 (322,154)
Citation 105

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73.

Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills

NBER Working Paper No. t0065
Number of pages: 36 Posted: 28 Dec 2006 Last Revised: 07 Sep 2010
Robert F. Engle, Victor Ng and Michael Rothschild
New York University - Leonard N. Stern School of Business - Department of Economics, University of Michigan at Ann Arbor and Princeton University
Downloads 67 (329,821)
Citation 82

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74.

Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts

NBER Working Paper No. w4519
Number of pages: 31 Posted: 25 May 2006 Last Revised: 07 Apr 2010
Robert F. Engle, Alex Kane and Jaesun Noh
New York University - Leonard N. Stern School of Business - Department of Economics, University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS) and Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance
Downloads 67 (329,821)
Citation 6

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75.

Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns

NBER Working Paper No. w3911
Number of pages: 39 Posted: 12 Apr 2004 Last Revised: 12 Sep 2010
Wenling Lin, Robert F. Engle and Takatoshi Ito
Office of Comptroller of Currency, New York University - Leonard N. Stern School of Business - Department of Economics and University of Tokyo - Faculty of Economics
Downloads 63 (340,560)
Citation 77

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76.

Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models

NBER Working Paper No. w4958
Number of pages: 36 Posted: 05 Sep 2000 Last Revised: 29 Jul 2010
Joshua V. Rosenberg and Robert F. Engle
Federal Reserve Bank of New York and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 53 (370,129)

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77.

Time-Varying Volatility and the Dynamic Behavior of the Term Structure

NBER Working Paper No. w3682
Number of pages: 29 Posted: 27 Apr 2000 Last Revised: 26 Jul 2010
Victor K. Ng and Robert F. Engle
International Monetary Fund (IMF) - Research Department and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 51 (376,465)
Citation 16

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78.

Copula-Based Specification of Vector MEMs

Number of pages: 25 Posted: 06 Apr 2016
Fabrizio Cipollini, Robert F. Engle and Giampiero M. Gallo
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University - Leonard N. Stern School of Business - Department of Economics and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 43 (403,883)

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GARCH; MEM; Realized Volatility; Trading Volume; Trading Activity; Copula; Volatility Forecasting

79.

Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share

NBER Working Paper No. w3291
Number of pages: 28 Posted: 19 Jun 2004 Last Revised: 01 Jul 2010
Scott J. Brown, Robert F. Engle and N. Edward Coulson
Raymond James and Associates, Inc., New York University - Leonard N. Stern School of Business - Department of Economics and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 42 (407,538)
Citation 3

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80.

Where Does the Meteor Shower Come from? the Role of Stochastic Policy Coordination

NBER Working Paper No. w3504
Number of pages: 32 Posted: 08 Jan 2008 Last Revised: 10 Aug 2010
Takatoshi Ito, Robert F. Engle and Wenling Lin
University of Tokyo - Faculty of Economics, New York University - Leonard N. Stern School of Business - Department of Economics and Office of Comptroller of Currency
Downloads 37 (426,879)
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81.

Estimating Sectoral Cycles Using Cointegration and Common Features

NBER Working Paper No. w4529
Number of pages: 57 Posted: 22 Aug 2007
João Victor Issler and Robert F. Engle
Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 34 (439,134)
Citation 1

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82.

Interpreting Spectral Analyses in Terms of Time-Domain Models

NBER Working Paper No. w0037
Number of pages: 26 Posted: 09 Aug 2012
Robert F. Engle
New York University - Leonard N. Stern School of Business - Department of Economics
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83.

Valuation of Variance Forecast with Simulated Option Markets

NBER Working Paper No. w3350
Number of pages: 40 Posted: 30 Aug 2010 Last Revised: 23 Oct 2010
Robert F. Engle, Che-Hsiung Hong and Alex Kane
New York University - Leonard N. Stern School of Business - Department of Economics, affiliation not provided to SSRN and University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS)
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84.

Systemic Risk in the Financial System: Capital Shortfalls Under Brexit, the US Elections and the Italian Referendum

Journal of Credit Risk, Vol. 14, No. 4, 2018
Number of pages: 24 Posted: 14 Dec 2018
Robert F. Engle and Cristiano Zazzara
New York University - Leonard N. Stern School of Business - Department of Economics and Libera Università degli Studi Sociali (LUISS) Guido Carli - Fondo Interbancario di Tutela dei Depositi and Instituto di Studi Economici
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systemic risk, stress testing, regulatory capital requirements, forecasting methods.

85.

Systemic Risk 10 Years Later

Annual Review of Financial Economics, Vol. 10, pp. 125-152, 2018
Posted: 08 Nov 2018
Robert F. Engle
New York University - Leonard N. Stern School of Business - Department of Economics

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86.

Globalization: Contents and Discontents

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Globalization: Contents and Discontents

Contemporary Economic Policy, Vol. 36, Issue 1, pp. 29-43, 2018
Number of pages: 15 Posted: 27 Nov 2017
Orley Ashenfelter, Robert F. Engle, Daniel L. McFadden and Klaus Schmidt-Hebbel
Princeton University - Industrial Relations Section, New York University - Leonard N. Stern School of Business - Department of Economics, University of California, Berkeley - Department of Economics and Pontifical Catholic University of Chile
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Globalization: Contents and Discontents

Contemporary Economic Policy, Forthcoming
Posted: 13 Sep 2017 Last Revised: 02 May 2018
Orley Ashenfelter, Robert F. Engle, Daniel L. McFadden and Klaus Schmidt-Hebbel
Princeton University - Industrial Relations Section, New York University - Leonard N. Stern School of Business - Department of Economics, University of California, Berkeley - Department of Economics and Pontifical Catholic University of Chile

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87.

Time and the Price Impact of a Trade

Journal of Finance, Vol. 55, No. 6, 2000
Posted: 29 Oct 2013
Alfonso Dufour and Robert F. Engle
ICMA Centre, Henley Business School, University of Reading and New York University - Leonard N. Stern School of Business - Department of Economics

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88.

Long Term Skewness and Systemic Risk

Posted: 05 Jan 2011
Robert F. Engle
New York University - Leonard N. Stern School of Business - Department of Economics

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89.

The Risk that Risk Will Change

Journal Of Investment Management (JOIM), Fourth Quarter 2009
Posted: 19 Jan 2010 Last Revised: 02 Jun 2010
Robert F. Engle
New York University - Leonard N. Stern School of Business - Department of Economics

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Risk, long-term risk, short-run risk, financial crisis, GARCH, TARCH, spline GARCH. value at risk, hedge portfolio

90.

Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility

Review of Financial Studies, Volume 7, Number 4, 1994.
Posted: 26 Oct 1999
Wenling Lin and Robert F. Engle
Office of Comptroller of Currency and New York University - Leonard N. Stern School of Business - Department of Economics

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91.

Macroeconomic Announcements and Volatility of Treasury Futures

UCSD Economics Discussion Paper 98-27
Posted: 17 Feb 1999
Li Li and Robert F. Engle
University of California, San Diego (UCSD) and New York University - Leonard N. Stern School of Business - Department of Economics

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92.

A Permanent and Transitory Component Model of Stock Return Volatility

Posted: 27 Dec 1998
Gary G. J. Lee and Robert F. Engle
University of California, San Diego (UCSD) - Department of Economics and New York University - Leonard N. Stern School of Business - Department of Economics

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93.

Forecasting the Frequency of Changes in Quoted Foreign Exchange Prices with the Autoregressive Conditional Duration Model

Posted: 22 Aug 1998
Jeffrey R. Russell and Robert F. Engle
University of Chicago - Booth School of Business - Econometrics and Statistics and New York University - Leonard N. Stern School of Business - Department of Economics

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94.

Trades and Quotes: A Bivariate Point Process

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Trades and Quotes: A Bivariate Point Process

Journal of Financial Econometrics, Vol. 1, No. 2, pp. 159-188, 2003
Posted: 29 Feb 2008
Asger Lunde and Robert F. Engle
Aarhus University - School of Economics and Management and New York University - Leonard N. Stern School of Business - Department of Economics

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duration analysis, market microstructure, transaction data

Trades and Quotes: A Bivariate Point Process

UCSD Economics Discussion Paper 98-07
Posted: 20 Aug 1998
Asger Lunde and Robert F. Engle
Aarhus University - School of Economics and Management and New York University - Leonard N. Stern School of Business - Department of Economics

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95.

Stochastic Permanent Breaks

University of California at San Diego, Department of Economics, Discussion Paper No. 98-03
Posted: 14 Aug 1998
Aaron Smith and Robert F. Engle
University of California, Davis - Department of Agricultural and Resource Economics and New York University - Leonard N. Stern School of Business - Department of Economics

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96.

Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

Posted: 21 Apr 1998
Jeffrey R. Russell and Robert F. Engle
University of Chicago - Booth School of Business - Econometrics and Statistics and New York University - Leonard N. Stern School of Business - Department of Economics

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97.

Correlations and Volatilities of Asynchronous Data

UCSD Economics Discussion Paper 97-30
Posted: 04 Mar 1998
Patrick Burns, Robert F. Engle and Joseph Mezrich
Burns Statistics, New York University - Leonard N. Stern School of Business - Department of Economics and Salomon Smith Barney, Inc., U.S.

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