Number of pages: 47
Posted: 18 May 2010
Last Revised: 05 Aug 2016
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and New York University (NYU) - Department of Finance
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Abstract:
Systemic Risk Measurement, Forecasting
ECB Working Paper No. 75
Number of pages: 41
Posted: 25 Feb 2003
European Central Bank (ECB) and New York University (NYU) - Department of Finance
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7,300
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Abstract:
Value at Risk; CAViaR; Extreme Value Theory
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5,205
( 2,268)
Citation
302
UCSD Economics Discussion Paper No. 2000-09
Number of pages: 28
Posted: 01 Dec 2000
Robert F. Engle
New York University (NYU) - Department of Finance
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Abstract:
ARCH, GARCH, Correlation, Time Series, Value at Risk
NYU Working Paper No. S-DRP-02-01
Number of pages: 34
Posted: 07 Nov 2008
Robert F. Engle
New York University (NYU) - Department of Finance
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Abstract:
NYU Working Paper No. FIN-02-038
Number of pages: 34
Posted: 03 Nov 2008
Robert F. Engle
New York University (NYU) - Department of Finance
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303
(140,445)
Abstract:
NYU Working Paper No. FIN-00-034
Number of pages: 27
Posted: 04 Nov 2008
Robert F. Engle
New York University (NYU) - Department of Finance
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218
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Abstract:
Number of pages: 23
Posted: 10 Nov 2009
Last Revised: 15 Nov 2013
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, New York University (NYU) - Department of Finance and Yale SOM
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3,480
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Abstract:
Volatility, ARCH, Forecasting, Forecast Evaluation
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3,466
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Citation
45
Yale ICF Working Paper No. 2019-02
Number of pages: 43
Posted: 17 Jan 2019
Last Revised: 02 Aug 2019
New York University (NYU) - Department of Finance, Yale School of Management, New York University (NYU) - Department of Finance, Yale SOM and New York University (NYU) - Leonard N. Stern School of Business
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3,234
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Abstract:
Climate Risk, Hedge Portfolio
CESifo Working Paper No. 7655
Number of pages: 48
Posted: 25 Jul 2019
New York University (NYU) - Department of Finance, Yale School of Management, New York University (NYU) - Department of Finance, Yale SOM and New York University (NYU) - Leonard N. Stern School of Business
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136
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Abstract:
climate risk
NBER Working Paper No. w25734
Number of pages: 47
Posted: 08 Apr 2019
Last Revised: 25 Apr 2022
New York University (NYU) - Department of Finance, Yale School of Management, Yale SOM, New York University (NYU) - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business
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94
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Abstract:
CEPR Discussion Paper No. DP13730
Number of pages: 49
Posted: 22 May 2019
New York University (NYU) - Department of Finance, Yale School of Management, Yale SOM, New York University (NYU) - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business
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2
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Hedging Climate Change News
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Citation
44
Review of Financial Studies, 2008
Number of pages: 54
Posted: 15 Oct 2004
Last Revised: 29 Apr 2008
University of Lugano, New York University (NYU) - Department of Finance and USI Lugano - Institute of Finance
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3,250
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Abstract:
Option pricing, GARCH model, state price density, Monte Carlo simulation
The Review of Financial Studies, Vol. 21, Issue 3, pp. 1223-1258, 2008
Posted: 02 Jul 2008
University of Lugano, New York University (NYU) - Department of Finance and USI Lugano - Institute of Finance
Abstract:
G13
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2,992
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Citation
34
AFA 2008 New Orleans Meetings Paper
Number of pages: 54
Posted: 21 Mar 2007
Last Revised: 18 Sep 2012
New York University (NYU) - Department of Finance, University of North Carolina Kenan-Flagler Business School and Korea University Business School
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2,523
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Abstract:
stock market volatility, macroeconomic variables, volatility decomposition, cross-section of returns
NYU Working Paper No. FIN-08-043
Number of pages: 54
Posted: 09 Mar 2009
New York University (NYU) - Department of Finance, University of North Carolina Kenan-Flagler Business School and Korea University Business School
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469
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Abstract:
NYU Working Paper No. FIN-01-030
Number of pages: 25
Posted: 03 Nov 2008
Robert F. Engle
New York University (NYU) - Department of Finance
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2,865
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Abstract:
Review of Finance (2015) 19(1), 145-190
Number of pages: 55
Posted: 22 Dec 2012
Last Revised: 09 Feb 2016
New York University (NYU) - Department of Finance, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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2,244
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Abstract:
Systemic Risk, Marginal Expected Shortfall, Multi-factor Model
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Citation
33
Number of pages: 55
Posted: 23 Jun 2012
Last Revised: 15 Apr 2016
Georgetown University - McDonough School of Business, New York University (NYU) - Department of Finance and Fordham University - Gabelli School of Business
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1,377
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Abstract:
Dynamic conditional beta, conditional CAPM, ICAPM, investor attention, buying intensity, and expected stock returns
Georgetown McDonough School of Business Research Paper 2012-16
Number of pages: 56
Posted: 24 Jul 2012
Last Revised: 15 Apr 2016
Georgetown University - McDonough School of Business, New York University (NYU) - Department of Finance and Fordham University - Gabelli School of Business
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641
(57,950)
Abstract:
Dynamic conditional beta, conditional CAPM, ICAPM, investor attention, buying intensity, and expected stock returns
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2,012
( 11,244)
Citation
15
Number of pages: 45
Posted: 04 Mar 2014
Last Revised: 12 Aug 2015
Robert F. Engle
New York University (NYU) - Department of Finance
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1,199
(24,382)
Abstract:
GARCH, DCC, Time Varying Parameters, Multivariate GARCH, Non-Nested Tests, Multi-factor Asset Pricing, Systemic Risk, SRISK
Number of pages: 30
Posted: 22 Jun 2012
Robert F. Engle
New York University (NYU) - Department of Finance
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640
(58,062)
Abstract:
NYU Working Paper No. 2451/31582
Number of pages: 30
Posted: 04 Jul 2012
Robert F. Engle
New York University (NYU) - Department of Finance
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173
(240,291)
Abstract:
Dynamic Conditional Beta
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1,718
( 14,435)
Citation
51
AFA 2002 Atlanta Meetings
Number of pages: 38
Posted: 21 Dec 2001
Cornell University - Department of Economics, City University of New York, CUNY Baruch College - Zicklin School of Business, New York University (NYU) - Department of Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management
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1,718
(14,195)
Abstract:
Journal of Financial Econometrics, Vol. 6, Issue 2, pp. 171-207, 2008
Posted: 10 Jul 2008
Cornell University - Department of Economics, New York University (NYU) - Department of Finance, Cornell University - Samuel Curtis Johnson Graduate School of Management and City University of New York, CUNY Baruch College - Zicklin School of Business
Abstract:
C51, C53, G10, G12, G14, Arrival rates, informed trades, uninformed trades, autoregressive process, market depth, liquidity
NYU Working Paper No. S-DRP-02-11
Number of pages: 28
Posted: 07 Nov 2008
New York University (NYU) - Department of Finance and Integral Research Inc.
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1,515
(17,481)
Abstract:
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1,389
( 19,887)
Citation
17
NYU Working Paper No. FIN-08-009
Number of pages: 35
Posted: 09 Mar 2009
Last Revised: 07 Oct 2019
Bilkent University - Department of Economics, Harvard University, University of Oxford - Department of Economics and New York University (NYU) - Department of Finance
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1,015
(31,059)
Abstract:
Composite likelihood, dynamic conditional correlations, multivariate ARCH models, volatility
NYU Working Paper No. FIN-07-046
Number of pages: 28
Posted: 03 Nov 2008
New York University (NYU) - Department of Finance, Harvard University and University of Oxford - Department of Economics
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374
(111,633)
Abstract:
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1,344
( 20,893)
ECB Working Paper No. 204
Number of pages: 66
Posted: 04 Feb 2003
European Central Bank (ECB), New York University (NYU) - Department of Finance and University of Oxford - Department of Economics
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1,344
(20,549)
Abstract:
International Finance, Correlation, Variance Targeting, Multivariate GARCH, International Stock and Bond correlation
Journal of Financial Econometrics, Vol. 4, Issue 4, pp. 537-572, 2006
Posted: 02 Apr 2008
European Central Bank (ECB), New York University (NYU) - Department of Finance and University of Oxford - Department of Economics
Abstract:
dynamic conditional correlation' international stock and bond correlation' multivariate GARCH' variance targeting
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1,284
( 22,383)
Citation
8
AFA 2009 San Francisco Meetings Paper
Number of pages: 61
Posted: 04 Feb 2008
Last Revised: 27 Feb 2012
Georgetown University - McDonough School of Business and New York University (NYU) - Department of Finance
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1,041
(29,960)
Abstract:
ICAPM, Dynamic conditional correlation, ARCH, Risk aversion, Dow Jones
NYU Working Paper No. FIN-07-051
Number of pages: 67
Posted: 13 Nov 2008
Georgetown University - McDonough School of Business and New York University (NYU) - Department of Finance
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243
(175,607)
Abstract:
ICAPM, Dynamic conditional correlation, ARCH, Risk aversion, Dow Jones
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
New York University (NYU) - Department of Finance and Yale SOM
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1,277
(22,565)
Abstract:
Forthcoming
Number of pages: 45
Posted: 10 Mar 2005
New York University (NYU) - Department of Finance and University of California, Irvine - Paul Merage School of Business
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1,225
(24,036)
Abstract:
volatility, tick by tick data, duration, microstructure noise, ACD, Kalman Filter
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1,165
( 25,838)
Citation
1
UCSD Economics Discussion Paper 97-12R
Number of pages: 24
Posted: 10 Feb 1998
Cornerstone Research and New York University (NYU) - Department of Finance
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1,053
(29,479)
Abstract:
NBER Working Paper No. w6129
Number of pages: 24
Posted: 24 Jul 2000
Last Revised: 09 Apr 2022
Cornerstone Research and New York University (NYU) - Department of Finance
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112
(338,027)
Abstract:
NBER Working Paper No. w3681
Number of pages: 32
Posted: 18 Jun 2004
Last Revised: 23 Jan 2022
New York University (NYU) - Department of Finance and International Monetary Fund (IMF) - Research Department
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1,138
(26,708)
Abstract:
Number of pages: 50
Posted: 09 Feb 2018
Last Revised: 04 Oct 2018
New York University (NYU) - Department of Finance and National University of Singapore (NUS) - Department of Finance
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1,098
(28,187)
Abstract:
systemic risk, financial crisis
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1,084
( 28,673)
Citation
4
Number of pages: 56
Posted: 10 Nov 2008
Last Revised: 27 Feb 2012
Georgetown University - McDonough School of Business and New York University (NYU) - Department of Finance
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543
(71,607)
Abstract:
G12; G13; C51
Number of pages: 56
Posted: 23 Mar 2009
Last Revised: 27 Feb 2012
Georgetown University - McDonough School of Business and New York University (NYU) - Department of Finance
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330
(128,362)
Abstract:
ICAPM, Risk-return tradeoff, Risk aversion, Multivariate GARCH-in-mean
NYU Working Paper No. FIN-08-037
Number of pages: 56
Posted: 09 Mar 2009
Last Revised: 27 Feb 2012
Georgetown University - McDonough School of Business and New York University (NYU) - Department of Finance
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211
(201,176)
Abstract:
Downloads
1,057
( 29,747)
Citation
61
NBER Working Paper No. w8554
Number of pages: 44
Posted: 18 Oct 2001
Last Revised: 18 May 2022
University of Oxford - Department of Economics and New York University (NYU) - Department of Finance
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507
(78,038)
Abstract:
NYU Working Paper No. S-DRP-01-10
Number of pages: 43
Posted: 07 Nov 2008
New York University (NYU) - Department of Finance and University of Oxford - Department of Economics
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461
(87,627)
Abstract:
Dynamic Correlation, Multivariate GARCH, Volatility
NYU Working Paper No. FIN-01-027
Number of pages: 43
Posted: 03 Nov 2008
New York University (NYU) - Department of Finance and University of Oxford - Department of Economics
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89
(393,561)
Abstract:
Downloads
1,033
( 30,731)
Citation
8
NYU Working Paper No. FIN-06-044
Number of pages: 54
Posted: 03 Nov 2008
New York University (NYU) - Department of Finance, Morgan Stanley and University of Chicago - Booth School of Business - Econometrics and Statistics
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707
(51,031)
Abstract:
NYU Working Paper No. FIN-07-044
Number of pages: 30
Posted: 03 Nov 2008
New York University (NYU) - Department of Finance, Morgan Stanley and University of Chicago - Booth School of Business - Econometrics and Statistics
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326
(130,008)
Abstract:
Posted: 21 May 2019
New York University (NYU) - Department of Finance, Morgan Stanley and University of Chicago - Booth School of Business - Econometrics and Statistics
Abstract:
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997
( 32,293)
Citation
36
NYU Working Paper No. FIN-01-029
Number of pages: 18
Posted: 03 Nov 2008
Russell Investments and New York University (NYU) - Department of Finance
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597
(63,479)
Abstract:
conditional covariance, Multivariate ARCH, Hadamard product, M-test
NYU Working Paper No. S-DRP-01-07
Number of pages: 18
Posted: 07 Nov 2008
Russell Investments and New York University (NYU) - Department of Finance
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400
(103,351)
Abstract:
conditional covariance, Multivariate ARCH, Hadamard product, M-test
Journal of Econometrics, Forthcoming
Number of pages: 51
Posted: 09 Mar 2009
Last Revised: 15 Nov 2013
University of North Carolina Kenan-Flagler Business School, New York University (NYU) - Department of Finance and University of North Carolina Kenan-Flagler Business School
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888
(38,061)
Abstract:
Downloads
884
( 38,286)
Citation
126
Review of Financial Studies, Vol. 21, 2008
Number of pages: 51
Posted: 24 Oct 2006
Last Revised: 06 Oct 2010
New York University (NYU) - Department of Finance and Banorte Financial Group
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787
(44,209)
Abstract:
Spline-GARCH, Global Equity Volatility, Low-frequency Volatility, Semi-Parametric Models, Macroeconomic Determinants
NYU Working Paper No. FIN-07-049
Number of pages: 52
Posted: 03 Nov 2008
New York University (NYU) - Department of Finance and affiliation not provided to SSRN
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97
(372,607)
Abstract:
The Review of Financial Studies, Vol. 21, Issue 3, pp. 1187-1222, 2008
Posted: 02 Jul 2008
New York University (NYU) - Department of Finance and affiliation not provided to SSRN
Abstract:
CRSP Working Paper No. 470; University of California at San Diego Working Paper No. 98-10
Number of pages: 33
Posted: 14 Aug 1998
University of Chicago - Booth School of Business - Econometrics and Statistics and New York University (NYU) - Department of Finance
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865
(39,474)
Abstract:
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
Georgetown University - McDonough School of Business and New York University (NYU) - Department of Finance
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815
(42,803)
Abstract:
Value Premium, Book-to-Market, Conditional CAPM, ICAPM, Dynamic Conditional Beta
The Review of Finance, Forthcoming
Number of pages: 40
Posted: 15 Jul 2012
Last Revised: 02 Oct 2015
New York University (NYU) - Department of Finance and New York University - Stern School of Business
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753
(47,543)
Abstract:
stochastic volatility, hedging correlation, implied volatility, GARCH
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715
( 50,923)
Citation
33
Number of pages: 51
Posted: 04 Apr 2013
Last Revised: 01 Oct 2015
ProfessorNew York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Universite du Luxembourg - Luxembourg School of Finance
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656
(56,257)
Abstract:
macroprudential regulation, stress test, systemic risk, risk-weighted assets
NBER Working Paper No. w18968
Number of pages: 45
Posted: 20 Apr 2013
Last Revised: 01 May 2022
ProfessorNew York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Universite du Luxembourg - Luxembourg School of Finance
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54
(515,688)
Abstract:
CEPR Discussion Paper No. DP9431
Number of pages: 48
Posted: 16 Apr 2013
ProfessorNew York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Universite du Luxembourg - Luxembourg School of Finance
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3
(900,127)
Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights
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macroprudential regulation, risk-weighted assets, stress test, systemic risk
CEPR Discussion Paper No. DP9800
Number of pages: 51
Posted: 02 Jun 2014
ProfessorNew York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Universite du Luxembourg - Luxembourg School of Finance
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2
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Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights
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Abstract:
macroprudential regulation, risk-weighted assets, stress test, systemic risk
FRB of New York Staff Report No. 977, Rev. June 2022
Number of pages: 78
Posted: 28 Sep 2021
Last Revised: 19 Jul 2022
Federal Reserve Bank of New York, New York University (NYU) - Department of Finance and Leonard N. Stern School of Business, NYU
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704
(52,097)
Abstract:
climate risk, financial stability, stress testing
UCSD Economics Discussion Paper 97-20
Number of pages: 35
Posted: 21 Dec 1997
Federal Reserve Bank of New York and New York University (NYU) - Department of Finance
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620
(60,515)
Abstract:
NBER Working Paper No. w6222
Number of pages: 35
Posted: 16 Jul 2000
Last Revised: 11 Apr 2022
Federal Reserve Bank of New York and New York University (NYU) - Department of Finance
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66
(467,198)
Abstract:
Harvard Business School Finance Working Paper No. 16-009
Number of pages: 62
Posted: 21 Apr 2015
Last Revised: 28 Oct 2016
New York University (NYU) - Department of Finance and Harvard Business School - Finance Unit
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678
(54,639)
Abstract:
GARCH, Leverage, Credit Risk, Systemic Risk, SRISK, Structural Models of Credit, Leverage Effect
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673
( 55,158)
Citation
7
NYU Working Paper No. S-DRP-01-03
Number of pages: 29
Posted: 07 Nov 2008
New York University (NYU) - Department of Finance and Duke University - Department of Economics
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673
(54,433)
Abstract:
volatility modelling, ARCH, GARCH, volatility forecasting
NYU Working Paper No. FIN-01-028
Posted: 03 Nov 2008
New York University (NYU) - Department of Finance and Duke University - Department of Economics
Abstract:
volatility modelling, ARCH, GARCH, volatility forecasting
CIFR Paper No. 015/2014
Number of pages: 59
Posted: 30 May 2014
New York University (NYU) - Department of Finance, Institute of Global Finance, UNSW Business School, University of New South Wales (UNSW) and The Chinese University of Hong Kong, Shenzhen
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663
(56,217)
Abstract:
Global financial stability, Tournament incentives, Banking system concentration, Income diversification
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661
( 56,427)
Citation
6
Journal of Credit Risk, Vol. 3, No. 2, p. 27
Number of pages: 37
Posted: 06 Nov 2005
Last Revised: 16 Jan 2012
General Quantitative, LLC, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Economics
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469
(85,782)
Abstract:
credit risk, credit derivatives, credit correlation, downside risk, tail risk, time series, GARCH
NYU Working Paper No. S-DRP-05-04
Number of pages: 45
Posted: 05 Nov 2008
General Quantitative, LLC, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Economics
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119
(323,719)
Abstract:
NYU Working Paper No. SC-CFE-05-04
Number of pages: 43
Posted: 07 Nov 2008
General Quantitative, LLC, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Economics
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73
(442,528)
Abstract:
Institute of Global Finance Working Paper No. 1
Number of pages: 16
Posted: 17 Nov 2015
New York University (NYU) - Department of Finance, Institute of Global Finance, UNSW Business School and University of New South Wales (UNSW), UNSW Business School, School of Economics, Students
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658
(56,751)
Abstract:
NYU Stern School of Business Forthcoming
Number of pages: 27
Posted: 29 Oct 2020
New York University (NYU) - Department of Finance and University of Oxford - Nuffield College
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646
(58,115)
Abstract:
ARCH, GARCH, Multivariate Volatility Models, Geopolitical Risk, Tail Risk, Tail Events, EM Algorithm, Hedging Geopolitical Risk, Country Risk Factors, MSCI Indices
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644
( 58,346)
Citation
20
UCSD Economics Working Paper No. 2000-26; Twelfth Annual Utah Winter Finance Conference
Number of pages: 40
Posted: 17 Apr 2001
Duke University - Department of Economics and New York University (NYU) - Department of Finance
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571
(67,267)
Abstract:
market microstructure, error-correction, vector autoregression, price dynamics
NYU Working Paper No. FIN-00-033
Number of pages: 52
Posted: 04 Nov 2008
New York University (NYU) - Department of Finance and Duke University - Department of Economics
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73
(442,528)
Abstract:
market microstructure, error-correction, vector autoregression, price dynamics
University of Zurich, Department of Economics, Working Paper No. 356, Revised version
Number of pages: 41
Posted: 25 Sep 2020
Last Revised: 04 Feb 2022
University of Zurich - Department of Banking and Finance, New York University (NYU) - Department of Finance, University of Zurich - Department of Economics and University of Zurich - Department of Economics
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602
(63,594)
Abstract:
Dynamic conditional correlations, intraday data, Markowitz portfolio selection, multivariate GARCH, nonlinear shrinkage
Journal of Business and Economic Statistics, Vol. 24, N. 2,, pp. 238-253, April 2006
Number of pages: 48
Posted: 15 Sep 2008
New York University (NYU) - Department of Finance and University of North Carolina Kenan-Flagler Business School
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592
(64,938)
Abstract:
GARCH, DCC, Forecast Evaluation
NYU Working Paper No. FIN-07-045
Number of pages: 45
Posted: 03 Nov 2008
Robert F. Engle
New York University (NYU) - Department of Finance
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587
(65,642)
Abstract:
Downloads
581
( 66,493)
Citation
2
NYU Working Paper No. SC-CFE-05-05
Number of pages: 30
Posted: 07 Nov 2008
New York University (NYU) - Department of Finance and City University of New York
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397
(104,271)
Abstract:
Volatility, ARCH, Intra-day Returns
NYU Working Paper No.
Number of pages: 29
Posted: 03 Nov 2008
affiliation not provided to SSRN , Morgan Stanley and New York University (NYU) - Department of Finance
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184
(227,735)
Abstract:
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
New York University (NYU) - Department of Finance, University of Zurich - Department of Economics and University of Zurich - Department of Economics
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567
(68,605)
Abstract:
Composite likelihood, dynamic conditional correlations, GARCH, Markowitz portfolio selection, nonlinear shrinkage
Number of pages: 24
Posted: 12 May 1997
National Central UniversityNational Central University and New York University (NYU) - Department of Finance
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523
(75,878)
Abstract:
NYU Working Paper No. FIN-07-047
Number of pages: 50
Posted: 03 Nov 2008
University of California, Irvine - Paul Merage School of Business and New York University (NYU) - Department of Finance
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514
(77,539)
Abstract:
NYU Stern School of Business Forthcoming
Number of pages: 74
Posted: 09 Mar 2021
Last Revised: 02 Sep 2021
ProfessorNew York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Frankfurt School of Finance & Management
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419
(97,919)
Abstract:
Credit lines, liquidity risk, bank capital, loan supply, stress tests, pandemic, COVID-19
NBER Working Paper No. w28559
Number of pages: 83
Posted: 15 Mar 2021
Last Revised: 15 Jul 2022
ProfessorNew York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Frankfurt School of Finance & Management
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81
(416,746)
Abstract:
CEPR Discussion Paper No. DP15901
Number of pages: 85
Posted: 15 Mar 2021
Last Revised: 14 May 2021
ProfessorNew York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Frankfurt School of Finance & Management
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3
(900,127)
Why Did Bank Stocks Crash During Covid-19?
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Journal of Econometrics, 217(2), 207-229. , FRB of New York Staff Report No. 590, UNC Kenan-Flagler Research Paper No. 2013-20, Kenan Institute of Private Enterprise Research Paper
Number of pages: 55
Posted: 02 Jan 2013
Last Revised: 01 Jul 2021
Pennsylvania State University - Smeal College of Business, New York University (NYU) - Department of Finance, Federal Reserve Bank of New York and University of North Carolina Kenan-Flagler Business School
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503
(79,628)
Abstract:
liquidity, Treasury market, limit order book, financial crisis, volatility, announcement
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
Banorte Financial Group and New York University (NYU) - Department of Finance
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451
(90,680)
Abstract:
Factor models, Dynamic correlation, Spline-GARCH, DCC, Idiosyncratic volatility, Time-varying betas, Long-term forecast evaluation.
NYU Working Paper No. FIN-08-042
Number of pages: 28
Posted: 09 Mar 2009
New York University (NYU) - Department of Finance and affiliation not provided to SSRN
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407
(102,085)
Abstract:
NYU Stern School of Business Forthcoming
Number of pages: 52
Posted: 22 Mar 2021
Last Revised: 01 Aug 2022
Heidelberg University - Alfred Weber Institute for Economics and New York University (NYU) - Department of Finance
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402
(103,889)
Abstract:
Volatility forecasting, long- and short-term volatility, mixed frequency data, volatility cycles
NYU Working Paper No. SC-CFE-04-05
Number of pages: 41
Posted: 07 Nov 2008
New York University (NYU) - Department of Finance and affiliation not provided to SSRN
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400
(104,194)
Abstract:
NBER Working Paper No. w5816
Number of pages: 19
Posted: 26 Jun 2000
Last Revised: 25 May 2022
Robert F. Engle
New York University (NYU) - Department of Finance
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341
(124,665)
Abstract:
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319
(133,678)
Citation
10
NYU Working Paper No. FIN-98-031
Number of pages: 28
Posted: 07 Nov 2008
New York University (NYU) - Department of Finance and Federal Reserve Bank of New York
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246
(173,538)
Abstract:
NYU Working Paper No. FIN-96-024
Number of pages: 38
Posted: 11 Nov 2008
New York University (NYU) - Department of Finance and Federal Reserve Bank of New York
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73
(442,528)
Abstract:
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295
(145,112)
Citation
21
NYU Working Paper No. FIN-08-036
Number of pages: 21
Posted: 09 Mar 2009
New York University (NYU) - Department of Finance, Corte dei Conti - Italian Court of Audits and University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA)
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184
(227,735)
Abstract:
Number of pages: 21
Posted: 14 Oct 2008
Last Revised: 10 Dec 2013
New York University (NYU) - Department of Finance, Corte dei Conti - Italian Court of Audits and University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA)
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111
(340,228)
Abstract:
Volatility, Multiplicative Error Models, Asian Crisis, Market integration
NYU Working Paper No. FIN-02-037
Number of pages: 29
Posted: 03 Nov 2008
Robert F. Engle
New York University (NYU) - Department of Finance
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285
(150,389)
Abstract:
ARCH, GARCH, volatility, non-linear process, non-negative process, option pricing, stochastic volatility, long memory, Least Squares Monte Carlo, ACD, Multiplicative Error Model, MEM
Number of pages: 38
Posted: 28 Jan 2009
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University (NYU) - Department of Finance and Corte dei Conti - Italian Court of Audits
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281
(152,529)
Abstract:
GARCH, MEM, Volatility, Copula, financial time series
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273
(157,075)
Citation
1
THE KNOWN, THE UNKNOWN AND THE UNKNOWABLE IN FINANCIAL RISK MANAGEMENT, F.X. Diebold, ed., Forthcoming
Number of pages: 25
Posted: 14 Sep 2008
University of North Carolina Kenan-Flagler Business School and New York University (NYU) - Department of Finance
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164
(251,455)
Abstract:
NYU Working Paper No. FIN-08-040
Number of pages: 25
Posted: 09 Mar 2009
University of North Carolina Kenan-Flagler Business School and New York University (NYU) - Department of Finance
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109
(344,494)
Abstract:
Number of pages: 42
Posted: 14 Sep 2016
Last Revised: 04 Nov 2016
New York University (NYU) - Department of Finance, McGill University - Desautels Faculty of Management and Harvard Business School - Finance Unit
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262
(163,724)
Abstract:
Interest Rate Forecast, Regime Switching, Factor Model
Number of pages: 21
Posted: 17 Dec 1996
Aarhus University - Department of Economics and Business Economics and New York University (NYU) - Department of Finance
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260
(164,993)
Abstract:
Posted: 09 Feb 2011
New York University (NYU) - Department of Finance and Banorte Financial Group
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254
(168,836)
Abstract:
Factor-Spline-GARCH, Multiple factors, International correlations, Non-synchronous trading
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248
(172,753)
Citation
3
Number of pages: 21
Posted: 12 Oct 2008
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University (NYU) - Department of Finance and Corte dei Conti - Italian Court of Audits
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156
(262,387)
Abstract:
GARCH, GMM, MEM, NYSE, number of trades, realized volatility, volumes
NYU Working Paper No. FIN-08-041
Number of pages: 21
Posted: 09 Mar 2009
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University (NYU) - Department of Finance and Corte dei Conti - Italian Court of Audits
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92
(385,422)
Abstract:
NBER Working Paper No. w7341
Number of pages: 54
Posted: 17 Feb 2000
Last Revised: 23 Jan 2022
European Central Bank (ECB) and New York University (NYU) - Department of Finance
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226
(188,721)
Abstract:
NBER Working Paper No. w12165
Number of pages: 25
Posted: 21 May 2006
Last Revised: 30 Mar 2022
New York University (NYU) - Department of Finance and Morgan Stanley
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217
(196,270)
Abstract:
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199
(212,551)
Citation
4
NYU Working Paper No. FIN-07-048
Number of pages: 53
Posted: 03 Nov 2008
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University (NYU) - Department of Finance and Corte dei Conti - Italian Court of Audits
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91
(388,132)
Abstract:
NYU Working Paper No. SC-CFE-06-01
Number of pages: 54
Posted: 07 Nov 2008
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University (NYU) - Department of Finance and Corte dei Conti - Italian Court of Audits
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42
(574,161)
Abstract:
NBER Working Paper No. w12690
Number of pages: 54
Posted: 20 Nov 2006
Last Revised: 06 Mar 2022
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University (NYU) - Department of Finance and Corte dei Conti - Italian Court of Audits
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38
(596,198)
Abstract:
NBER Working Paper No. t0331
Number of pages: 54
Posted: 31 May 2011
Last Revised: 30 May 2021
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University (NYU) - Department of Finance and Corte dei Conti - Italian Court of Audits
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28
(660,743)
Abstract:
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189
(222,463)
Citation
98
NYU Working Paper No. S-DRP-03-17
Number of pages: 27
Posted: 05 Nov 2008
New York University (NYU) - Department of Finance and Corte dei Conti - Italian Court of Audits
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114
(333,734)
Abstract:
volatility modeling, volatility forecasting, GARCH, VIX, high-low range, realized volatility
NBER Working Paper No. w10117
Number of pages: 28
Posted: 05 Dec 2003
Last Revised: 04 Apr 2022
Corte dei Conti - Italian Court of Audits and New York University (NYU) - Department of Finance
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75
(435,916)
Abstract:
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186
(225,521)
Citation
202
NYU Working Paper No. FIN-98-030
Number of pages: 44
Posted: 07 Nov 2008
Federal Reserve Bank of New York and New York University (NYU) - Department of Finance
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83
(410,763)
Abstract:
NYU Working Paper No. FIN-99-014
Number of pages: 44
Posted: 07 Nov 2008
Federal Reserve Bank of New York and New York University (NYU) - Department of Finance
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68
(459,978)
Abstract:
NYU Working Paper No. S-DRP-99-01
Number of pages: 38
Posted: 07 Nov 2008
Federal Reserve Bank of New York and New York University (NYU) - Department of Finance
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35
(614,075)
Abstract:
Journal of Financial Economics, Vol. 64, No. 3, 2002
Posted: 02 Jun 2003
Federal Reserve Bank of New York and New York University (NYU) - Department of Finance
Abstract:
Pricing kernels, Risk aversion, Derivatives, Hedging
CIFR Paper No. 046/2014
Number of pages: 37
Posted: 05 Nov 2014
Last Revised: 07 Nov 2014
New York University (NYU) - Department of Finance, Institute of Global Finance, UNSW Business School and The Chinese University of Hong Kong, Shenzhen
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158
(259,072)
Abstract:
Gobal Financial Stability, Regional Financial Stability and Systemic Risk
NBER Working Paper No. w7330
Number of pages: 42
Posted: 23 Feb 2000
Last Revised: 14 Jul 2022
affiliation not provided to SSRN and New York University (NYU) - Department of Finance
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155
(263,109)
Abstract:
ECB Working Paper No. 2021/2565
Number of pages: 76
Posted: 03 Jun 2021
European Central Bank (ECB), New York University (NYU) - Department of Finance, European Central Bank, European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB) - Directorate General Research
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144
(279,079)
Abstract:
NBER Working Paper No. w7331
Number of pages: 46
Posted: 06 May 2000
Last Revised: 15 Jul 2022
affiliation not provided to SSRN and New York University (NYU) - Department of Finance
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143
(280,579)
Abstract:
ESRB: Working Paper Series No. 2017/37
Number of pages: 49
Posted: 05 Nov 2020
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and New York University (NYU) - Department of Finance
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142
(282,097)
Abstract:
DCC, GARCH, Great Financial Crisis, Systemic Risk Measurement
NBER Working Paper No. t0091
Number of pages: 25
Posted: 27 Jun 2007
Last Revised: 03 Apr 2022
Bank of Canada and New York University (NYU) - Department of Finance
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116
(327,872)
Abstract:
NBER Working Paper No. w4966
Number of pages: 47
Posted: 30 Aug 2000
Last Revised: 29 Jul 2022
University of Chicago - Booth School of Business - Econometrics and Statistics and New York University (NYU) - Department of Finance
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109
(342,330)
Abstract:
NBER Working Paper No. w4520
Number of pages: 31
Posted: 09 Jul 2000
Last Revised: 09 May 2022
Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance, New York University (NYU) - Department of Finance and University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS)
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107
(346,654)
Abstract:
NBER Working Paper No. w3643
Number of pages: 41
Posted: 17 Oct 2007
Last Revised: 17 Jun 2022
Georgia Institute of Technology - Scheller College of Business, New York University (NYU) - Department of Finance and University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS)
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101
(360,221)
Abstract:
NBER Working Paper No. w2609
Number of pages: 28
Posted: 18 Jun 2004
Last Revised: 20 Apr 2022
New York University (NYU) - Department of Finance, University of Tokyo - Faculty of Economics and Office of Comptroller of Currency
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97
(369,715)
Abstract:
NBER Working Paper No. w5128
Number of pages: 26
Posted: 15 Jul 2000
Last Revised: 08 Jul 2022
Federal Reserve Bank of New York and New York University (NYU) - Department of Finance
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97
(372,607)
Abstract:
JOURNAL OF DERIVATIVES Vol 2 No 4
Posted: 10 Oct 1998
Federal Reserve Bank of New York and New York University (NYU) - Department of Finance
Abstract:
NBER Working Paper No. t0065
Number of pages: 36
Posted: 28 Dec 2006
Last Revised: 07 Mar 2022
New York University (NYU) - Department of Finance, University of Michigan at Ann Arbor and Princeton University
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87
(395,448)
Abstract:
NBER Working Paper No. w4519
Number of pages: 31
Posted: 25 May 2006
Last Revised: 04 Apr 2022
New York University (NYU) - Department of Finance, 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
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79
(418,468)
Abstract:
NBER Working Paper No. w3911
Number of pages: 39
Posted: 12 Apr 2004
Last Revised: 20 Apr 2022
Office of Comptroller of Currency, New York University (NYU) - Department of Finance and University of Tokyo - Faculty of Economics
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75
(430,939)
Abstract:
Handbook of Stress Testing, Forthcoming
Number of pages: 36
Posted: 16 Sep 2020
Robert F. Engle
New York University (NYU) - Department of Finance
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70
(447,277)
Abstract:
Stress Test, DCB, SRISK, VLAB, COVAR, SES,DCC, Regulation, Banking
NBER Working Paper No. w4958
Number of pages: 36
Posted: 05 Sep 2000
Last Revised: 21 Jul 2022
Federal Reserve Bank of New York and New York University (NYU) - Department of Finance
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63
(471,981)
Abstract:
NBER Working Paper No. w3682
Number of pages: 29
Posted: 27 Apr 2000
Last Revised: 25 Jul 2022
International Monetary Fund (IMF) - Research Department and New York University (NYU) - Department of Finance
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62
(475,725)
Abstract:
Number of pages: 25
Posted: 06 Apr 2016
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University (NYU) - Department of Finance and Corte dei Conti - Italian Court of Audits
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56
(499,115)
Abstract:
GARCH; MEM; Realized Volatility; Trading Volume; Trading Activity; Copula; Volatility Forecasting
NBER Working Paper No. w3504
Number of pages: 32
Posted: 08 Jan 2008
Last Revised: 31 Jul 2022
University of Tokyo - Faculty of Economics, New York University (NYU) - Department of Finance and Office of Comptroller of Currency
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56
(499,115)
Abstract:
NBER Working Paper No. w3291
Number of pages: 28
Posted: 19 Jun 2004
Last Revised: 01 Jul 2022
Raymond James and Associates, Inc., New York University (NYU) - Department of Finance and University of California, Irvine - Paul Merage School of Business
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54
(507,319)
Abstract:
NBER Working Paper No. w4529
Number of pages: 57
Posted: 22 Aug 2007
Last Revised: 19 May 2022
Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças and New York University (NYU) - Department of Finance
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44
(552,536)
Abstract:
NBER Working Paper No. w3350
Number of pages: 40
Posted: 30 Aug 2010
Last Revised: 31 Mar 2022
New York University (NYU) - Department of Finance, 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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38
(583,146)
Abstract:
NBER Working Paper No. w0037
Number of pages: 26
Posted: 09 Aug 2012
Last Revised: 10 Aug 2022
Robert F. Engle
New York University (NYU) - Department of Finance
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33
(611,570)
Abstract:
Journal of Credit Risk, Vol. 14, No. 4, 2018
Number of pages: 24
Posted: 14 Dec 2018
New York University (NYU) - Department of Finance and Libera Università degli Studi Sociali (LUISS) Guido Carli - Fondo Interbancario di Tutela dei Depositi and Instituto di Studi Economici
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3
(864,103)
Systemic Risk in the Financial System: Capital Shortfalls Under Brexit, the US Elections and the Italian Referendum
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Abstract:
systemic risk, stress testing, regulatory capital requirements, forecasting methods.
NYU Stern School of Business
Posted: 09 Jul 2020
Last Revised: 09 May 2022
Fairfield University - Charles F. Dolan School of Business, New York University (NYU) - Department of Finance and Hofstra University, Zarb School of Business
Abstract:
Multi-regime forecasting, COVID-19, coronavirus pandemic, volatility, Stringency Index, earnings call transcripts, sentiment, curvature
Annual Review of Financial Economics, Vol. 10, pp. 125-152, 2018
Posted: 08 Nov 2018
Robert F. Engle
New York University (NYU) - Department of Finance
Abstract:
Contemporary Economic Policy, Vol. 36, Issue 1, pp. 29-43, 2018
Number of pages: 15
Posted: 27 Nov 2017
Princeton University - Industrial Relations Section, New York University (NYU) - Department of Finance, University of California, Berkeley - Department of Economics and Pontifical Catholic University of Chile
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0
Abstract:
Contemporary Economic Policy, Forthcoming
Posted: 13 Sep 2017
Last Revised: 02 May 2018
Princeton University - Industrial Relations Section, New York University (NYU) - Department of Finance, University of California, Berkeley - Department of Economics and Pontifical Catholic University of Chile
Abstract:
Journal of Finance, Vol. 55, No. 6, 2000
Posted: 29 Oct 2013
ICMA Centre, Henley Business School, University of Reading and New York University (NYU) - Department of Finance
Abstract:
Posted: 05 Jan 2011
Robert F. Engle
New York University (NYU) - Department of Finance
Abstract:
Journal Of Investment Management (JOIM), Fourth Quarter 2009
Posted: 19 Jan 2010
Last Revised: 02 Jun 2010
Robert F. Engle
New York University (NYU) - Department of Finance
Abstract:
Risk, long-term risk, short-run risk, financial crisis, GARCH, TARCH, spline GARCH. value at risk, hedge portfolio
Review of Financial Studies, Volume 7, Number 4, 1994.
Posted: 26 Oct 1999
Office of Comptroller of Currency and New York University (NYU) - Department of Finance
Abstract:
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 (NYU) - Department of Finance
Abstract:
Posted: 27 Dec 1998
University of California, San Diego (UCSD) - Department of Economics and New York University (NYU) - Department of Finance
Abstract:
Posted: 22 Aug 1998
University of Chicago - Booth School of Business - Econometrics and Statistics and New York University (NYU) - Department of Finance
Abstract:
Journal of Financial Econometrics, Vol. 1, No. 2, pp. 159-188, 2003
Posted: 29 Feb 2008
CREATESAarhus University - School of Business and Social Sciences and New York University (NYU) - Department of Finance
Abstract:
duration analysis, market microstructure, transaction data
UCSD Economics Discussion Paper 98-07
Posted: 20 Aug 1998
CREATESAarhus University - School of Business and Social Sciences and New York University (NYU) - Department of Finance
Abstract:
University of California at San Diego, Department of Economics, Discussion Paper No. 98-03
Posted: 14 Aug 1998
University of California, Davis - Department of Agricultural and Resource Economics and New York University (NYU) - Department of Finance
Abstract:
Posted: 21 Apr 1998
University of Chicago - Booth School of Business - Econometrics and Statistics and New York University (NYU) - Department of Finance
Abstract:
UCSD Economics Discussion Paper 97-30
Posted: 04 Mar 1998
Burns Statistics, New York University (NYU) - Department of Finance and Salomon Smith Barney, Inc., U.S.
Abstract:
