Robert F. Engle

New York University (NYU) - Department of Finance

Michael Armellino Professorship in the Management of Financial Services; Co-Director, Volatility and Risk Institute

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 (NYU) - Volatility and Risk Institute

44 West 4th Street

New York, NY 10012

United States

SCHOLARLY PAPERS

117

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103,399

SSRN CITATIONS
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Top 84

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4,271

CROSSREF CITATIONS

3,184

Scholarly Papers (117)

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 (NYU) - Department of Finance
Downloads 12,897 (662)
Citation 339

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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 (NYU) - Department of Finance
Downloads 8,465 (1,385)
Citation 2

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Value at Risk; CAViaR; Extreme Value Theory

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 (NYU) - Department of Finance
Downloads 3,301 (6,697)
Citation 110

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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 (NYU) - Department of Finance
Downloads 1,601 (20,890)
Citation 161

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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 (NYU) - Department of Finance
Downloads 323 (171,122)

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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 (NYU) - Department of Finance
Downloads 251 (222,166)
Citation 3

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4.
Downloads 5,339 ( 3,023)
Citation 265

Hedging Climate Change News

Yale ICF Working Paper No. 2019-02
Number of pages: 46 Posted: 17 Jan 2019 Last Revised: 08 Feb 2023
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
Downloads 4,980 (3,371)
Citation 50

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Climate Risk, Hedge Portfolio

Hedging Climate Change News

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
Downloads 196 (281,169)
Citation 18

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climate risk

Hedging Climate Change News

NBER Working Paper No. w25734
Number of pages: 47 Posted: 08 Apr 2019 Last Revised: 26 Apr 2023
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
Downloads 161 (335,265)
Citation 7

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Hedging Climate Change News

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
Downloads 2 (1,148,712)
Citation 214
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5.

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 (NYU) - Department of Finance and Yale SOM
Downloads 3,745 (5,526)
Citation 88

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Volatility, ARCH, Forecasting, Forecast Evaluation

6.

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 (NYU) - Department of Finance
Downloads 3,409 (6,463)
Citation 26

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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 (NYU) - Department of Finance and Università della Svizzera italiana (USI Lugano)
Downloads 3,380 (6,445)
Citation 44

Abstract:

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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 (NYU) - Department of Finance and Università della Svizzera italiana (USI Lugano)

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G13

8.
Downloads 3,353 ( 6,642)
Citation 30

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 (NYU) - Department of Finance, University of North Carolina Kenan-Flagler Business School and Korea University Business School
Downloads 2,860 (8,339)
Citation 62

Abstract:

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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 (NYU) - Department of Finance, University of North Carolina Kenan-Flagler Business School and Korea University Business School
Downloads 493 (105,477)
Citation 1

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9.

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 (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)
Downloads 2,349 (11,646)
Citation 48

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Systemic Risk, Marginal Expected Shortfall, Multi-factor Model

10.
Downloads 2,316 (11,934)
Citation 27

Dynamic Conditional Beta

Number of pages: 45 Posted: 04 Mar 2014 Last Revised: 12 Aug 2015
Robert F. Engle
New York University (NYU) - Department of Finance
Downloads 1,437 (24,608)
Citation 31

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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 (NYU) - Department of Finance
Downloads 688 (69,188)
Citation 1

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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 (NYU) - Department of Finance
Downloads 191 (288,031)

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Dynamic Conditional Beta

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 - McDonough School of Business, New York University (NYU) - Department of Finance and Fordham University - Gabelli School of Business
Downloads 1,407 (25,435)
Citation 5

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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 - McDonough School of Business, New York University (NYU) - Department of Finance and Fordham University - Gabelli School of Business
Downloads 767 (60,093)
Citation 30

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

12.

CRISK: Measuring the Climate Risk Exposure of the Financial System

FRB of New York Staff Report No. 977, Rev. March 2023. Previous title: “Climate Stress Testing”, Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2022
Number of pages: 108 Posted: 28 Sep 2021 Last Revised: 09 Mar 2023
Hyeyoon Jung, Robert F. Engle and Richard Berner
Federal Reserve Bank of New York, New York University (NYU) - Department of Finance and Leonard N. Stern School of Business, NYU
Downloads 2,003 (15,009)
Citation 12

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climate risk, financial stability, systemic risk

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 (NYU) - Department of Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 1,793 (17,559)
Citation 51

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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 (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

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

14.

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 (NYU) - Department of Finance and Integral Research Inc.
Downloads 1,590 (21,463)

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15.
Downloads 1,544 (22,524)
Citation 29

Fitting Vast Dimensional Time-Varying Covariance Models

NYU Working Paper No. FIN-08-009
Number of pages: 35 Posted: 09 Mar 2009 Last Revised: 07 Oct 2019
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 (NYU) - Department of Finance
Downloads 1,137 (34,740)
Citation 23

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Composite likelihood, dynamic conditional correlations, multivariate ARCH models, volatility

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 (NYU) - Department of Finance, Harvard University and University of Oxford - Department of Economics
Downloads 407 (132,334)

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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 (NYU) - Department of Finance and University of Oxford - Department of Economics
Downloads 1,405 (25,499)
Citation 32

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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 (NYU) - Department of Finance and University of Oxford - Department of Economics

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

17.

Measuring and Hedging Geopolitical Risk

NYU Stern School of Business Forthcoming
Number of pages: 27 Posted: 29 Oct 2020
Robert F. Engle and Susana Campos-Martins
New York University (NYU) - Department of Finance and University of Oxford - Nuffield College
Downloads 1,381 (26,615)
Citation 9

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ARCH, GARCH, Multivariate Volatility Models, Geopolitical Risk, Tail Risk, Tail Events, EM Algorithm, Hedging Geopolitical Risk, Country Risk Factors, MSCI Indices

18.

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 (NYU) - Department of Finance and Yale SOM
Downloads 1,363 (27,120)
Citation 74

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19.

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 (NYU) - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 1,362 (27,144)
Citation 3

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systemic risk, financial crisis

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 - McDonough School of Business and New York University (NYU) - Department of Finance
Downloads 1,071 (37,831)
Citation 9

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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 - McDonough School of Business and New York University (NYU) - Department of Finance
Downloads 264 (211,216)

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

21.

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 (NYU) - Department of Finance and University of California, Irvine - Paul Merage School of Business
Downloads 1,289 (29,421)
Citation 6

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

22.
Downloads 1,258 (30,476)
Citation 33

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 (NYU) - Department of Finance, Morgan Stanley and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 886 (49,419)
Citation 26

Abstract:

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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 (NYU) - Department of Finance, Morgan Stanley and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 372 (146,608)

Abstract:

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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 (NYU) - Department of Finance, Morgan Stanley and University of Chicago - Booth School of Business - Econometrics and Statistics

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Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH

NBER Working Paper No. w8554
Number of pages: 44 Posted: 18 Oct 2001 Last Revised: 17 Nov 2022
Kevin Sheppard and Robert F. Engle
University of Oxford - Department of Economics and New York University (NYU) - Department of Finance
Downloads 598 (82,741)
Citation 18

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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 (NYU) - Department of Finance and University of Oxford - Department of Economics
Downloads 518 (99,214)
Citation 5

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Dynamic Correlation, Multivariate GARCH, Volatility

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 (NYU) - Department of Finance and University of Oxford - Department of Economics
Downloads 127 (406,537)

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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 (NYU) - Department of Finance
Downloads 1,074 (37,686)
Citation 3

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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: 02 Oct 2022
Joe Lange and Robert F. Engle
Cornerstone Research and New York University (NYU) - Department of Finance
Downloads 147 (361,711)

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25.

Measuring and Testing the Impact of News on Volatility

NBER Working Paper No. w3681
Number of pages: 32 Posted: 18 Jun 2004 Last Revised: 23 Jan 2022
Robert F. Engle and Victor K. Ng
New York University (NYU) - Department of Finance and International Monetary Fund (IMF) - Research Department
Downloads 1,218 (31,972)
Citation 46

Abstract:

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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 - McDonough School of Business and New York University (NYU) - Department of Finance
Downloads 583 (85,502)
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 - McDonough School of Business and New York University (NYU) - Department of Finance
Downloads 369 (147,982)
Citation 5

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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 - McDonough School of Business and New York University (NYU) - Department of Finance
Downloads 235 (237,094)

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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 (NYU) - Department of Finance
Downloads 687 (69,306)
Citation 2

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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 (NYU) - Department of Finance
Downloads 436 (122,003)
Citation 1

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

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 (NYU) - Department of Finance and Banorte Financial Group
Downloads 944 (45,220)
Citation 83

Abstract:

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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 (NYU) - Department of Finance and affiliation not provided to SSRN
Downloads 117 (432,801)
Citation 53

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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 (NYU) - Department of Finance and affiliation not provided to SSRN

Abstract:

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29.

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 (NYU) - Department of Finance and University of North Carolina Kenan-Flagler Business School
Downloads 977 (43,798)
Citation 7

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30.

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 (NYU) - Department of Finance
Downloads 921 (47,497)
Citation 24

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31.

Large Dynamic Covariance Matrices: Enhancements Based on Intraday Data

Journal of Banking and Finance (2022) and University of Zurich, Department of Economics, Working Paper No. 356, Revised version
Number of pages: 41 Posted: 25 Sep 2020 Last Revised: 23 Feb 2023
University of Zurich - Department of Economics, New York University (NYU) - Department of Finance, University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 890 (49,831)
Citation 14

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Dynamic conditional correlations, intraday data, Markowitz portfolio selection, multivariate GARCH, nonlinear shrinkage

32.

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 - McDonough School of Business and New York University (NYU) - Department of Finance
Downloads 868 (51,603)
Citation 4

Abstract:

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

33.

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 (NYU) - Department of Finance and New York University - Stern School of Business
Downloads 819 (55,821)
Citation 5

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stochastic volatility, hedging correlation, implied volatility, GARCH

Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights

Number of pages: 51 Posted: 04 Apr 2013 Last Revised: 01 Oct 2015
New York University (NYU) - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Universite du Luxembourg - Luxembourg School of Finance
Downloads 730 (64,192)
Citation 62

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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 Last Revised: 01 May 2022
New York University (NYU) - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Universite du Luxembourg - Luxembourg School of Finance
Downloads 73 (592,925)
Citation 1

Abstract:

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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
New York University (NYU) - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Universite du Luxembourg - Luxembourg School of Finance
Downloads 3 (1,140,482)
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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
New York University (NYU) - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Universite du Luxembourg - Luxembourg School of Finance
Downloads 2 (1,148,712)
Citation 1
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macroprudential regulation, risk-weighted assets, stress test, systemic risk

35.

Banks Non-Interest Income and Global Financial Stability

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
Downloads 806 (56,995)
Citation 13

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

36.
Downloads 781 (59,525)

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 (NYU) - Department of Finance and Duke University - Department of Economics
Downloads 781 (58,652)
Citation 18

Abstract:

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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 (NYU) - Department of Finance and Duke University - Department of Economics

Abstract:

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volatility modelling, ARCH, GARCH, volatility forecasting

37.

Factor Mimicking Portfolios for Climate Risk

University of Zurich, Department of Economics, Working Paper No. 429, March 2023 Forthcoming in the Financial Analyst Journal
Number of pages: 36 Posted: 20 Mar 2023 Last Revised: 03 Apr 2024
Gianluca De Nard, Robert F. Engle and Bryan T. Kelly
University of Zurich - Department of Economics, New York University (NYU) - Department of Finance and Yale SOM
Downloads 734 (64,824)
Citation 1

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climate change, factor model, portfolio selection, sustainable portfolio

38.

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 (NYU) - Department of Finance and Harvard Business School - Finance Unit
Downloads 734 (64,699)
Citation 11

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

39.
Downloads 731 (65,044)
Citation 4

Why Did Bank Stocks Crash during COVID-19?

Number of pages: 76 Posted: 09 Mar 2021 Last Revised: 06 Sep 2023
New York University (NYU) - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance, Frankfurt School of Finance and Management and Frankfurt School of Finance & Management
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Citation 1

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Credit lines, liquidity risk, bank capital, loan supply, stress tests, pandemic, COVID-19

Why Did Bank Stocks Crash During Covid-19?

NBER Working Paper No. w28559
Number of pages: 77 Posted: 15 Mar 2021 Last Revised: 15 Jul 2023
New York University (NYU) - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Frankfurt School of Finance & Management
Downloads 102 (479,425)

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Why Did Bank Stocks Crash During Covid-19?

CEPR Discussion Paper No. DP15901
Number of pages: 85 Posted: 15 Mar 2021 Last Revised: 14 May 2021
New York University (NYU) - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Frankfurt School of Finance & Management
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40.
Downloads 731 (65,044)
Citation 6

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 (NYU) - Department of Finance and New York University (NYU) - Department of Economics
Downloads 498 (104,164)
Citation 4

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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 (NYU) - Department of Finance and New York University (NYU) - Department of Economics
Downloads 141 (374,046)

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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 (NYU) - Department of Finance and New York University (NYU) - Department of Economics
Downloads 92 (514,029)

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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
Independent and New York University (NYU) - Department of Finance
Downloads 643 (75,537)

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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: 11 Apr 2022
Joshua V. Rosenberg and Robert F. Engle
Independent and New York University (NYU) - Department of Finance
Downloads 87 (532,807)

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42.

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 (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
Downloads 708 (67,673)

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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 (NYU) - Department of Finance
Downloads 597 (82,921)
Citation 25

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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 (NYU) - Department of Finance and Duke University - Department of Economics
Downloads 94 (506,761)
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market microstructure, error-correction, vector autoregression, price dynamics

44.
Downloads 660 (74,062)
Citation 2

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 (NYU) - Department of Finance and City University of New York
Downloads 455 (115,982)

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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 (NYU) - Department of Finance
Downloads 205 (269,909)

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45.

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 (NYU) - Department of Finance, University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 657 (74,469)
Citation 14

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

46.

Modelling Volatility Cycles: The MF2-GARCH Model

NYU Stern School of Business Forthcoming
Number of pages: 52 Posted: 22 Mar 2021 Last Revised: 01 Aug 2022
Christian Conrad and Robert F. Engle
Heidelberg University - Alfred Weber Institute for Economics and New York University (NYU) - Department of Finance
Downloads 638 (77,306)

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Volatility forecasting, long- and short-term volatility, mixed frequency data, volatility cycles

47.

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 (NYU) - Department of Finance
Downloads 638 (77,306)

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48.

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 (NYU) - Department of Finance and University of North Carolina Kenan-Flagler Business School
Downloads 634 (77,882)
Citation 24

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GARCH, DCC, Forecast Evaluation

49.

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 (NYU) - Department of Finance
Downloads 552 (92,753)

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50.

Liquidity and Volatility in the U.S. Treasury Market

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
Downloads 549 (93,384)
Citation 32

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

51.

Conditional Volatility of Exchange Rates Under a Target Zone

Number of pages: 24 Posted: 12 May 1997
Yin-Feng Gau, Yin-Feng Gau and Robert F. Engle
National Central UniversityNational Central University and New York University (NYU) - Department of Finance
Downloads 545 (94,264)
Citation 13

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52.

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 (NYU) - Department of Finance and affiliation not provided to SSRN
Downloads 477 (110,921)
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53.

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
Banorte Financial Group and New York University (NYU) - Department of Finance
Downloads 476 (111,187)
Citation 7

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

54.

Factor Modeling for Volatility

HKUST Business School Research Paper No. 2022-089
Number of pages: 63 Posted: 22 Nov 2022 Last Revised: 15 Feb 2023
Yi Ding, Robert F. Engle, Yingying Li, Yingying Li and Xinghua Zheng
University of Macau, New York University (NYU) - Department of Finance, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
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Volatility modeling, Factor model, High-frequency data, High-dimension, Principal component analysis

55.
Downloads 438 (122,638)
Citation 6

Climate Stress Testing

FRB of New York Staff Report No. 1059. Rev. June 2023
Number of pages: 48 Posted: 10 Apr 2023 Last Revised: 28 Jun 2023
New York University (NYU) - New York University, Leonard N. Stern School of Business, NYU, New York University (NYU) - Department of Finance, Federal Reserve Bank of New York, New York University (NYU) - Leonard N. Stern School of Business, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 330 (167,229)
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climate risk, financial stability, systemic risk

Climate Stress Testing

CESifo Working Paper No. 10345
Number of pages: 47 Posted: 06 Apr 2023
New York University (NYU) - New York University, Leonard N. Stern School of Business, NYU, New York University (NYU) - Department of Finance, Federal Reserve Bank of New York, New York University (NYU) - Leonard N. Stern School of Business, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 108 (459,790)

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climate finance

56.

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 (NYU) - Department of Finance and affiliation not provided to SSRN
Downloads 432 (124,680)
Citation 3

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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 (NYU) - Department of Finance and Independent
Downloads 291 (191,167)
Citation 1

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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 (NYU) - Department of Finance and Independent
Downloads 97 (496,358)

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58.

The Econometrics of Ultra-High Frequency Data

NBER Working Paper No. w5816
Number of pages: 19 Posted: 26 Jun 2000 Last Revised: 29 Nov 2022
Robert F. Engle
New York University (NYU) - Department of Finance
Downloads 380 (144,280)
Citation 6

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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
New York University (NYU) - Department of Finance, Corte dei Conti - Italian Court of Audits and University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA)
Downloads 206 (268,698)
Citation 10

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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
New York University (NYU) - Department of Finance, Corte dei Conti - Italian Court of Audits and University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA)
Downloads 142 (371,991)
Citation 6

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Volatility, Multiplicative Error Models, Asian Crisis, Market integration

60.

Measuring the Climate Risk Exposure of Insurers

FRB of New York Staff Report No. 1066
Number of pages: 54 Posted: 14 Jul 2023
Hyeyoon Jung, Robert F. Engle, Shan Ge and Xuran Zeng
Federal Reserve Bank of New York, New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 331 (167,924)

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insurance, climate change, physical risk, transition risk

61.

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 (NYU) - Department of Finance, McGill University - Desautels Faculty of Management and Harvard Business School - Finance Unit
Downloads 325 (171,249)
Citation 3

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Interest Rate Forecast, Regime Switching, Factor Model

62.

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 (NYU) - Department of Finance
Downloads 319 (174,640)
Citation 23

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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

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 (NYU) - Department of Finance
Downloads 190 (289,425)

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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 (NYU) - Department of Finance
Downloads 127 (406,537)

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64.

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 (NYU) - Department of Finance and Corte dei Conti - Italian Court of Audits
Downloads 312 (178,716)
Citation 11

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GARCH, MEM, Volatility, Copula, financial time series

65.

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 Business Economics and New York University (NYU) - Department of Finance
Downloads 287 (195,154)
Citation 2

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66.

High and Low Frequency Correlations in Global Equity Markets

Posted: 09 Feb 2011
Robert F. Engle and Jose Gonzalo Rangel
New York University (NYU) - Department of Finance and Banorte Financial Group
Downloads 285 (196,518)
Citation 9

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

67.
Downloads 279 (200,836)
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 (NYU) - Department of Finance and Corte dei Conti - Italian Court of Audits
Downloads 175 (311,593)
Citation 3

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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 (NYU) - Department of Finance and Corte dei Conti - Italian Court of Audits
Downloads 104 (472,741)
Citation 1

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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 (NYU) - Department of Finance and Corte dei Conti - Italian Court of Audits
Downloads 120 (424,412)

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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 (NYU) - Department of Finance and Corte dei Conti - Italian Court of Audits
Downloads 60 (659,632)

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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: 06 Mar 2022
Fabrizio Cipollini, Robert F. Engle and Giampiero M. Gallo
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University (NYU) - Department of Finance and Corte dei Conti - Italian Court of Audits
Downloads 48 (733,712)

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Vector Multiplicative Error Models: Representation and Inference

NBER Working Paper No. t0331
Number of pages: 54 Posted: 31 May 2011 Last Revised: 29 May 2023
Fabrizio Cipollini, Robert F. Engle and Giampiero M. Gallo
Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni), New York University (NYU) - Department of Finance and Corte dei Conti - Italian Court of Audits
Downloads 45 (754,351)

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69.

SRISK: A Conditional Capital Shortfall Measure of Systemic Risk

ESRB: Working Paper Series No. 2017/37
Number of pages: 49 Posted: 05 Nov 2020
Christian T. Brownlees and Robert F. Engle
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and New York University (NYU) - Department of Finance
Downloads 272 (206,113)
Citation 22

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DCC, GARCH, Great Financial Crisis, Systemic Risk Measurement

70.

Execution Risk

NBER Working Paper No. w12165
Number of pages: 25 Posted: 21 May 2006 Last Revised: 29 Sep 2022
Robert F. Engle and Robert Ferstenberg
New York University (NYU) - Department of Finance and Morgan Stanley
Downloads 264 (212,351)
Citation 3

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71.

Caviar: Conditional Value at Risk by Quantile Regression

NBER Working Paper No. w7341
Number of pages: 54 Posted: 17 Feb 2000 Last Revised: 23 Jan 2022
Simone Manganelli and Robert F. Engle
European Central Bank (ECB) and New York University (NYU) - Department of Finance
Downloads 259 (216,385)
Citation 10

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72.
Downloads 243 (230,438)
Citation 226

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
Independent and New York University (NYU) - Department of Finance
Downloads 100 (486,100)

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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
Independent and New York University (NYU) - Department of Finance
Downloads 94 (506,761)

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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
Independent and New York University (NYU) - Department of Finance
Downloads 49 (726,958)
Citation 37

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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
Independent and New York University (NYU) - Department of Finance

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Pricing kernels, Risk aversion, Derivatives, Hedging

73.

The Risk Management Approach to Macro-Prudential Policy

ECB Working Paper No. 2021/2565
Number of pages: 76 Posted: 03 Jun 2021
Aarhus University - School of Business and Social Sciences, 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
Downloads 239 (234,233)
Citation 3

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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 (NYU) - Department of Finance and Corte dei Conti - Italian Court of Audits
Downloads 132 (394,176)
Citation 1

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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 2022
Giampiero M. Gallo and Robert F. Engle
Corte dei Conti - Italian Court of Audits and New York University (NYU) - Department of Finance
Downloads 91 (517,647)
Citation 14

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75.

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: 15 Jul 2022
Young-Hye Cho and Robert F. Engle
affiliation not provided to SSRN and New York University (NYU) - Department of Finance
Downloads 185 (296,879)
Citation 2

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76.

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 (NYU) - Department of Finance, Institute of Global Finance, UNSW Business School and The Chinese University of Hong Kong, Shenzhen
Downloads 183 (299,800)

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Gobal Financial Stability, Regional Financial Stability and Systemic Risk

77.

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: 14 Jul 2022
Young-Hye Cho and Robert F. Engle
affiliation not provided to SSRN and New York University (NYU) - Department of Finance
Downloads 177 (308,781)
Citation 1

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78.

Compound Tail Risk

Journal of Portfolio Management, Forthcoming
Number of pages: 29 Posted: 25 Oct 2023
Robert F. Engle
New York University (NYU) - Department of Finance
Downloads 167 (326,531)

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econometrics, banking, climate

79.

Stress Testing with Market Data

Handbook of Stress Testing, Forthcoming
Number of pages: 36 Posted: 16 Sep 2020
Robert F. Engle
New York University (NYU) - Department of Finance
Downloads 147 (361,351)

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Stress Test, DCB, SRISK, VLAB, COVAR, SES,DCC, Regulation, Banking

80.

Testing for Common Features

NBER Working Paper No. t0091
Number of pages: 25 Posted: 27 Jun 2007 Last Revised: 03 Apr 2022
Sharon Kozicki and Robert F. Engle
Bank of Canada and New York University (NYU) - Department of Finance
Downloads 133 (390,985)
Citation 1

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81.

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 Last Revised: 09 Nov 2022
Jaesun Noh, Robert F. Engle and Alex Kane
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)
Downloads 132 (393,217)

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82.

Forecasting Transaction Rates: The Autoregressive Conditional Duration Model

NBER Working Paper No. w4966
Number of pages: 47 Posted: 30 Aug 2000 Last Revised: 29 Jul 2022
Jeffrey R. Russell and Robert F. Engle
University of Chicago - Booth School of Business - Econometrics and Statistics and New York University (NYU) - Department of Finance
Downloads 131 (395,569)

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83.

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: 17 Dec 2022
Ray Chou, Robert F. Engle and Alex Kane
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)
Downloads 129 (400,476)

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84.
Downloads 121 (420,090)

GARCH Gamma

NBER Working Paper No. w5128
Number of pages: 26 Posted: 15 Jul 2000 Last Revised: 08 Jul 2022
Joshua V. Rosenberg and Robert F. Engle
Independent and New York University (NYU) - Department of Finance
Downloads 121 (421,748)

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GARCH Gamma

JOURNAL OF DERIVATIVES Vol 2 No 4
Posted: 10 Oct 1998
Joshua V. Rosenberg and Robert F. Engle
Independent and New York University (NYU) - Department of Finance

Abstract:

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85.

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: 20 Aug 2022
Robert F. Engle, Takatoshi Ito and Wenling Lin
New York University (NYU) - Department of Finance, University of Tokyo - Faculty of Economics and Office of Comptroller of Currency
Downloads 116 (433,625)
Citation 10

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86.

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: 08 Mar 2023
Robert F. Engle, Victor Ng and Michael Rothschild
New York University (NYU) - Department of Finance, University of Michigan at Ann Arbor and Princeton University
Downloads 110 (451,127)

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87.

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 Nov 2022
Robert F. Engle, Alex Kane and Jaesun Noh
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
Downloads 101 (479,475)

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88.

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: 20 Apr 2022
Wenling Lin, Robert F. Engle and Takatoshi Ito
Office of Comptroller of Currency, New York University (NYU) - Department of Finance and University of Tokyo - Faculty of Economics
Downloads 100 (482,671)
Citation 25

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89.

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: 31 Dec 2022
Scott J. Brown, Robert F. Engle and N. Edward Coulson
Raymond James and Associates, Inc., New York University (NYU) - Department of Finance and University of California, Irvine - Paul Merage School of Business
Downloads 90 (516,691)

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90.

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: 21 Jul 2022
Joshua V. Rosenberg and Robert F. Engle
Independent and New York University (NYU) - Department of Finance
Downloads 81 (551,038)

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91.

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: 25 Jul 2022
Victor K. Ng and Robert F. Engle
International Monetary Fund (IMF) - Research Department and New York University (NYU) - Department of Finance
Downloads 79 (559,193)

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92.

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 (NYU) - Department of Finance and Corte dei Conti - Italian Court of Audits
Downloads 77 (567,363)

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

93.

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: 31 Jul 2022
Takatoshi Ito, Robert F. Engle and Wenling Lin
University of Tokyo - Faculty of Economics, New York University (NYU) - Department of Finance and Office of Comptroller of Currency
Downloads 75 (575,992)

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94.

Estimating SRISK for Latin America

Number of pages: 35 Posted: 19 Apr 2023
Robert F. Engle and Hyeyoon Jung
New York University (NYU) - Department of Finance and Federal Reserve Bank of New York
Downloads 65 (622,099)

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95.

Estimating Systemic Risk for Non-Listed Euro-Area Banks

ECB Working Paper No. 2023/2856
Number of pages: 31 Posted: 13 Oct 2023
New York University (NYU) - Department of Finance, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 62 (637,287)

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banks’ balance sheet information content, stress testing, systemic risk