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

  • New York University (NYU) - Volatility and Risk Institute

SCHOLARLY PAPERS

106

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Scholarly Papers (106)

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1.

SRISK: A Conditional Capital Shortfall Measure of Systemic Risk

Number of pages: 47 Posted: 18 May 2010 Last Revised: 05 Aug 2016
Christian T. Brownlees and Robert F. Engle
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and New York University (NYU) - Department of Finance
Downloads 12,254 (428)
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 6,879 (1,215)
Citation 2

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Value at Risk; CAViaR; Extreme Value Theory

3.

Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models

Downloads 5,075 ( 2,031)
Citation 302

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 3,032 (4,933)
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 1,547 (14,571)
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 298 (128,626)

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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 198 (192,874)
Citation 1

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4.

A Practical Guide to Volatility Forecasting through Calm and Storm

Number of pages: 23 Posted: 10 Nov 2009 Last Revised: 15 Nov 2013
Christian T. Brownlees, Robert F. Engle and Bryan T. Kelly
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, New York University (NYU) - Department of Finance and Yale SOM
Downloads 3,330 (4,263)
Citation 35

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Volatility, ARCH, Forecasting, Forecast Evaluation

5.

A GARCH Option Pricing Model with Filtered Historical Simulation

Downloads 3,181 ( 4,622)
Citation 44

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 USI Lugano - Institute of Finance
Downloads 3,181 (4,541)
Citation 44

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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 USI Lugano - Institute of Finance

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G13

6.

On the Economic Sources of Stock Market Volatility

Downloads 2,831 ( 5,615)
Citation 33

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 2,385 (7,290)
Citation 59

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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 446 (81,409)
Citation 1

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7.

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

NYU Working Paper No. FIN-01-030
Number of pages: 25 Posted: 03 Nov 2008
Robert F. Engle
New York University (NYU) - Department of Finance
Downloads 2,724 (5,986)
Citation 15

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8.

Hedging Climate Change News

Downloads 2,618 ( 6,370)
Citation 45

Hedging Climate Change News

Yale ICF Working Paper No. 2019-02
Number of pages: 43 Posted: 17 Jan 2019 Last Revised: 02 Aug 2019
Robert F. Engle, Stefano Giglio, Heebum Lee, Bryan T. Kelly and Johannes Stroebel
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 2,446 (6,989)
Citation 12

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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
Robert F. Engle, Stefano Giglio, Heebum Lee, Bryan T. Kelly and Johannes Stroebel
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 126 (281,711)
Citation 7

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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: 25 Oct 2021
Robert F. Engle, Stefano Giglio, Bryan T. Kelly, Heebum Lee and Johannes Stroebel
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 44 (515,623)
Citation 2

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Hedging Climate Change News

CEPR Discussion Paper No. DP13730
Number of pages: 49 Posted: 22 May 2019
Robert F. Engle, Stefano Giglio, Bryan T. Kelly, Heebum Lee and Johannes Stroebel
New York University (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 (817,008)
Citation 36
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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)affiliation not provided to SSRN and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 2,160 (8,681)
Citation 33

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Systemic Risk, Marginal Expected Shortfall, Multi-factor Model

10.

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

Downloads 1,968 ( 10,133)
Citation 30

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

Number of pages: 55 Posted: 23 Jun 2012 Last Revised: 15 Apr 2016
Turan G. Bali, Robert F. Engle and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, New York University (NYU) - Department of Finance and Fordham University - Gabelli School of Business
Downloads 1,364 (17,720)
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 - Robert Emmett McDonough School of Business, New York University (NYU) - Department of Finance and Fordham University - Gabelli School of Business
Downloads 604 (55,833)
Citation 30

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

11.

Dynamic Conditional Beta

Downloads 1,917 ( 10,556)
Citation 14

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 1,110 (24,116)
Citation 17

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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 635 (52,371)
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 172 (218,600)

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Dynamic Conditional Beta

12.

Time-Varying Arrival Rates of Informed and Uninformed Trades

Downloads 1,701 ( 12,792)
Citation 51

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 1,701 (12,570)
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

13.

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 1,470 (16,125)

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14.

Fitting Vast Dimensional Time-Varying Covariance Models

Downloads 1,339 ( 18,542)
Citation 17

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 976 (29,039)
Citation 11

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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 363 (103,470)

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15.

Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

Downloads 1,326 ( 18,810)

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 1,326 (18,482)
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

16.

Investigating ICAPM with Dynamic Conditional Correlations

Downloads 1,269 ( 20,090)
Citation 8

Investigating ICAPM with Dynamic Conditional Correlations

AFA 2009 San Francisco Meetings Paper
Number of pages: 61 Posted: 04 Feb 2008 Last Revised: 27 Feb 2012
Turan G. Bali and Robert F. Engle
Georgetown University - Robert Emmett McDonough School of Business and New York University (NYU) - Department of Finance
Downloads 1,032 (26,817)
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 - Robert Emmett McDonough School of Business and New York University (NYU) - Department of Finance
Downloads 237 (162,477)

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

17.

Dynamic Equicorrelation

NYU Working Paper No. FIN-08-038, Chicago Booth Research Paper No. 12-07, Fama-Miller Working Paper
Number of pages: 40 Posted: 09 Mar 2009 Last Revised: 10 Nov 2015
Robert F. Engle and Bryan T. Kelly
New York University (NYU) - Department of Finance and Yale SOM
Downloads 1,237 (20,916)
Citation 57

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18.

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 1,206 (21,719)
Citation 6

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

19.

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

Downloads 1,141 ( 23,552)
Citation 1

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 1,049 (26,201)
Citation 2

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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: 07 Oct 2021
Joe Lange and Robert F. Engle
Cornerstone Research and New York University (NYU) - Department of Finance
Downloads 92 (350,436)

Abstract:

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20.

Measuring and Testing the Impact of News on Volatility

NBER Working Paper No. w3681
Number of pages: 32 Posted: 18 Jun 2004 Last Revised: 25 Jul 2021
Robert F. Engle and Victor K. Ng
New York University (NYU) - Department of Finance and International Monetary Fund (IMF) - Research Department
Downloads 1,119 (24,214)
Citation 46

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21.

Resurrecting the Conditional CAPM with Dynamic Conditional Correlations

Downloads 1,064 ( 26,063)
Citation 4

Resurrecting the Conditional CAPM with Dynamic Conditional Correlations

Number of pages: 56 Posted: 10 Nov 2008 Last Revised: 27 Feb 2012
Turan G. Bali and Robert F. Engle
Georgetown University - Robert Emmett McDonough School of Business and New York University (NYU) - Department of Finance
Downloads 537 (64,762)
Citation 4

Abstract:

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G12; G13; C51

Resurrecting the Conditional CAPM with Dynamic Conditional Correlations

Number of pages: 56 Posted: 23 Mar 2009 Last Revised: 27 Feb 2012
Turan G. Bali and Robert F. Engle
Georgetown University - Robert Emmett McDonough School of Business and New York University (NYU) - Department of Finance
Downloads 321 (118,723)
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 - Robert Emmett McDonough School of Business and New York University (NYU) - Department of Finance
Downloads 206 (185,825)

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22.

Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH

Downloads 1,018 ( 27,793)
Citation 61

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 May 2021
Kevin Sheppard and Robert F. Engle
University of Oxford - Department of Economics and New York University (NYU) - Department of Finance
Downloads 483 (73,953)
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 451 (80,330)
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 84 (371,261)

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23.

Measuring and Modeling Execution Cost and Risk

Downloads 949 ( 30,683)
Citation 8

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 679 (47,930)
Citation 3

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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 270 (142,587)

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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

Abstract:

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24.

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 941 (31,073)
Citation 3

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systemic risk, financial crisis

25.

Large Scale Conditional Covariance Matrix Modeling, Estimation and Testing

Downloads 928 ( 31,731)
Citation 36

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 548 (63,150)
Citation 1

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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 380 (98,177)
Citation 1

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

26.

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 864 (35,009)
Citation 7

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27.

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 857 (35,400)
Citation 25

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28.

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

Downloads 824 ( 37,328)
Citation 126

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 736 (42,989)
Citation 83

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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 88 (360,608)
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.

The Conditional CAPM Explains the Value Premium

Georgetown McDonough School of Business Research Paper, Sloan Foundation Economics Research Paper
Number of pages: 41 Posted: 18 Nov 2012 Last Revised: 25 Mar 2014
Turan G. Bali and Robert F. Engle
Georgetown University - Robert Emmett McDonough School of Business and New York University (NYU) - Department of Finance
Downloads 797 (39,127)
Citation 4

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

30.

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 737 (43,530)
Citation 5

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stochastic volatility, hedging correlation, implied volatility, GARCH

31.

Option Hedging Using Empirical Pricing Kernels

Downloads 676 ( 48,875)

Option Hedging Using Empirical Pricing Kernels

UCSD Economics Discussion Paper 97-20
Number of pages: 35 Posted: 21 Dec 1997
Joshua V. Rosenberg and Robert F. Engle
Federal Reserve Bank of New York and New York University (NYU) - Department of Finance
Downloads 618 (54,286)

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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: 04 Jul 2021
Joshua V. Rosenberg and Robert F. Engle
Federal Reserve Bank of New York and New York University (NYU) - Department of Finance
Downloads 58 (455,654)

Abstract:

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32.

Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights

Downloads 667 ( 49,689)
Citation 33

Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights

Number of pages: 51 Posted: 04 Apr 2013 Last Revised: 01 Oct 2015
Viral V. Acharya, Viral V. Acharya, Robert F. Engle and Diane Pierret
ProfessorNew York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Universite du Luxembourg - Luxembourg School of Finance
Downloads 630 (52,920)
Citation 31

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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 2021
Viral V. Acharya, Viral V. Acharya, Robert F. Engle and Diane Pierret
ProfessorNew York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Universite du Luxembourg - Luxembourg School of Finance
Downloads 32 (579,732)
Citation 1

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Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights

CEPR Discussion Paper No. DP9431
Number of pages: 48 Posted: 16 Apr 2013
Viral V. Acharya, Viral V. Acharya, Robert F. Engle and Diane Pierret
ProfessorNew York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Universite du Luxembourg - Luxembourg School of Finance
Downloads 3 (806,371)
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macroprudential regulation, risk-weighted assets, stress test, systemic risk

Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights

CEPR Discussion Paper No. DP9800
Number of pages: 51 Posted: 02 Jun 2014
Viral V. Acharya, Viral V. Acharya, Robert F. Engle and Diane Pierret
ProfessorNew York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Universite du Luxembourg - Luxembourg School of Finance
Downloads 2 (817,008)
Citation 1
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macroprudential regulation, risk-weighted assets, stress test, systemic risk

33.

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 656 (50,772)
Citation 7

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

34.

The Underlying Dynamics of Credit Correlations

Downloads 656 ( 50,772)
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 468 (76,823)
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 116 (299,275)

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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 72 (406,540)

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35.

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 646 (51,817)

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36.

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

Downloads 640 ( 52,509)
Citation 20

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 569 (60,205)
Citation 17

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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 71 (409,764)
Citation 3

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

37.

What Good is a Volatility Model?

Downloads 633 ( 53,259)
Citation 7

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 633 (52,586)
Citation 7

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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

38.

Banks Non-Interest Income and Global Financial Stability

CIFR Paper No. 015/2014
Number of pages: 59 Posted: 30 May 2014
Robert F. Engle, Fariborz Moshirian, Sidharth Sahgal and Bohui Zhang
New York University (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 610 (55,875)
Citation 13

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

39.

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 589 (58,321)
Citation 14

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GARCH, DCC, Forecast Evaluation

40.

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 567 (61,160)

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41.

High Frequency Multiplicative Component GARCH

Downloads 540 ( 65,024)
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 360 (104,427)

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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 180 (210,025)

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42.

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 537 (65,465)
Citation 17

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

43.

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 517 (68,710)
Citation 11

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44.

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 494 (72,642)

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45.

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
Giang Nguyen, Robert F. Engle, Michael J. Fleming and Eric Ghysels
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 472 (76,821)
Citation 26

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

46.

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 435 (84,622)
Citation 7

Abstract:

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

47.

Large Dynamic Covariance Matrices: Enhancements Based on Intraday Data

University of Zurich, Department of Economics, Working Paper No. 356, Revised version
Number of pages: 39 Posted: 25 Sep 2020 Last Revised: 30 Jun 2021
Gianluca De Nard, Robert F. Engle, Olivier Ledoit and Michael Wolf
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
Downloads 425 (86,978)
Citation 14

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

48.

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 399 (93,561)
Citation 3

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49.

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 372 (101,429)
Citation 3

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50.

Why Did Bank Stocks Crash during COVID-19?

Downloads 346 (109,958)

Why Did Bank Stocks Crash during COVID-19?

NYU Stern School of Business Forthcoming
Number of pages: 74 Posted: 09 Mar 2021 Last Revised: 02 Sep 2021
Viral V. Acharya, Viral V. Acharya, Robert F. Engle and Sascha Steffen
ProfessorNew York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Frankfurt School of Finance & Management
Downloads 271 (142,013)

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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: 83 Posted: 15 Mar 2021 Last Revised: 20 Jul 2021
Viral V. Acharya, Viral V. Acharya, Robert F. Engle and Sascha Steffen
ProfessorNew York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Frankfurt School of Finance & Management
Downloads 72 (406,540)

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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
Viral V. Acharya, Viral V. Acharya, Robert F. Engle and Sascha Steffen
ProfessorNew York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Frankfurt School of Finance & Management
Downloads 3 (806,371)
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51.

Testing the Volatility Term Structure Using Option Hedging Criteria

Downloads 314 (122,255)
Citation 10

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 Federal Reserve Bank of New York
Downloads 242 (159,102)
Citation 1

Abstract:

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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 Federal Reserve Bank of New York
Downloads 72 (406,540)

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52.

The Econometrics of Ultra-High Frequency Data

NBER Working Paper No. w5816
Number of pages: 19 Posted: 26 Jun 2000 Last Revised: 24 May 2021
Robert F. Engle
New York University (NYU) - Department of Finance
Downloads 303 (126,981)
Citation 6

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53.

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

Downloads 290 (133,072)
Citation 21

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

NYU Working Paper No. FIN-08-036
Number of pages: 21 Posted: 09 Mar 2009
Robert F. Engle, Giampiero M. Gallo and Margherita Velucchi
New York University (NYU) - Department of Finance, Corte dei Conti - Italian Court of Audits and University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA)
Downloads 181 (209,000)
Citation 5

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

Number of pages: 21 Posted: 14 Oct 2008 Last Revised: 10 Dec 2013
Robert F. Engle, Giampiero M. Gallo and Margherita Velucchi
New York University (NYU) - Department of Finance, Corte dei Conti - Italian Court of Audits and University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA)
Downloads 109 (312,950)
Citation 6

Abstract:

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Volatility, Multiplicative Error Models, Asian Crisis, Market integration

54.

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 278 (138,975)
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

55.

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

Downloads 267 (144,933)
Citation 1

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 160 (232,579)

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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 107 (317,097)

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56.

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 266 (145,460)
Citation 11

Abstract:

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GARCH, MEM, Volatility, Copula, financial time series

57.

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 255 (151,632)
Citation 2

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58.

Modelling Volatility Cycles: The (MF)^2 GARCH Model

NYU Stern School of Business Forthcoming
Number of pages: 51 Posted: 22 Mar 2021 Last Revised: 07 Oct 2021
Christian Conrad and Robert F. Engle
Heidelberg University - Alfred Weber Institute for Economics and New York University (NYU) - Department of Finance
Downloads 250 (154,745)

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

59.

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 247 (156,566)
Citation 9

Abstract:

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

60.

Semiparametric Vector MEM

Downloads 244 (158,423)
Citation 3

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 154 (240,280)
Citation 3

Abstract:

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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 90 (355,483)
Citation 1

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61.

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 242 (159,630)
Citation 2

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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

62.

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 241 (160,319)
Citation 3

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Interest Rate Forecast, Regime Switching, Factor Model

63.

Caviar: Conditional Value at Risk by Quantile Regression

NBER Working Paper No. w7341
Number of pages: 54 Posted: 17 Feb 2000 Last Revised: 25 Jul 2021
Simone Manganelli and Robert F. Engle
European Central Bank (ECB) and New York University (NYU) - Department of Finance
Downloads 214 (179,601)
Citation 2

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64.

Execution Risk

NBER Working Paper No. w12165
Number of pages: 25 Posted: 21 May 2006 Last Revised: 07 Oct 2021
Robert F. Engle and Robert Ferstenberg
New York University (NYU) - Department of Finance and Morgan Stanley
Downloads 199 (192,131)
Citation 3

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65.

Vector Multiplicative Error Models:Representation and Inference

Downloads 192 (198,328)
Citation 4

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 88 (360,608)

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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 39 (540,550)

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Vector Multiplicative Error Models: Representation and Inference

NBER Working Paper No. w12690
Number of pages: 54 Posted: 20 Nov 2006 Last Revised: 05 Sep 2021
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 38 (545,728)

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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: 30 May 2021
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 27 (611,907)

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66.

A Multiple Indicators Model for Volatility Using Intra-Daily Data

Downloads 181 (209,004)
Citation 98

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 110 (310,929)
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 2021
Giampiero M. Gallo and Robert F. Engle
Corte dei Conti - Italian Court of Audits and New York University (NYU) - Department of Finance
Downloads 71 (409,764)
Citation 14

Abstract:

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67.

Empirical Pricing Kernels

Downloads 179 (211,045)
Citation 202

Empirical Pricing Kernels

NYU Working Paper No. FIN-98-030
Number of pages: 44 Posted: 07 Nov 2008
Joshua V. Rosenberg and Robert F. Engle
Federal Reserve Bank of New York and New York University (NYU) - Department of Finance
Downloads 80 (382,442)

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Empirical Pricing Kernels

NYU Working Paper No. FIN-99-014
Number of pages: 44 Posted: 07 Nov 2008
Joshua V. Rosenberg and Robert F. Engle
Federal Reserve Bank of New York and New York University (NYU) - Department of Finance
Downloads 65 (429,917)

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Empirical Pricing Kernels

NYU Working Paper No. S-DRP-99-01
Number of pages: 38 Posted: 07 Nov 2008
Joshua V. Rosenberg and Robert F. Engle
Federal Reserve Bank of New York and New York University (NYU) - Department of Finance
Downloads 34 (568,061)
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
Federal Reserve Bank of New York and New York University (NYU) - Department of Finance

Abstract:

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Pricing kernels, Risk aversion, Derivatives, Hedging

68.

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 2021
Young-Hye Cho and Robert F. Engle
affiliation not provided to SSRN and New York University (NYU) - Department of Finance
Downloads 152 (242,326)
Citation 1

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69.

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 149 (246,299)

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Gobal Financial Stability, Regional Financial Stability and Systemic Risk

70.

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

NBER Working Paper No. w7331
Number of pages: 46 Posted: 06 May 2000 Last Revised: 13 Oct 2010
Young-Hye Cho and Robert F. Engle
affiliation not provided to SSRN and New York University (NYU) - Department of Finance
Downloads 139 (260,358)

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71.

Multi-regime Forecasting Model for the Impact of COVID-19 Pandemic on Volatility in Global Equity Markets

NYU Stern School of Business
Number of pages: 37 Posted: 09 Jul 2020
Nazli Sila Alan, Robert F. Engle and Ahmet K Karagozoglu
Fairfield University - Charles F. Dolan School of Business, New York University (NYU) - Department of Finance and Hofstra University, Zarb School of Business
Downloads 132 (270,931)
Citation 2

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Multi-regime forecasting, COVID-19, coronavirus pandemic, volatility, Stringency Index, earnings call transcripts, sentiment, curvature

72.

Testing for Common Features

NBER Working Paper No. t0091
Number of pages: 25 Posted: 27 Jun 2007 Last Revised: 07 Oct 2021
Sharon Kozicki and Robert F. Engle
Bank of Canada and New York University (NYU) - Department of Finance
Downloads 112 (305,345)
Citation 2

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73.

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 2021
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 104 (321,328)

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74.

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

NBER Working Paper No. w4520
Number of pages: 31 Posted: 09 Jul 2000
Jaesun Noh, Robert F. Engle and Alex Kane
Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance, New York University (NYU) - Department of Finance and University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS)
Downloads 103 (323,383)

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75.

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 Jun 2021
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 93 (345,288)

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76.

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 2021
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 91 (350,119)
Citation 10

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77.

GARCH Gamma

Downloads 86 (362,525)

GARCH Gamma

NBER Working Paper No. w5128
Number of pages: 26 Posted: 15 Jul 2000 Last Revised: 08 Jul 2021
Joshua V. Rosenberg and Robert F. Engle
Federal Reserve Bank of New York and New York University (NYU) - Department of Finance
Downloads 86 (365,800)

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GARCH Gamma

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

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78.

Climate Stress Testing

FRB of New York Staff Report No. 977
Number of pages: 58 Posted: 28 Sep 2021
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 83 (370,428)

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climate risk, financial stability, stress testing

79.

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: 06 Sep 2021
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 82 (373,188)

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80.

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 78 (384,158)
Citation 22

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DCC, GARCH, Great Financial Crisis, Systemic Risk Measurement

81.

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: 09 May 2021
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
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82.

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: 10 Sep 2021
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 73 (398,872)
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83.

The Risk Management Approach to Macro-Prudential Policy

ECB Working Paper No. 2021/2565
Number of pages: 76 Posted: 03 Jun 2021
Sulkhan Chavleishvili, Robert F. Engle, Stephan Fahr, Manfred Kremer, Simone Manganelli and Bernd Schwaab
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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84.

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 2021
Joshua V. Rosenberg and Robert F. Engle
Federal Reserve Bank of New York and New York University (NYU) - Department of Finance
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85.

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

NBER Working Paper No. w3682
Number of pages: 29 Posted: 27 Apr 2000 Last Revised: 26 Jul 2010
Victor K. Ng and Robert F. Engle
International Monetary Fund (IMF) - Research Department and New York University (NYU) - Department of Finance
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86.

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

87.

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 2021
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
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88.

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

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: 01 Jul 2021
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
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90.

Estimating Sectoral Cycles Using Cointegration and Common Features

NBER Working Paper No. w4529
Number of pages: 57 Posted: 22 Aug 2007 Last Revised: 19 May 2021
João Victor Issler and Robert F. Engle
Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças and New York University (NYU) - Department of Finance
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91.

Valuation of Variance Forecast with Simulated Option Markets

NBER Working Paper No. w3350
Number of pages: 40 Posted: 30 Aug 2010 Last Revised: 29 Aug 2021
Robert F. Engle, Che-Hsiung Hong and Alex Kane
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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92.

Interpreting Spectral Analyses in Terms of Time-Domain Models

NBER Working Paper No. w0037
Number of pages: 26 Posted: 09 Aug 2012 Last Revised: 09 Aug 2021
Robert F. Engle
New York University (NYU) - Department of Finance
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93.

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

Journal of Credit Risk, Vol. 14, No. 4, 2018
Number of pages: 24 Posted: 14 Dec 2018
Robert F. Engle and Cristiano Zazzara
New York University (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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systemic risk, stress testing, regulatory capital requirements, forecasting methods.

94.

Systemic Risk 10 Years Later

Annual Review of Financial Economics, Vol. 10, pp. 125-152, 2018
Posted: 08 Nov 2018
Robert F. Engle
New York University (NYU) - Department of Finance

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95.

Globalization: Contents and Discontents

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Globalization: Contents and Discontents

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

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

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96.

Time and the Price Impact of a Trade

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

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97.

Long Term Skewness and Systemic Risk

Posted: 05 Jan 2011
Robert F. Engle
New York University (NYU) - Department of Finance

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98.

The Risk that Risk Will Change

Journal Of Investment Management (JOIM), Fourth Quarter 2009
Posted: 19 Jan 2010 Last Revised: 02 Jun 2010
Robert F. Engle
New York University (NYU) - Department of Finance

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

99.

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

Review of Financial Studies, Volume 7, Number 4, 1994.
Posted: 26 Oct 1999
Wenling Lin and Robert F. Engle
Office of Comptroller of Currency and New York University (NYU) - Department of Finance

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100.

Macroeconomic Announcements and Volatility of Treasury Futures

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

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101.

A Permanent and Transitory Component Model of Stock Return Volatility

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

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102.

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

Posted: 22 Aug 1998
Jeffrey R. Russell and Robert F. Engle
University of Chicago - Booth School of Business - Econometrics and Statistics and New York University (NYU) - Department of Finance

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103.

Trades and Quotes: A Bivariate Point Process

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Trades and Quotes: A Bivariate Point Process

Journal of Financial Econometrics, Vol. 1, No. 2, pp. 159-188, 2003
Posted: 29 Feb 2008
Asger Lunde, Asger Lunde and Robert F. Engle
CREATESAarhus University - School of Business and Social Sciences and New York University (NYU) - Department of Finance

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duration analysis, market microstructure, transaction data

Trades and Quotes: A Bivariate Point Process

UCSD Economics Discussion Paper 98-07
Posted: 20 Aug 1998
Asger Lunde, Asger Lunde and Robert F. Engle
CREATESAarhus University - School of Business and Social Sciences and New York University (NYU) - Department of Finance

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104.

Stochastic Permanent Breaks

University of California at San Diego, Department of Economics, Discussion Paper No. 98-03
Posted: 14 Aug 1998
Aaron Smith and Robert F. Engle
University of California, Davis - Department of Agricultural and Resource Economics and New York University (NYU) - Department of Finance

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105.

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

Posted: 21 Apr 1998
Jeffrey R. Russell and Robert F. Engle
University of Chicago - Booth School of Business - Econometrics and Statistics and New York University (NYU) - Department of Finance

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106.

Correlations and Volatilities of Asynchronous Data

UCSD Economics Discussion Paper 97-30
Posted: 04 Mar 1998
Patrick Burns, Robert F. Engle and Joseph Mezrich
Burns Statistics, New York University (NYU) - Department of Finance and Salomon Smith Barney, Inc., U.S.

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