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Long run volatility forecasting for individual stocks in a one factor model
Engle, Robert F.; Lee, Gary G. J. - 1993
Persistent link: https://www.econbiz.de/10000877958
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A permanent and transitory component model of stock return volatility
Engle, Robert F.; Lee, Gary G. J. - 1993 - [Rev.]
Persistent link: https://www.econbiz.de/10000877975
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Hourly volatility spillovers between international equity markets
Susmel, Raul; Engle, Robert F. - 1992
Persistent link: https://www.econbiz.de/10000841632
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A permanent and transitory component model of stock return volatality
Engle, Robert F.; Lee, Gary G. J. - 1992
Persistent link: https://www.econbiz.de/10000853573
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Empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - 1998
Persistent link: https://www.econbiz.de/10000982923
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Time-varying volatility and the dynamic behavior of the term structure
Engle, Robert F.; Ng, Victor K. - 1991
Persistent link: https://www.econbiz.de/10000812958
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Measuring and testing the impact of news on volatility
Engle, Robert F.; Ng, Victor K. - 1991
Persistent link: https://www.econbiz.de/10000814056
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Measuring and testing the impact of news on volatility
Engle, Robert F. - In: The journal of finance : the journal of the American … 48 (1993) 5, pp. 1749-1778
Persistent link: https://www.econbiz.de/10001155967
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Correlations and volatilities of asynchronous data
Burns, Patrick - In: The journal of derivatives : the official publication … 5 (1998) 4, pp. 7-18
Persistent link: https://www.econbiz.de/10001246679
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Exploring asset pricing anomalies
Zhang, Lu - In: NBER reporter online (2014) 1, pp. 17-19
Persistent link: https://www.econbiz.de/10011368742