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Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting

Engle, R. F.; Granger, C. W. J.; Hallman, J. J. - In: Journal of Econometrics 40 (1989) 1, pp. 45-62

Persistent link: https://www.econbiz.de/10005052812

The Japanese consumption function

Engle, R. F.; Granger, C. W. J.; Hylleberg, S.; Lee, H. S. - In: Journal of Econometrics 55 (1993) 1-2, pp. 275-298

Persistent link: https://www.econbiz.de/10005285503

Seasonal integration and cointegration

Hylleberg, S.; Engle, R. F.; Granger, C. W. J.; Yoo, B. S. - In: Journal of Econometrics 44 (1990) 1-2, pp. 215-238

Persistent link: https://www.econbiz.de/10005203969

Priced risk and asymmetric volatility in the cross section of skewness

Engle, Robert; Mistry, Abhishek - In: Journal of Econometrics 182 (2014) 1, pp. 135-144

We investigate the sources of skewness in aggregate risk factors and the cross section of stock returns. In an ICAPM setting with conditional volatility, we find theoretical time series predictions on the relationships among volatility, returns, and skewness for priced risk factors. Market...

Persistent link: https://www.econbiz.de/10010785279

Financial econometrics - A new discipline with new methods

Engle, Robert - In: Journal of Econometrics 100 (2001) 1, pp. 53-56

Persistent link: https://www.econbiz.de/10005228812

Residential load curves and time-of-day pricing : An econometric analysis

Granger, Clive W. J.; Engle, Robert; Ramanathan, Ramu; … - In: Journal of Econometrics 9 (1979) 1-2, pp. 13-32

Persistent link: https://www.econbiz.de/10005192682

A multi-dynamic-factor model for stock returns

Ng, Victor; Engle, Robert F.; Rothschild, Michael - In: Journal of Econometrics 52 (1992) 1-2, pp. 245-266

Persistent link: https://www.econbiz.de/10005052914

Codependent cycles

Vahid, Farshid; Engle, Robert F. - In: Journal of Econometrics 80 (1997) 2, pp. 199-221

Persistent link: https://www.econbiz.de/10005052915

A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones

Engle, Robert F.; Marcucci, Juri - In: Journal of Econometrics 132 (2006) 1, pp. 7-42

Persistent link: https://www.econbiz.de/10005122508

Testing superexogeneity and invariance in regression models

Engle, Robert F.; Hendry, David F. - In: Journal of Econometrics 56 (1993) 1-2, pp. 119-139

Persistent link: https://www.econbiz.de/10005122753