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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
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Codependent cycles
Vahid, Farshid; Engle, Robert F. - In: Journal of Econometrics 80 (1997) 2, pp. 199-221
Persistent link: https://www.econbiz.de/10005052915
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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
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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
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A dymimic model of housing price determination
Engle, Robert F.; Lilien, David M.; Watson, Mark - In: Journal of Econometrics 28 (1985) 3, pp. 307-326
Persistent link: https://www.econbiz.de/10005228614
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Implied ARCH models from options prices
Engle, Robert F.; Mustafa, Chowdhury - In: Journal of Econometrics 52 (1992) 1-2, pp. 289-311
Persistent link: https://www.econbiz.de/10005285813
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Forecasting and testing in co-integrated systems
Engle, Robert F.; Yoo, Byung Sam - In: Journal of Econometrics 35 (1987) 1, pp. 143-159
Persistent link: https://www.econbiz.de/10005285832
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A general approach to lagrange multiplier model diagnostics
Engle, Robert F. - In: Journal of Econometrics 20 (1982) 1, pp. 83-104
Persistent link: https://www.econbiz.de/10005285852
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Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills
Engle, Robert F.; Ng, Victor K.; Rothschild, Michael - In: Journal of Econometrics 45 (1990) 1-2, pp. 213-237
Persistent link: https://www.econbiz.de/10005192384
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Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
Watson, Mark W.; Engle, Robert F. - In: Journal of Econometrics 23 (1983) 3, pp. 385-400
Persistent link: https://www.econbiz.de/10005192627