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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

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

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

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

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

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

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