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A component model for dynamic correlations
Colacito, Riccardo; Engle, Robert F.; Ghysels, Eric - In: Journal of econometrics 164 (2011) 1, pp. 45-59
Persistent link: https://www.econbiz.de/10009270412
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A component model for dynamic correlations
Colacito, Riccardo; Engle, Robert F.; Ghysels, Eric - In: Journal of econometrics 164 (2011) 1, pp. 45-60
Persistent link: https://www.econbiz.de/10009178483
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Financial econometrics: a new discipline with new methods
Engle, Robert F. - In: Journal of econometrics 100 (2001) 1, pp. 53-56
Persistent link: https://www.econbiz.de/10001546140
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Asset pricing with a factor-ARCH covariance structure : empirical estimates for treasury bills
Engle, Robert F. - In: Journal of econometrics 45 (1990) 1, pp. 213-237
Persistent link: https://www.econbiz.de/10001332074
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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/10006776257
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ARCH models in finance
Engle, Robert F. (contributor) - In: Journal of econometrics 52 (1992) 1, pp. 1-311
Persistent link: https://www.econbiz.de/10001121076
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Priced risk and asymmetric volatility in the cross section of skewness
Engle, Robert F.; Mistry, Abhishek - In: Journal of econometrics 182 (2014) 1, pp. 135-144
Persistent link: https://www.econbiz.de/10010497106
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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/10003320235
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A multiple indicators model for volatility using intra-daily data
Engle, Robert F.; Gallo, Giampiero M. - In: Journal of econometrics 131 (2006) 1/2, pp. 3-27
Persistent link: https://www.econbiz.de/10003298558
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Scenario generation for long run interest rate risk assessment
Engle, Robert F.; Roussellet, Guillaume; Siriwardane, … - In: Journal of econometrics 201 (2017) 2, pp. 333-347
Persistent link: https://www.econbiz.de/10011920512