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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, pp. 3-28
Persistent link: https://www.econbiz.de/10006747800
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Codependent cycles
Vahid, Farshid; Engle, Robert F. - In: Journal of econometrics 80 (1997) 2, pp. 199-222
Persistent link: https://www.econbiz.de/10006791463
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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. 119-140
Persistent link: https://www.econbiz.de/10006805315
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Arch models in finance
Engle, Robert F. (contributor) - In: Journal of econometrics / Annals 1992,1 (1992)
Persistent link: https://www.econbiz.de/10004126145
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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 F. - In: Journal of econometrics 100 (2001) 1, pp. 53-56
Persistent link: https://www.econbiz.de/10001546140
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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/10007259645
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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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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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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/10002973320