Narrow search
Showing 1 - 10 of 21
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Liquidity and volatility in the US treasury market
Nguyen, Giang H.; Engle, Robert F.; Fleming, Michael J.; … - In: Journal of econometrics 217 (2020) 2, pp. 207-229
Persistent link: https://www.econbiz.de/10012482750
Cover Image
Multivariate rotated ARCH models
Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - In: Journal of econometrics 179 (2014) 1, pp. 16-30
Persistent link: https://www.econbiz.de/10010258286