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Persistent link: https://www.econbiz.de/10001868857

Impacts of trades in an error-correction model of quote prices

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What good is a volatility model?

Engle, Robert F.; Patton, Andrew J. - In: Forecasting volatility in the financial markets, (pp. 47-63). 2007

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The Nobel memorial prize for Robert Engle

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Volatility and time series econometrics : essays in honor of Robert Engle

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Volatility and Time Series Econometrics: Essays in Honor of Robert F. .Engle Edited by Tim Bollerslev, Jeffrey R. Russell, and Mark W. Watson OXFORD UNIVERSITY PRESS ...

Persistent link: https://www.econbiz.de/10003861657

Modelling time-varying exchange rate dependence using the conditional copula

Patton, Andrew J. - 2001

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Properties of optimal forecasts

Patton, Andrew J.; Timmermann, Allan - 2003

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On the out-of-sample importance of skewness and asymetric dependence for asset allocation

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Common factors in conditional distributions for bivariate time series

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Common factors in conditional distributions

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