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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

Autoregressive conditional heteroscedasticity with estimates of the variance of inflationary expectations

Engle, Robert F. - 1979 - Rev.

Persistent link: https://www.econbiz.de/10002140403

Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation

Engle, Robert F. - In: Econometrica : journal of the Econometric Society, an … 50 (1982) 4, pp. 987-1007

Persistent link: https://www.econbiz.de/10002140415

Band spectrum regression

Engle, Robert F. - In: International economic review 15 (1974) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10002140419

De facto discrimination in residential assesments, Boston

Engle, Robert F. - In: National tax journal 28 (1975) 4, pp. 445-451

Persistent link: https://www.econbiz.de/10002140450

Estimates of the variances of U.S. inflation based upon the ARCH model

Engle, Robert F. - In: Journal of money, credit and banking : JMCB 15 (1983) 3, pp. 286-301

Persistent link: https://www.econbiz.de/10002140476

Estimation of the price elasticity of demand facing metropolitan procedures

Engle, Robert F. - In: Journal of urban economics 6 (1979) 1, pp. 42-64

Persistent link: https://www.econbiz.de/10002140484

Exact maximum likelihood methods for dynamic regressions and band spectrum regressions

Engle, Robert F. - In: International economic review 21 (1980) 2, pp. 391-407

Persistent link: https://www.econbiz.de/10002140492

An exploratory policy-oriented econometric model of a metropolitan area : Boston

Engle, Robert F. - In: Quantitative economics and development : essays in …, (pp. 123-156). 1980

Persistent link: https://www.econbiz.de/10002140529

A general approach to Lagrange multiplier model diagnostics

Engle, Robert F. - In: Annals of applied econometrics (1982) 3, pp. 83-104

Persistent link: https://www.econbiz.de/10002140792

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