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Measuring and testing the impact of news on volatility
Engle, Robert F.; Ng, Victor K. - 1991
Persistent link: https://www.econbiz.de/10000814056
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Time-varying betas and asymmetric effects of news : empirical analysis of blue chip stocks
Cho, Young-hye; Engle, Robert F. - 1999
Persistent link: https://www.econbiz.de/10001417230
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Macroeconomic announcements and volatility of treasury futures
Li, Li; Engle, Robert F. - 1998
Persistent link: https://www.econbiz.de/10000997634
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And now, the rest of the news : volatility and firm specific news arrival
Engle, Robert F.; Hansen, Martin Klint; Lunde, Asger - 2012
Persistent link: https://www.econbiz.de/10009785771
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CAViaR : conditional value at risk by quantile regression
Engle, Robert F.; Manganelli, Simone - 1999
Persistent link: https://www.econbiz.de/10001415135
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CAViaR : conditional autoregressive value at risk by regression quantiles
Engle, Robert F.; Manganelli, Simone - 1999
Persistent link: https://www.econbiz.de/10001441337