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Long run volatility forecasting for individual stocks in a one factor model
Engle, Robert F.; Lee, Gary G. J. - 1993
Persistent link: https://www.econbiz.de/10000877958
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A permanent and transitory component model of stock return volatility
Engle, Robert F.; Lee, Gary G. J. - 1993 - [Rev.]
Persistent link: https://www.econbiz.de/10000877975
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A permanent and transitory component model of stock return volatality
Engle, Robert F.; Lee, Gary G. J. - 1992
Persistent link: https://www.econbiz.de/10000853573
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The econometrics of ultra-high frequency data
Engle, Robert F. - 1996
Persistent link: https://www.econbiz.de/10000613076
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Time and the price impact of a trade
Dufour, Alfonso; Engle, Robert F. - 1999
Persistent link: https://www.econbiz.de/10001395161
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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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Measuring and testing the impact of news on volatility
Engle, Robert F. - In: The journal of finance : the journal of the American … 48 (1993) 5, pp. 1749-1778
Persistent link: https://www.econbiz.de/10001155967
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Hourly volatility spillovers between international equity markets
Susmel, Raul - In: Journal of international money and finance 13 (1994) 1, pp. 3-25
Persistent link: https://www.econbiz.de/10001156395
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Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
Engle, Robert F.; Russell, Jeffrey R. - 1995
Persistent link: https://www.econbiz.de/10000929607
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The econometrics of ultra-high-frequency data
Engle, Robert F. - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10001449346