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The Factor-Spline-GARCH Model for High and Low Frequency Correlations
Gonzalo Rangel, José; Engle, Robert F - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 1, pp. 109-125
Persistent link: https://www.econbiz.de/10009840083
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INVITED EDITORIAL COMMENTS
Engle, Robert F - In: The journal of portfolio management : a publication of … 36 (2010) 3, pp. 1-4
Persistent link: https://www.econbiz.de/10008413217
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ARTICLES - Time and the Price Impact of a Trade
Dufour, Alfonso; Engle, Robert F. - In: The journal of finance : the journal of the American … 55 (2000) 6, pp. 2467-2498
Persistent link: https://www.econbiz.de/10006566929
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Permanent trading impacts and bond yields
Dufour, Alfonso; Nguyen, Minh - In: The European journal of finance 18 (2012) 9, pp. 841-865
Persistent link: https://www.econbiz.de/10010040802