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Engle, Robert F.
54
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17
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5
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4
Sheppard, Kevin
4
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3
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Working paper / National Bureau of Economic Research, Inc
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6
The review of financial studies
6
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THEORETICAL AND EMPIRICAL PROPERTIES OF DYNAMIC CONDITIONAL CORRELATION MULTIVARIATE GARCH WORKING PAPER
Engle, Robert F.
;
Sheppard, Kevin
-
2001
Persistent link: https://www.econbiz.de/10006976818
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2
Multivariate high‐frequency‐based volatility (HEAVY) models
Noureldin, Diaa
;
Shephard, Neil
;
Sheppard, Kevin
- In:
Journal of applied econometrics
27
(
2012
)
6
,
pp. 907-934
Persistent link: https://www.econbiz.de/10010022053
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3
Optimal combinations of realised volatility estimators
Patton, Andrew J.
;
Sheppard, Kevin
- In:
International journal of forecasting
25
(
2009
)
2
,
pp. 218-239
Persistent link: https://www.econbiz.de/10008892144
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4
Optimal combinations of realised volatility estimators
Patton, Andrew J.
;
Sheppard, Kevin
- In:
International journal of forecasting
25
(
2009
)
2
,
pp. 218-238
Persistent link: https://www.econbiz.de/10008231952
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5
Uncovered Interest Parity at Long Horizons: Evidence on Emerging Economies
Mehl, Arnaud
;
Cappiello, Lorenzo
- In:
Review of international economics
17
(
2009
)
5
,
pp. 1019-1037
Persistent link: https://www.econbiz.de/10008325593
Saved in:
6
The Impact of the Euro on Equity Markets
Cappiello, Lorenzo
;
Kadareja, Arjan
;
Manganelli, Simone
- In:
Journal of financial and quantitative analysis : JFQA
45
(
2010
)
2
,
pp. 473-503
Persistent link: https://www.econbiz.de/10008433958
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7
Estimates of foreign exchange risk premia: a pricing kernel approach
Cappiello, Lorenzo
;
Panigirtzoglou, Nikolaos
- In:
Empirical economics : a journal of the Institute for …
35
(
2008
)
3
,
pp. 475-496
Persistent link: https://www.econbiz.de/10008140166
Saved in:
8
The risk that risk will change
Engle, Robert F.
- In:
Journal of investment management : JOIM
7
(
2009
)
4
,
pp. 24-28
Persistent link: https://www.econbiz.de/10009910818
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9
Risk and Volatility: Econometric Models and Financial Practice
Engle, Robert
- In:
The American economic review
94
(
2004
)
3
,
pp. 405-420
Persistent link: https://www.econbiz.de/10006816233
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10
The 2001 JBES Invited Paper - Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models
Engle, Robert
- In:
Journal of business & economic statistics : JBES ; a …
20
(
2002
)
3
,
pp. 339-350
Persistent link: https://www.econbiz.de/10008216268
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