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The Nobel memorial prize for Robert Engle

Diebold, Francis X. (contributor); Engle, Robert F. (honouree) - 2004

Persistent link: https://www.econbiz.de/10003229527

Volatility and time series econometrics : essays in honor of Robert Engle

Bollerslev, Tim (ed.); Engle, Robert F. (honouree); … - 2010 - 1. publ.

Volatility and Time Series Econometrics: Essays in Honor of Robert F. .Engle Edited by Tim Bollerslev, Jeffrey R. Russell, and Mark W. Watson OXFORD UNIVERSITY PRESS ...

Persistent link: https://www.econbiz.de/10003861657

Zeitabhängige Volatilität und instationäre Zeitreihen : zum Nobelpreis an Robert F. Engle und Clive W. J. Granger

Hassler, Uwe - In: Wirtschaftsdienst : Zeitschrift für Wirtschaftspolitik 83 (2003) 12, pp. 811-816

Persistent link: https://www.econbiz.de/10001858207

Testing the empirical performance of stochastic volatility models of the short-term interest rate

Bali, Turan G. - In: Journal of financial and quantitative analysis : JFQA 35 (2000) 2, pp. 191-215

Persistent link: https://www.econbiz.de/10001510057

Modeling the conditional mean and variance of the short rate using diffusion, GARCH, and moving average models

Bali, Turan G. - In: The journal of futures markets 20 (2000) 8, pp. 717-751

Persistent link: https://www.econbiz.de/10001523755

Modeling the stochastic behavior of short-term interest rates : pricing implications for discount bonds

Bali, Turan G. - In: Journal of banking & finance 27 (2003) 2, pp. 201-228

Persistent link: https://www.econbiz.de/10001721795

An extreme value approach to estimating interest-rate volatility: pricing implications for interest-rate options

Bali, Turan G. - In: Management science : journal of the Institute for … 53 (2007) 2, pp. 323-339

Persistent link: https://www.econbiz.de/10003435740

Dynamic conditional beta

Engle, Robert F. - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 643-667

Persistent link: https://www.econbiz.de/10011623818

Disturbing extremal behavior of spot rate dynamics

Bali, Turan G.; Neftci, Salih N. - In: Journal of empirical finance 10 (2003) 4, pp. 455-477

Persistent link: https://www.econbiz.de/10001782291

A conditional extreme value volatility estimator based on high-frequency returns

Bali, Turan G.; Weinbaum, David - In: Journal of economic dynamics & control 31 (2007) 2, pp. 361-397

Persistent link: https://www.econbiz.de/10003412285

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