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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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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
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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/10001537329
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Empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - 1999
Persistent link: https://www.econbiz.de/10001448004
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Testing the volatility term structure using option hedging criteria
Engle, Robert F.; Rosenberg, Joshua V. - 1999
Persistent link: https://www.econbiz.de/10001448019
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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
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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
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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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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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GARCH gamma
Engle, Robert F.; Rosenberg, Joshua V. - 1995
Persistent link: https://www.econbiz.de/10000915837