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Factoring information into returns
Easley, David; Hvidkjær, Søren; O'Hara, Maureen - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 2, pp. 293-309
Persistent link: https://www.econbiz.de/10003990683
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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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Empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - 1999
Persistent link: https://www.econbiz.de/10001448004
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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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A long memory property of stock market returns and a new model
Ding, Zhuanxin; Granger, C. W. J.; Engle, Robert F. - 1992
Persistent link: https://www.econbiz.de/10000841643
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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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Correlations and volatilities of asynchronous data
Burns, Patrick; Engle, Robert F.; Mezrich, Joseph - 1997
Persistent link: https://www.econbiz.de/10000979045
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Empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - 1998
Persistent link: https://www.econbiz.de/10000982923
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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