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A long-run pure variance common features model for the common volatilities of the Dow Jones

Engle, Robert F.; Marcucci, Juri - In: Journal of econometrics 132 (2006) 1, pp. 7-42

Persistent link: https://www.econbiz.de/10003320235

Essays on financial econometrics

Marcucci, Juri - 2005

Persistent link: https://www.econbiz.de/10003384566

Correlations and volatilities of asynchronous data

Burns, Patrick; Engle, Robert F.; Mezrich, Joseph - 1998

Persistent link: https://www.econbiz.de/10000988769

Dynamic conditional correlation : a simple class of multivariate GARCH models

Engle, Robert F. - 2000

Persistent link: https://www.econbiz.de/10001500658

Large scale conditional covariance matrix modeling, estimation and testing

Ding, Zhuanxin; Engle, Robert F. - In: Jingji-lunwen 29 (2001) 2, pp. 157-184

Persistent link: https://www.econbiz.de/10001652987

Correlations and volatilities of asynchronous data

Burns, Patrick; Engle, Robert F.; Mezrich, Joseph - 1997

Persistent link: https://www.econbiz.de/10000979045

Dynamic conditional correlation : a simple class of multivariate generalized autoregressive conditional heteroskedasticity models

Engle, Robert F. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 339-350

Persistent link: https://www.econbiz.de/10001695066

Asymmetric dynamics in the correlations of global equity and bond returns

Cappiello, Lorenzo; Engle, Robert F.; Sheppard, Kevin - In: Journal of financial econometrics : official journal of … 4 (2006) 4, pp. 537-572

Persistent link: https://www.econbiz.de/10003565737

Anticipating correlations : a new paradigm for risk management

Engle, Robert F. - 2009

Persistent link: https://www.econbiz.de/10003733103

Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2020

Modeling and forecasting dynamic (or time-varying) covariance matrices has many important applications in finance, such as Markowitz portfolio selection. A popular tool to this end are multivariate GARCH models. Historically, such models did not perform well in large dimensions due to the...

Persistent link: https://www.econbiz.de/10012253083