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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

Arbitrage valuation of variance forecasts with simulated options

Engle, Robert F. (contributor) - 1992 - Rev

Persistent link: https://www.econbiz.de/10000841635

Valuation of variance forecasts with simulated option markets

Engle, Robert F.; Hong, Che-hsiung T.; Kane, Alex - 1990

Persistent link: https://www.econbiz.de/10000790825

Modelling the persistence of conditional variances

Engle, Robert F. - In: Econometric reviews 5 (1986) 1, pp. 1-50

Persistent link: https://www.econbiz.de/10001016525

Arbitrage valuation of variance forecasts with simulated options

Engle, Robert F. (contributor) - In: Advances in futures and options research : a research annual 6 (1993), pp. 393-415

Persistent link: https://www.econbiz.de/10001145819

Value at risk models in finance

Manganelli, Simone; Engle, Robert F. - 2001

Persistent link: https://www.econbiz.de/10001626397

CAViaR : conditional value at risk by quantile regression

Engle, Robert F.; Manganelli, Simone - 1999

Persistent link: https://www.econbiz.de/10001415135

A comparison of value-at-risk models in finance

Manganelli, Simone; Engle, Robert F. - In: Risk measures for the 21st century, (pp. 123-144). 2004

Persistent link: https://www.econbiz.de/10002081530

CAViaR: conditional autoregressive value at risk by regression quantiles

Engle, Robert F.; Manganelli, Simone - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 367-381

Persistent link: https://www.econbiz.de/10002372839

Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022

Multivariate GARCH models do not perform well in large dimensions due to the so-called curse of dimensionality. The recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this paper, we show how...

Persistent link: https://www.econbiz.de/10013040932