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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

Wald, Likelihood Ratio, and Lagrange Multiplier tests in econometrics

Engle, Robert F. - 1992

Persistent link: https://www.econbiz.de/10001327472

The econometrics of ultra-high frequency data

Engle, Robert F. - 1996

Persistent link: https://www.econbiz.de/10000613076

CAViaR : conditional autoregressive value-at-risk by regression quantiles

Engle, Robert F. - 2001

Persistent link: https://www.econbiz.de/10001633554

Reminiscing on the 1984 NSF-NBER time series meeting at UC Davis

Engle, Robert F. - In: Journal of financial econometrics : official journal of … 8 (2010) 2, pp. 158-159

Persistent link: https://www.econbiz.de/10008652248

Long-term skewness and systemic risk

Engle, Robert F. - In: Journal of financial econometrics : official journal of … 9 (2011) 3, pp. 437-468

Persistent link: https://www.econbiz.de/10009407870

Interpreting Spectral Analyses in Terms of Time-Domain Models

Engle, Robert F. - 1974

This paper derives relationships between frequency-domain and standard time-domain distributed-lag and autoregessive moving-average models. These relations are well known in the literature but are presented here in a pedogogic form in order to facilitate interpretation of spectral and...

Persistent link: https://www.econbiz.de/10012479089

Dynamic conditional correlation : a simple class of multivariate GARCH models

Engle, Robert F. - 2000

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

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