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Non-synchronous common cycles
Vahid, Farshid; Engle, Robert F. - 1993
Persistent link: https://www.econbiz.de/10000878060
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Arch models
Bollerslev, Tim; Engle, Robert F.; Nelson, Daniel B. - 1993
Persistent link: https://www.econbiz.de/10000878183
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Estimating time varying risk premia in the term structure : the ARCH-M model
Engle, Robert F. - In: Econometrica : journal of the Econometric Society, an … 55 (1987) 2, pp. 391-407
Persistent link: https://www.econbiz.de/10001020996
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Co-integration and error correction : representation, estimation, and testing
Engle, Robert F. - In: Econometrica : journal of the Econometric Society, an … 55 (1987) 2, pp. 251-275
Persistent link: https://www.econbiz.de/10001021003
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Trades and quotes : a bivariate point process
Engle, Robert F.; Lunde, Asger - 1998
Persistent link: https://www.econbiz.de/10000983784
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Econometric analysis of discrete-valued irregulary-spaced financial transactions data using a new autoregressive conditional multinominal model
Russell, Jeffrey R.; Engle, Robert F. - 1998
Persistent link: https://www.econbiz.de/10000988764
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Correlations and volatilities of asynchronous data
Burns, Patrick; Engle, Robert F.; Mezrich, Joseph - 1998
Persistent link: https://www.econbiz.de/10000988769
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Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
Engle, Robert F.; Russell, Jeffrey R. - 1995
Persistent link: https://www.econbiz.de/10000929607
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Autoregressive conditional duration : a new model for irregularly spaced time series data
Engle, Robert F.; Russell, Jeffrey R. - 1995 - [Rev.]
Persistent link: https://www.econbiz.de/10000929636
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Estimating diffusion models of stochastic volatility
Engle, Robert F.; Lee, Gary G. J. - 1995
Persistent link: https://www.econbiz.de/10000930719