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A long memory property of stock market returns and a new model
Ding, Zhuanxin - In: Journal of empirical finance 1 (1993) 1, pp. 83-106
Persistent link: https://www.econbiz.de/10001146683
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Predicting VNET: a model of the dynamics of market depth
Engle, Robert F.; Lange, Joe - In: Journal of financial markets 4 (2001) 2, pp. 113-142
Persistent link: https://www.econbiz.de/10001568280
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Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH
Engle, Robert F.; Sheppard, Kevin - 2001
Persistent link: https://www.econbiz.de/10001618448
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Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH
Engle, Robert F.; Sheppard, Kevin - 2001
Persistent link: https://www.econbiz.de/10001620854
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Testing the volatility term structure using option hedging criteria
Engle, Robert F.; Rosenberg, Joshua V. - In: The journal of derivatives : the official publication … 8 (2000) 1, pp. 10-28
Persistent link: https://www.econbiz.de/10001522314
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The ET interview: Professor Robert F. Engle
Engle, Robert F.; Diebold, Francis X. - In: Econometric theory 19 (2003) 6, pp. 1159-1193
Persistent link: https://www.econbiz.de/10001819043
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Value at risk models in finance
Manganelli, Simone; Engle, Robert F. - 2001
Persistent link: https://www.econbiz.de/10001626397
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Time-varying betas and asymmetric effects of news : empirical analysis of blue chip stocks
Cho, Young-hye; Engle, Robert F. - 1999
Persistent link: https://www.econbiz.de/10001417230
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Estimating sectoral cycles using cointegration and common features
Engle, Robert F.; Issler, João Victor - 1993
Persistent link: https://www.econbiz.de/10000885426
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Index-option pricing with stochastic volatility and the value of accurate variance forecasts
Engle, Robert F.; Kane, Alex; Noh, Jaesun - 1993
Persistent link: https://www.econbiz.de/10000886028