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Empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - 1999
Persistent link: https://www.econbiz.de/10001448004
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Testing the volatility term structure using option hedging criteria
Engle, Robert F.; Rosenberg, Joshua V. - 1999
Persistent link: https://www.econbiz.de/10001448019
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The econometrics of ultra-high-frequency data
Engle, Robert F. - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10001449346
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Stochastic permanent breaks
Engle, Robert F.; Smith, Aaron D. - In: The review of economics and statistics 81 (1999) 4, pp. 553-574
Persistent link: https://www.econbiz.de/10001437341
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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
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Time and the price impact of a trade
Dufour, Alfonso; Engle, Robert F. - 1999
Persistent link: https://www.econbiz.de/10001395161
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Do bulls and bears move across borders? : international transmission of stock returns and volatility as the world turns
Lin, Wen-ling Tsai; Engle, Robert F.; Itō, Takatoshi - 1991
Persistent link: https://www.econbiz.de/10000827421
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Common trends and common cycles
Vahid, Farshid; Engle, Robert F. - 1992
Persistent link: https://www.econbiz.de/10000841625
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Hourly volatility spillovers between international equity markets
Susmel, Raul; Engle, Robert F. - 1992
Persistent link: https://www.econbiz.de/10000841632
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Common volatility in international equity markets
Engle, Robert F.; Susmel, Raul - 1992
Persistent link: https://www.econbiz.de/10000841634