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Meteor showers or heat waves? : heteroskedastic intra-daily volatility in the foreign exchange market
Engle, Robert F.; Itō, Takatoshi; Lin, Wen-ling - 1988
Persistent link: https://www.econbiz.de/10000133228
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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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Meteor showers or heat waves? : heteroskedastic intra-daily volatility in the foreign exchange market
Engle, Robert F.; Itō, Takatoshi; Lin, Wen-ling Tsai - 1988
Persistent link: https://www.econbiz.de/10000757954
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Measuring risk aversion from exess returns on a stock index
Chou, Ray Yeutien; Engle, Robert F.; Kane, Alex - 1991
Persistent link: https://www.econbiz.de/10000811503
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The econometrics of ultra-high frequency data
Engle, Robert F. - 1996
Persistent link: https://www.econbiz.de/10000613076
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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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Common volatility in international equity markets
Engle, Robert F. - In: Journal of business & economic statistics : JBES ; a … 11 (1993) 2, pp. 167-176
Persistent link: https://www.econbiz.de/10001142130
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ARCH models in finance
Engle, Robert F. (contributor) - In: Journal of econometrics 52 (1992) 1, pp. 1-311
Persistent link: https://www.econbiz.de/10001121076
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Hourly volatility spillovers between international equity markets
Susmel, Raul - In: Journal of international money and finance 13 (1994) 1, pp. 3-25
Persistent link: https://www.econbiz.de/10001156395
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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