Robert F. Engle

Available identifiers

zbMath Open engle.robert-fDBLP215/5775WikidataQ295653 ScholiaQ295653MaRDI QIDQ291619

List of research outcomes

Publication	Date of Publication	Type
The Factor–Spline–GARCH Model for High and Low Frequency Correlations	2025-01-20	Paper
Large Dynamic Covariance Matrices	2024-11-08	Paper
Fitting Vast Dimensional Time-Varying Covariance Models	2024-10-11	Paper
Measuring the probability of a financial crisis	2020-03-04	Paper
What good is a volatility model?	2019-01-14	Paper
https://portal.mardi4nfdi.de/entity/Q4593681	2017-11-22	Paper
Scenario generation for long run interest rate risk assessment	2017-11-07	Paper
A component model for dynamic correlations	2016-08-12	Paper
A long-run pure variance common features model for the common volatilities of the Dow Jones	2016-06-10	Paper
A multiple indicators model for volatility using intra-daily data	2016-06-10	Paper
Priced risk and asymmetric volatility in the cross section of skewness	2014-06-04	Paper
Index-option pricing with stochastic volatility and the value of accurate variance forecasts	2013-10-29	Paper
A component model for dynamic correlations	2011-09-01	Paper
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data	2002-05-28	Paper
Financial econometrics -- a new discipline with new methods. (With comments)	2001-01-01	Paper
The Econometrics of Ultra-high-frequency Data	2000-01-01	Paper
Codependent cycles	1998-01-07	Paper
Common Persistence in Conditional Variances	1993-08-22	Paper
Seasonal cointegration. The Japanese consumption function (with discussion)	1993-02-04	Paper
Seasonal integration and cointegration	1990-04-01	Paper
Seasonal integration and cointegration	1990-01-01	Paper
Forecasting and testing in co-integrated systems	1987-01-01	Paper
Co-Integration and Error Correction: Representation, Estimation, and Testing	1987-01-01	Paper
Model selection for forecasting	1986-01-01	Paper
Modelling the persistence of conditional variances	1986-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3703164	1984-01-01	Paper
Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models	1983-01-01	Paper
Exogeneity	1983-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3321308	1983-01-01	Paper
A general approach to Lagrange multiplier model diagnostics	1982-01-01	Paper
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation	1982-01-01	Paper
Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions	1980-01-01	Paper
Testing Price Equations for Stability Across Spectral Frequency Bands	1978-01-01	Paper
Some Finite Sample Properties of Spectral Estimators of a Linear Regression	1976-01-01	Paper
Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment	1976-01-01	Paper
Band Spectrum Regression	1974-01-01	Paper
Specification of the Disturbance for Efficient Estimation	1974-01-01	Paper

Research outcomes over time

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