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Person
ISNI: 
0000 0003 8528 1683
Name: 
Engle, R. F.
Engle, Rob
Engle, Robert
Engle, Robert F.
Engle, Robert F. (III)
Engle, Robert Fry (III)
Robert Engle (Amerikaans econoom)
Robert Engle (amerykański ekonomista, ekonometryk, noblista)
Robert Engle (economista e statistico statunitense)
Robert F. Engle (American statistician)
Robert F. Engle (amerikansk ekonom)
Robert F. Engle (amerikansk økonom)
Robert F. Engle (économiste américain)
Robert F. Engle (US-amerikanischer Wirtschaftswissenschaftler)
Robert İnql
Ρόμπερτ Ενγκλ
Роберт Енгл (американски економист)
Роберт Інгл
Роберт Фрай Енґл
Роберт Энгл
Робърт Енгъл
Робэрт Інгл
რობერტ ენგლი
Ռոբերտ Ինգլ
רוברט אנגל
رابرت انگل (اقتصاددان آمریکایی)
رابرٹ ایف۔اینگل
رابرٹ عنگل
روبرت آنجل
रॉबर्ट एफ एंगल
রবার্ট এঙ্গেল
ロバート・エングル
罗伯特·F·恩格尔
Dates: 
1942-
Creation class: 
article
Computer file
Language material
Text
Creation role: 
author
editor
redactor
Related names: 
Acharya, Viral
Bali, Turan G.
Barone-Adesi, Giovanni
Berd, Arthur M.
Bollerslev, Tim
Bradbury, K.
Bradbury, Katharine
Brown, Scott J.
Cappiello, Lorenzo
Carson, Richard
Chanda, Ananda
Cho, Young-Hye
Chou, Ray
Cipollini, Fabrizio
Colacito, Riccardo
Coulson, N. Edward
Diebold, F.X.
Ding, Zhuanxin
Dufour, Alfonso
Easley, David
ebrary, Inc
ENGEL, R.F.
Engle III, Robert F.
ENGLE, R.
Engle, R. E.
Engle, R. F.
ENGLE, R.F.
Engle, Robert
Engle, Robert F
Engle, Robert F III et al
Engle, Robert F.
et, R. Engle al
Favero, C.
Ferstenberg, Robert
Fleming, Michael
Foley, D.
Foley, Duncan K
Gallo, Giampiero
Gallo, Giampiero M.
Gardner, R.
Gardner, Roy
Ghysels, Eric
Gonzalez-Rivera, Gloria
Granger, C. W. J.
Granger, C. W. J. (1934-2009)
GRANGER, C.W.J.
Granger, Clive W J
Granger, Clive W. J.
Granger, Clive William John (1934-2009)
Hallman, J. J.
Hansen, Martin Klint
HENDRY, D.
Hendry, David F
Hendry, David F.
Hong, Che-Hsiung
HYLLEBERG, S.
Hylleberg, Svend
HYLLERBERG, S.
Irvine, Owen
Issler, João Victor
ITO, T.
Ito, Takatoshi
Kane, Alex
Kelly, Bryan
Kozicki, Sharon
Kraft, Dennis
Kroner, Kenneth F.
Lange, Joe
Leonard N. Stern School of Business New York, NY Affiliation (see also from)
Lilien, David M
Lilien, David M.
LIN, W-L.
Lin, W.L.
Lin, Wen-Ling
Liu, Ta-Chung
Lunde, Asger
Mancini, Loriano
Manganelli, Simone
Marcucci, Juri
McFadden, Daniel (1937-....))
McFadden, Daniel L. (1937- ))
Mustafa, Chowdhury
National Bureau of Economic Research (NBER)
National Bureau of Economic Research Affiliation (see also from)
Navarro, Peter
Nelson, Daniel B.
New York University (NYU) / Stern School of Business / Finance Department
New York University (NYU) / Stern School of Business / Volatility Institute
Ng, Victor
Ng, Victor K
Ng, Victor K.
Noh, Jaesun
O'Hara, Maureen
Patton, A. J.
Patton, Andrew J
Patton, Andrew J.
Ramanathan, Ramu
Rangel, José Gonzalo
Rangel, José Gonzalo
Richard, Jean-Francois
Richardson, Matthew
Robins, Russell P
Rosenberg, Joshua
Rosenberg, Joshua V.
Rothschild, Michael
Russell, Jeffrey
Russell, Jeffrey R.
Shephard, Neil
Sheppard, Kevin
Sheppard, Kevin K
Shepphard, Kevin
Smith, Aaron
Smith, Aaron D.
Sokalska, Magdalena E.
Susmel, Raul
Tang, Yi
Trumble, David
University of California, San Diego Department of Economics Affiliation (see also from)
Vahid, F
Vahid, Farshid
Velucchi, Margherita
Voronov, Artem
Watson, Mark
Watson, Mark W
Watson, Mark W.
White, Halbert
Wooldridge, Jeffrey M
YOO, B.S.
Yoo, Byung Sam
Titles: 
ACD Model: Predictability of the Time Between Concecutive Trades, The
Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
And Now, The Rest of the News: Volatility and Firm Specific News Arrival
Anticipating correlations : a new paradigm for risk management
Arch models in finance
ARCH : selected readings
Asset Price Model of Aggregate Investment., An
Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills
Asymmetric dynamics in the correlations of global equity and bond returns.
Autobiography
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation.
Band Spectrum Regression.
Band Spectrum Regressions
Bayesian Analysis of Stochastic Volatility Models: Comment.
Capital Asset Pricing Model with Time-Varying Covariances., A
Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles
CAViaR: conditional value at risk by quantile regression
Co-integration and Error Correction: Representation, Estimation, and Testing.
Codependent cycles
COINTEGRATED ECONOMIC TIME SERIES: A SURVEY WITH NEW RESULTS.
Cointegration, causality, and forecasting a festschrift in honour of Clive W.J. Granger
Combining competing forecasts of inflation using a bivariate arch model
Common Persistence in Conditional Variances.
Common seasonal features : global unemployment
Common trends and common cycles in Latin America
Common Volatility in International Equity Markets.
component model for dynamic correlations, A
Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment.
Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model, A
Disequilibrium Model of Regional Investment, A
Do Bulls and Bears Move Acoross Borders: International Transimission of Stock Returns and Volatility as the World Turns
Do bulls and bears move across borders? : international transmission of stock returns and volatility as the world turns
dymimic model of housing price determination, A
Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns
Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models
Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models.
Dynamic Equicorrelation
Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model
Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government., An
econometrics of macroeconomics, finance, and the interface, The
Econometrics of Ultra-High Frequency Data, The
Économétrie des fondements à la modélisation
Effects Of Aggregation Over Time On Dynamic Characteristics Of An Econometric Model
Empirical pricing kernels
Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: Reply.
Estimating common sectoral cycles
Estimating Sectoral Cycles Using Cointegration and Common Features
Estimating sectorial cycles using cointegration and common features
Estimating Structural Models of Seasonality
Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model.
Estimation of the price elasticity of demand facing metropolitan producers
Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions.
Execution risk
Exogeneity.
Facto Discrimination in Residential Assessments: Boston, De
Factor--Spline--GARCH Model for High and Low Frequency Correlations, The
Financial econometrics - A new discipline with new methods
Fitting vast dimensional time-varying covariance models
Forecasting and testing in co-integrated systems
Forecasting intraday volatility in the US equity market. Multiplicative component GARCH
Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
Forecasting transaction rates : the autoregressive conditional duration model
GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics
Garch gamma
GARCH Option Pricing Model in Incomplete Markets, A
GARCH Option Pricing Model with Filtered Historical Simulation, A
GARCH Options in Incomplete Markets
general approach to lagrange multiplier model diagnostics, A
General approach to the construction of model diagnostics based upon the Lagrange multiplier principle, A
Handbook of econometrics
Hedging options in a garch environment : testing the term structure of stochastic volatility models
High and Low Frequency Correlations in Global Equity Markets
HIGH FREQUENCY MULTIPLICATIVE COMPONENT GARCH
Hourly volatility spillovers between international equity markets
Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic
Impacts of trades in an error-correction model of quote prices
Implied ARCH models from options prices
Inconsistency of Distributed Lag Estimators Due to Misspecification by Time Aggregation, The
Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts
Interpreting Spectral Analyses in Terms of Time-Domain Models
intertemporal capital asset pricing model with dynamic conditional correlations, The
Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III
Issues in the specification of an econometric model of metropolitan growth
Japanese consumption function, The
Liquidity, volatility, and flights to safety in the U.S. treasury market: evidence from a new class of dynamic order book models
long memory property of stock market returns and a new model, A
Long-run economic relationships : readings in cointegration
Long-run economics realtionships
long-run Pure Variance Common Features model for the common volatilities of the Dow Jones, A
Long-Term Skewness and Systemic Risk
Macroeconomic Announcements and Volatility of Treasury Futures
Measuring and testing the impact of news on volatility. -
Measuring, forecasting and explaining time varying liquidity in the stock market
Measuring risk aversion from excess returns on a stock index
MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets, A
Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting
METEOR SHOWERS OR HEAT WAGES? HETEROSKEDASTIC INTRA-DAILY VOLATILITY IN A THE FOREIGN EXCHANGE MARKET.
Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market.
Model for Multivariate Non-negative Valued Processes in Financial Econometrics, A
Modeling a Time-Varying Order Statistic
Modeling the impacts of market activity on bid-ask spreads in the option market
multi-dynamic-factor model for stock returns, 1991:, A
multiple indicators model for volatility using intra-daily data, A
Multivariate Simultaneous Generalized ARCH
New frontiers for arch models
Nobel 2003 w naukach ekonomicznych
Non-cointegration and econometric evaluation of models of regional shift and share
On the determination of regional base and regional base multipliers
On the theory of growth controls
Option hedging using empirical pricing kernels
Predicting VNET: A model of the dynamics of market depth
Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis
Residential load curves and time-of-day pricing : An econometric analysis
Risk and Volatility: Econometric Models and Financial Practice
Robert F Engle: Understanding volatility as a process
SEASONAL COINTEGRATION: THE JAPANESE CONSUMPTION FUNCTION.
Seasonal integration and cointegration
Semiparametric ARCH Models.
Semiparametric vector MEM
Shorte-run forecasts of electricity loads and peaks
Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area
Simultaneous Estimation of the Supply and Demand for Housing Location in a Multizoned Metropolitan Area
Small affair., A
Small-Sample Properties of ARCH Estimators and Tests.
Some Finite Sample Properties of Spectral Estimators of a Linear Regression.
Specification of the Disturbance for Efficient Estimation, The
Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes, The
spline GARCH model for unconditional volatility and its global macroeconomic causes, The
Stochastic Permanent Breaks
Stock Volatility and the Crash of '87: Discussion.
Supply Function Model of Aggregate Investment, A
Technical capabilities necessary for regulation of systemic financial risk summary of a workshop
Test of Efficiency for the S&P Index Option Market Using Variance Forecasts, A
Testing and Valuing Dynamic Correlations for Asset Allocation
Testing for Common Features: Reply.
Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative.
Testing Macroprudential Stress Tests : The Risk of Regulatory Risk Weights
Testing Price Equations for Stability Across Frequencies
Testing Price Equations for Stability across Spectral Frequency Bands.
TESTING SUPER EXOGENEITY AND INVARIANCE IN REGRESSION MODELS.
Testing superexogeneity and invariance in regression models
Testing the Volatility Term Structure using Option Hedging Criteria
Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH
Time and the Price Impact of a Trade
Time-Varying Arrival Rates of Informed and Uninformed Trades
Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks
Time-varying betas and asymmetric effects of news : empirical analysis of blue chip stocks
Time-varying volatility and the dynamic behavior of the term structure
Trades and Quotes: A Bivariate Point Process
Transportation costs and the rent gradient
Trygve Haavelmo, James J. Heckman, Daniel L. McFadden, Robert F. Engle and Clive W. J. Granger
Underlying Dynamics of Credit Correlations, The
Valuation of Variance Forecast with Simulated Option Markets
Valuation of variance forecasts with simulated option markets
Value at risk models in finance.
Vector multiplicative error models representation and inference
Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach
Wald, likelihood ratio, and Lagrange multiplier tests in econometrics
What good is a volatility model?
Where does the meteor shower come from? : the role of stochastic policy coordination
Contributed to or performed: 
JOURNAL OF FINANCE -NEW YORK-
JOURNAL OF MONEY CREDIT AND BANKING
Notes: 
Sources: 
VIAF DNB LC LNB NKC NLP NUKAT SELIBR SUDOC WKD
BOWKER
NTA
OPENL
ZETO