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subject:"Time series analysis"
subject:"United States"
~person:"Engle, Robert F."
~subject:"Index-Futures"
~subject:"Measurement"
~subject:"Volatility"
~type_genre:"Aufsatz in Zeitschrift"
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Time series analysis
United States
Index-Futures
Measurement
Volatility
Estimation
16
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16
Theorie
9
Theory
9
USA
9
Börsenkurs
6
Capital income
6
Kapitaleinkommen
6
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6
Option pricing theory
5
Optionspreistheorie
5
Volatilität
4
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Estimation theory
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Aufsatz in Zeitschrift
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Engle, Robert F.
Gupta, Rangan
105
Gil-Alaña, Luis A.
97
Bahmani-Oskooee, Mohsen
64
Caporale, Guglielmo Maria
58
Wohar, Mark E.
42
Tiwari, Aviral Kumar
41
Chang, Tsangyao
31
Balcilar, Mehmet
29
Bollerslev, Tim
28
Pierdzioch, Christian
28
Ma, Feng
27
Moosa, Imad A.
27
Bouri, Elie
25
McAleer, Michael
25
Todorov, Viktor
25
Xuan Vinh Vo
25
Apergēs, Nikolaos
24
McMillan, David G.
24
Narayan, Paresh Kumar
22
Kumar, Dilip
20
Serletis, Apostolos
20
Brooks, Robert
19
Koopman, Siem Jan
19
Miller, Stephen M.
19
Hegerty, Scott W.
18
Hsing, Yu
18
Kang, Sang Hoon
18
Lee, Chien-chiang
18
Payne, James E.
18
Hammoudeh, Shawkat
17
Mensi, Walid
17
Belke, Ansgar
16
Jawadi, Fredj
16
Rashid, Abdul
16
Salisu, Afees A.
16
Tauchen, George Eugene
16
Yoon, Seong-min
16
Asai, Manabu
15
Sarno, Lucio
15
Wang, Yudong
15
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The journal of derivatives : the official publication of the International Association of Financial Engineers
3
The journal of finance : the journal of the American Finance Association
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of financial economics
1
Journal of financial markets
1
Review of derivatives research
1
The review of financial studies
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ECONIS (ZBW)
13
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1
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
Saved in:
2
A GARCH option pricing model with filtered historical simulation
Barone-Adesi, Giovanni
;
Engle, Robert F.
;
Mancini, Loriano
- In:
The review of financial studies
21
(
2008
)
3
,
pp. 1223-1258
Persistent link: https://www.econbiz.de/10003742228
Saved in:
3
A multiple indicators model for volatility using intra-daily data
Engle, Robert F.
;
Gallo, Giampiero M.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 3-27
Persistent link: https://www.econbiz.de/10003298558
Saved in:
4
CAViaR: conditional autoregressive value at risk by regression quantiles
Engle, Robert F.
;
Manganelli, Simone
- In:
Journal of business & economic statistics : JBES ; a …
22
(
2004
)
4
,
pp. 367-381
Persistent link: https://www.econbiz.de/10002372839
Saved in:
5
Impacts of trades in an error-correction model of quote prices
Engle, Robert F.
;
Patton, Andrew J.
- In:
Journal of financial markets
7
(
2004
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10001868857
Saved in:
6
Empirical pricing kernels
Rosenberg, Joshua V.
;
Engle, Robert F.
- In:
Journal of financial economics
64
(
2002
)
3
,
pp. 341-372
Persistent link: https://www.econbiz.de/10001687813
Saved in:
7
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
Saved in:
8
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
Saved in:
9
Time and the price impact of a trade
Dufour, Alfonso
;
Engle, Robert F.
- In:
The journal of finance : the journal of the American …
55
(
2000
)
6
,
pp. 2467-2498
Persistent link: https://www.econbiz.de/10001537329
Saved in:
10
Correlations and volatilities of asynchronous data
Burns, Patrick
- In:
The journal of derivatives : the official publication …
5
(
1998
)
4
,
pp. 7-18
Persistent link: https://www.econbiz.de/10001246679
Saved in:
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