Narrow search
Showing 1 - 10 of 33
Cover Image
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
Cover Image
Estimating stochastic volatility diffusion using conditional moments of integrated volatility
Bollerslev, Tim; Zhou, Hao - In: Journal of econometrics 109 (2002) 1, pp. 33-65
Persistent link: https://www.econbiz.de/10001663892
Cover Image
CAViaR : conditional autoregressive value at risk by regression quantiles
Engle, Robert F.; Manganelli, Simone - 1999
Persistent link: https://www.econbiz.de/10001441337
Cover Image
Impacts of trades in an error-correction model of quote prices
Engle, Robert F.; Patton, Andrew J. - 2000
Persistent link: https://www.econbiz.de/10001541189
Cover Image
Measuring, forecasting and explaining time varying liquidity in the stock market
Engle, Robert F.; Lange, Joe - 1997
Persistent link: https://www.econbiz.de/10000996023
Cover Image
Econometric analysis of discrete-valued irregulary-spaced financial transactions data using a new autoregressive conditional multinominal model
Russell, Jeffrey R.; Engle, Robert F. - 1998
Persistent link: https://www.econbiz.de/10000988764
Cover Image
Time and the price impact of a trade
Dufour, Alfonso; Engle, Robert F. - 1999
Persistent link: https://www.econbiz.de/10001395161
Cover Image
Forecasting volatility and option prices of the S&P 500 index
Noh, Jaesun; Engle, Robert F.; Kane, Alex - 1994 - Rev
Persistent link: https://www.econbiz.de/10000891511
Cover Image
Index-option pricing with stochastic volatility and the value of accurate variance forecasts
Engle, Robert F.; Kane, Alex; Noh, Jaesun - 1993
Persistent link: https://www.econbiz.de/10000877913
Cover Image
Long run volatility forecasting for individual stocks in a one factor model
Engle, Robert F.; Lee, Gary G. J. - 1993
Persistent link: https://www.econbiz.de/10000877958