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Hedging options in a GARCH environment : testing the term structure of stochastic volatility models
Engle, Robert F.; Rosenberg, Joshua V. - 1994
Persistent link: https://www.econbiz.de/10000904203
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Forecasting transaction rates : the autoregressive conditional duration model
Engle, Robert F.; Russell, Jeffrey R. - 1994
Persistent link: https://www.econbiz.de/10000904213
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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
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A test of efficiency for the S&P 500 index option market using variance forecasts
Noh, Jaesun; Engle, Robert F.; Kane, Alex - 1993 - Rev
Persistent link: https://www.econbiz.de/10000877939
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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
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A permanent and transitory component model of stock return volatility
Engle, Robert F.; Lee, Gary G. J. - 1993 - [Rev.]
Persistent link: https://www.econbiz.de/10000877975
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Multivariate simultaneous generalized ARCH
Engle, Robert F.; Kroner, Kenneth F. - 1993 - Rev
Persistent link: https://www.econbiz.de/10000878056
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Non-synchronous common cycles
Vahid, Farshid; Engle, Robert F. - 1993
Persistent link: https://www.econbiz.de/10000878060
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Arch models
Bollerslev, Tim; Engle, Robert F.; Nelson, Daniel B. - 1993
Persistent link: https://www.econbiz.de/10000878183
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The econometrics of ultra-high frequency data
Engle, Robert F. - 1996
Persistent link: https://www.econbiz.de/10000939559