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A discrete-state continuous-time model of financial transactions prices and times : the autoregressive conditional multinomial-autoregressive conditional duration model
Russell, Jeffrey R.; Engle, Robert F. - In: Journal of business & economic statistics : JBES ; a … 23 (2005) 2, pp. 166-180
Persistent link: https://www.econbiz.de/10002781639
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Testing and valuing dynamic correlations for asset allocation
Engle, Robert F.; Colacito, Riccardo - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 2, pp. 238-253
Persistent link: https://www.econbiz.de/10003317174
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Testing for common features
Engle, Robert F. - In: Journal of business & economic statistics : JBES ; a … 11 (1993) 4, pp. 369-380
Persistent link: https://www.econbiz.de/10001155992
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Semiparametric ARCH models
Engle, Robert F. - In: Journal of business & economic statistics : JBES ; a … 9 (1991) 4, pp. 345-359
Persistent link: https://www.econbiz.de/10001113395
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Common volatility in international equity markets
Engle, Robert F. - In: Journal of business & economic statistics : JBES ; a … 11 (1993) 2, pp. 167-176
Persistent link: https://www.econbiz.de/10001142130