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A long-run pure variance common features model for the common volatilities of the Dow Jones
Engle, Robert F.; Marcucci, Juri - In: Journal of econometrics 132 (2006) 1, pp. 7-42
Persistent link: https://www.econbiz.de/10003320235
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Liquidity and volatility in the US treasury market
Nguyen, Giang H.; Engle, Robert F.; Fleming, Michael J.; … - In: Journal of econometrics 217 (2020) 2, pp. 207-229
Persistent link: https://www.econbiz.de/10012482750
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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
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Stock market volatility and macroeconomic fundamentals
Engle, Robert F.; Ghysels, Eric; Sohn, Bumjean - In: The review of economics and statistics 95 (2013) 3, pp. 776-797
Persistent link: https://www.econbiz.de/10009793016