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A component model for dynamic correlations

Colacito, Riccardo; Engle, Robert F.; Ghysels, Eric - In: Journal of Econometrics 164 (2011) 1, pp. 45-59

We propose a model of dynamic correlations with a short- and long-run component specification, by extending the idea of component models for volatility. We call this class of models DCC-MIDAS. The key ingredients are the Engle (2002) DCC model, the Engle and Lee (1999) component GARCH model...

Persistent link: https://www.econbiz.de/10009249369

Implied ARCH models from options prices

Engle, Robert F.; Mustafa, Chowdhury - In: Journal of Econometrics 52 (1992) 1-2, pp. 289-311

Persistent link: https://www.econbiz.de/10005285813

Forecasting and testing in co-integrated systems

Engle, Robert F.; Yoo, Byung Sam - In: Journal of Econometrics 35 (1987) 1, pp. 143-159

Persistent link: https://www.econbiz.de/10005285832

A general approach to lagrange multiplier model diagnostics

Engle, Robert F. - In: Journal of Econometrics 20 (1982) 1, pp. 83-104

Persistent link: https://www.econbiz.de/10005285852

A multi-dynamic-factor model for stock returns

Ng, Victor; Engle, Robert F.; Rothschild, Michael - In: Journal of Econometrics 52 (1992) 1-2, pp. 245-266

Persistent link: https://www.econbiz.de/10005052914

Codependent cycles

Vahid, Farshid; Engle, Robert F. - In: Journal of Econometrics 80 (1997) 2, pp. 199-221

Persistent link: https://www.econbiz.de/10005052915

Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills

Engle, Robert F.; Ng, Victor K.; Rothschild, Michael - In: Journal of Econometrics 45 (1990) 1-2, pp. 213-237

Persistent link: https://www.econbiz.de/10005192384

Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models

Watson, Mark W.; Engle, Robert F. - In: Journal of Econometrics 23 (1983) 3, pp. 385-400

Persistent link: https://www.econbiz.de/10005192627

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/10005192652

A dymimic model of housing price determination

Engle, Robert F.; Lilien, David M.; Watson, Mark - In: Journal of Econometrics 28 (1985) 3, pp. 307-326

Persistent link: https://www.econbiz.de/10005228614