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Working papers / Economics Department, Massachusetts Institute of Technology (MIT)
776
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Asset pricing with a factor-ARCH covariance structure : empirical estimates for treasury bills
Engle, Robert F.
- In:
Journal of econometrics
45
(
1990
)
1
,
pp. 213-237
Persistent link: https://www.econbiz.de/10001332074
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2
ARCH models in finance
Engle, Robert F.
(
contributor
)
- In:
Journal of econometrics
52
(
1992
)
1
,
pp. 1-311
Persistent link: https://www.econbiz.de/10001121076
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3
Priced risk and asymmetric volatility in the cross section of skewness
Engle, Robert F.
;
Mistry, Abhishek
- In:
Journal of econometrics
182
(
2014
)
1
,
pp. 135-144
Persistent link: https://www.econbiz.de/10010497106
Saved in:
4
Scenario generation for long run interest rate risk assessment
Engle, Robert F.
;
Roussellet, Guillaume
;
Siriwardane, …
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 333-347
Persistent link: https://www.econbiz.de/10011920512
Saved in:
5
Financial econometrics: a new discipline with new methods
Engle, Robert F.
- In:
Journal of econometrics
100
(
2001
)
1
,
pp. 53-56
Persistent link: https://www.econbiz.de/10001546140
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6
A component model for dynamic correlations
Colacito, Riccardo
;
Engle, Robert F.
;
Ghysels, Eric
- In:
Journal of econometrics
164
(
2011
)
1
,
pp. 45-59
Persistent link: https://www.econbiz.de/10009270412
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7
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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8
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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9
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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