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Journal of econometrics
NYU Working Paper
46
Discussion paper / Department of Economics, University of California San Diego
41
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35
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33
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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
Saved in:
2
A dynamic model of housing price determination
Engle, Robert F.
;
Lilien, David M.
;
Waston, Mark
- In:
Journal of econometrics
28
(
1985
)
3
,
pp. 307-326
Persistent link: https://www.econbiz.de/10003618327
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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/10002140444
Saved in:
6
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/10002973320
Saved in:
7
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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8
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
Saved in:
9
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
Saved in:
10
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
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