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Dynamic conditional beta
Engle, Robert F. - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
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Reminiscing on the 1984 NSF-NBER time series meeting at UC Davis
Engle, Robert F. - In: Journal of financial econometrics : official journal of … 8 (2010) 2, pp. 158-159
Persistent link: https://www.econbiz.de/10008652248
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Long-term skewness and systemic risk
Engle, Robert F. - In: Journal of financial econometrics : official journal of … 9 (2011) 3, pp. 437-468
Persistent link: https://www.econbiz.de/10009407870
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Trades and quotes : a bivariate point process
Engle, Robert F.; Lunde, Asger - In: Journal of financial econometrics : official journal of … 1 (2003) 2, pp. 159-188
Persistent link: https://www.econbiz.de/10002214089
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Forecasting intraday volatility in the US equity market : multiplicative component GARCH
Engle, Robert F.; Sokalska, Magdalena E. - In: Journal of financial econometrics : official journal of … 10 (2012) 1, pp. 54-83
Persistent link: https://www.econbiz.de/10009519713
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Time-varying arrival rates of informed and uninformed trades
Easley, David; Engle, Robert F.; O'Hara, Maureen; Wu, Liuren - In: Journal of financial econometrics : official journal of … 6 (2008) 2, pp. 171-207
Persistent link: https://www.econbiz.de/10003687773
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Asymmetric dynamics in the correlations of global equity and bond returns
Cappiello, Lorenzo; Engle, Robert F.; Sheppard, Kevin - In: Journal of financial econometrics : official journal of … 4 (2006) 4, pp. 537-572
Persistent link: https://www.econbiz.de/10003565737