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~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Discussion paper / Department of Economics, University of California San Diego
43
Working paper / National Bureau of Economic Research, Inc.
26
Journal of econometrics
23
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Journal of monetary economics
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CREATES research paper
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Discussion paper series / LSE Financial Markets Group
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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Economic Research Initiatives at Duke (ERID) Working Paper
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ECONIS (ZBW)
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1
On the out-of-sample importance of skewness and asymmetric dependence for asset allocation
Patton, Andrew J.
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
1
,
pp. 130-168
Persistent link: https://www.econbiz.de/10002214229
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2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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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6
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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7
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
Saved in:
8
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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