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Stock market volatility and macroeconomic fundamentals
Engle, Robert F.; Ghysels, Eric; Sohn, Bumjean - In: The review of economics and statistics 95 (2013) 3, pp. 776-797
Persistent link: https://www.econbiz.de/10009793016
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Volatility spillovers in East Asian financial markets : a MEM-based approach
Engle, Robert F.; Gallo, Giampiero M.; Velucchi, Margherita - In: The review of economics and statistics 94 (2012) 1, pp. 221-233
Persistent link: https://www.econbiz.de/10009565360
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Stochastic permanent breaks
Engle, Robert F.; Smith, Aaron D. - In: The review of economics and statistics 81 (1999) 4, pp. 553-574
Persistent link: https://www.econbiz.de/10001437341