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The review of financial studies
NYU Working Paper
50
Discussion paper / Department of Economics, University of California San Diego
41
NBER Working Paper
30
NBER working paper series
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Working paper / National Bureau of Economic Research, Inc.
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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The spline-GARCH model for low-frequency volatility and its global macroeconomic causes
Engle, Robert F.
;
Rangel, Jose Gonzalo
- In:
The review of financial studies
21
(
2008
)
3
,
pp. 1187-1222
Persistent link: https://www.econbiz.de/10003742225
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2
A GARCH option pricing model with filtered historical simulation
Barone-Adesi, Giovanni
;
Engle, Robert F.
;
Mancini, Loriano
- In:
The review of financial studies
21
(
2008
)
3
,
pp. 1223-1258
Persistent link: https://www.econbiz.de/10003742228
Saved in:
3
Do bulls and bears moe across borders? : International transmission of stock returns and volatility
Lin, Wen-ling Tsai
- In:
The review of financial studies
7
(
1994
)
3
,
pp. 507-538
Persistent link: https://www.econbiz.de/10001169082
Saved in:
4
Structural GARCH : the volatility-leverage connection
Engle, Robert F.
;
Siriwardane, Emil N.
- In:
The review of financial studies
31
(
2018
)
2
,
pp. 449-492
Persistent link: https://www.econbiz.de/10011925224
Saved in:
5
Hedging climate change news
Engle, Robert F.
;
Giglio, Stefano
;
Kelly, Bryan T.
; …
- In:
The review of financial studies
33
(
2020
)
3
,
pp. 1184-1216
Persistent link: https://www.econbiz.de/10012198087
Saved in:
6
SRISK: a conditional capital shortfall measure of systemic risk
Brownlees, Christian
;
Engle, Robert F.
- In:
The review of financial studies
30
(
2017
)
1
,
pp. 48-79
Persistent link: https://www.econbiz.de/10011738007
Saved in:
7
Why did bank stocks crash during COVID-19?
Acharya, Viral V.
;
Engle, Robert F.
;
Jager, Maximilian
; …
- In:
The review of financial studies
37
(
2024
)
9
,
pp. 2627-2684
Persistent link: https://www.econbiz.de/10015046486
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8
Discussion of "Stock Volatility and the Crash of '87," by G. William Schwert
Engle, Robert F.
- In:
The review of financial studies
3
(
2013
)
1
,
pp. 103-102
Persistent link: https://www.econbiz.de/10010113551
Saved in:
9
The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes
Engle, Robert F.
;
Rangel, Jose Gonzalo
- In:
The review of financial studies
21
(
2013
)
3
,
pp. 1187-1186
Persistent link: https://www.econbiz.de/10010113793
Saved in:
10
A GARCH Option Pricing Model with Filtered Historical Simulation
Barone-Adesi, Giovanni
;
Engle, Robert F.
;
Mancini, Loriano
- In:
The review of financial studies
21
(
2013
)
3
,
pp. 1223-1222
Persistent link: https://www.econbiz.de/10010113794
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