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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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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
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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
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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
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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
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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
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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