Narrow search
Showing 1 - 10 of 72
Cover Image
The econometrics of ultra-high frequency data
Engle, Robert F. - 1996
Persistent link: https://www.econbiz.de/10000613076
Cover Image
What good is a volatility model?
Engle, Robert F.; Patton, Andrew J. - In: Forecasting volatility in the financial markets, (pp. 47-63). 2007
Persistent link: https://www.econbiz.de/10003872831
Cover Image
Impacts of trades in an error-correction model of quote prices
Engle, Robert F.; Patton, Andrew J. - In: Journal of financial markets 7 (2004) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10001868857
Cover Image
Time and the price impact of a trade
Dufour, Alfonso; Engle, Robert F. - In: The journal of finance : the journal of the American … 55 (2000) 6, pp. 2467-2498
Persistent link: https://www.econbiz.de/10001537329
Cover Image
Impacts of trades in an error-correction model of quote prices
Engle, Robert F.; Patton, Andrew J. - 2000
Persistent link: https://www.econbiz.de/10001541189
Cover Image
Time and the price impact of a trade
Dufour, Alfonso; Engle, Robert F. - 1999
Persistent link: https://www.econbiz.de/10001395161
Cover Image
The econometrics of ultra-high-frequency data
Engle, Robert F. - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10001449346
Cover Image
Meteor showers or heat waves? : heteroskedastic intra-daily volatility in the foreign exchange market
Engle, Robert F.; Itō, Takatoshi; Lin, Wen-ling Tsai - 1988
Persistent link: https://www.econbiz.de/10000757954
Cover Image
Long run volatility forecasting for individual stocks in a one factor model
Engle, Robert F.; Lee, Gary G. J. - 1993
Persistent link: https://www.econbiz.de/10000877958
Cover Image
Non-synchronous common cycles
Vahid, Farshid; Engle, Robert F. - 1993
Persistent link: https://www.econbiz.de/10000878060