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Estimating sectoral cycles using cointegration and common features
Engle, Robert F.; Issler, João Victor - 1993
Persistent link: https://www.econbiz.de/10000885426
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The econometrics of ultra-high frequency data
Engle, Robert F. - 1996
Persistent link: https://www.econbiz.de/10000613076
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Business cycle fluctuations in US macroeconomic time series
Stock, James H.; Watson, Mark W. - 1998
Persistent link: https://www.econbiz.de/10000663354
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Measuring, forecasting and explaining time varying liquidity in the stock market
Engle, Robert F.; Lange, Joe - 1997
Persistent link: https://www.econbiz.de/10000637524
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Option hedging using empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - 1997
Persistent link: https://www.econbiz.de/10000643460
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Demand disturbances and aggregate fluctuations : the implications fo near rationality
Jones, Stephen R. G.; Stock, James H. - 1985 - rev
Persistent link: https://www.econbiz.de/10000699975
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Diffusion indexes
Stock, James H.; Watson, Mark W. - 1998
Persistent link: https://www.econbiz.de/10000674170
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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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Non-cointegration and econometric evaluation of models of regional shift and share
Brown, Scott James; Coulson, N. Edward; Engle, Robert F. - 1990
Persistent link: https://www.econbiz.de/10000786474
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A long-run pure variance common features model for the common volatilities of the Dow Jones
Engle, Robert F.; Marcucci, Juri - In: Journal of econometrics 132 (2006) 1, pp. 7-42
Persistent link: https://www.econbiz.de/10003320235