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~person:"Engle, Robert F."
~subject:"Bid-ask spread"
~subject:"Schätzung"
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Bid-ask spread
Schätzung
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Engle, Robert F.
Caporale, Guglielmo Maria
115
Gupta, Rangan
97
Gil-Alaña, Luis A.
82
Heckman, James J.
71
Afonso, António
57
Hamermesh, Daniel S.
52
Karanassou, Marika
42
Belke, Ansgar
39
Pesaran, M. Hashem
39
Hautsch, Nikolaus
38
Gil-Alana, Luis A.
36
Koopman, Siem Jan
35
Balcilar, Mehmet
34
Eickmeier, Sandra
34
Malley, James R.
34
Marcellino, Massimiliano
34
Bahmani-Oskooee, Mohsen
33
Basu, Susanto
33
Belzil, Christian
33
McAleer, Michael
33
Uhlig, Harald
32
Miller, Stephen M.
31
Neumark, David
31
Wohar, Mark E.
31
Mazumder, Bhashkar
30
Timmermann, Allan
30
Glaeser, Edward L.
29
Kilian, Lutz
29
Wolff, Guntram B.
29
Bloom, Nicholas
28
Cheung, Yin-Wong
28
Chiswick, Barry R.
28
Schorfheide, Frank
28
Chinn, Menzie David
27
Haltiwanger, John C.
27
Shapiro, Matthew D.
27
Walker, Reed
27
Bollerslev, Tim
26
Christiano, Lawrence J.
26
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Working paper / National Bureau of Economic Research, Inc.
8
Discussion paper / Department of Economics, University of California San Diego
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2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
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2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Forecasting volatility in the financial markets
1
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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ECONIS (ZBW)
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1
The econometrics of ultra-high frequency data
Engle, Robert F.
-
1996
Persistent link: https://www.econbiz.de/10000613076
Saved in:
2
Measuring, forecasting and explaining time varying liquidity in the stock market
Engle, Robert F.
;
Lange, Joe
-
1997
Persistent link: https://www.econbiz.de/10000637524
Saved in:
3
Option hedging using empirical pricing kernels
Rosenberg, Joshua V.
;
Engle, Robert F.
-
1997
Persistent link: https://www.econbiz.de/10000643460
Saved in:
4
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:
5
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
Saved in:
6
Testing macroprudential stress tests : the risk of regulatory risk weights
Acharya, Viral V.
;
Engle, Robert F.
;
Pierret, Diane
-
2013
Persistent link: https://www.econbiz.de/10009745648
Saved in:
7
Testing macroprudential stress tests : the risk of regulatory risk weights
Acharya, Viral V.
;
Engle, Robert F.
;
Pierret, Diane
-
2014
Persistent link: https://www.econbiz.de/10010341259
Saved in:
8
A multiple indicators model for volatility using intra-daily data
Engle, Robert F.
;
Gallo, Giampiero M.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 3-27
Persistent link: https://www.econbiz.de/10003298558
Saved in:
9
A discrete-state continuous-time model of financial transactions prices and times : the autoregressive conditional multinomial-autoregressive conditional duration model
Russell, Jeffrey R.
;
Engle, Robert F.
- In:
Journal of business & economic statistics : JBES ; a …
23
(
2005
)
2
,
pp. 166-180
Persistent link: https://www.econbiz.de/10002781639
Saved in:
10
CAViaR: conditional autoregressive value at risk by regression quantiles
Engle, Robert F.
;
Manganelli, Simone
- In:
Journal of business & economic statistics : JBES ; a …
22
(
2004
)
4
,
pp. 367-381
Persistent link: https://www.econbiz.de/10002372839
Saved in:
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