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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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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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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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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
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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
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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
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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
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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
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A multiple indicators model for volatility using intra-daily data
Engle, Robert F.; Gallo, Giampiero M. - 2003
Persistent link: https://www.econbiz.de/10001852358