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Hourly volatility spillovers between international equity markets
Susmel, Raul; Engle, Robert F. - 1992
Persistent link: https://www.econbiz.de/10000841632
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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
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The spline GARCH model for unconditional volatility and its global macroeconomic causes
Engle, Robert F.; Rangel, Jose Gonzalo - 2005
Persistent link: https://www.econbiz.de/10003331373
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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022
but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …
Persistent link: https://www.econbiz.de/10013040932
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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2021 - This version: June 2021
but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …
Persistent link: https://www.econbiz.de/10012584099
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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2020
covariances, is the concept of a regularized return, obtained from a volatility proxy in conjunction with a smoothed sign …
Persistent link: https://www.econbiz.de/10012253083
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Large dynamic covariance matrices : enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - In: Journal of banking & finance 138 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10013461761
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A long memory property of stock market returns and a new model
Ding, Zhuanxin; Granger, C. W. J.; Engle, Robert F. - 1992
Persistent link: https://www.econbiz.de/10000841643
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High and Low Frequency Correlations in Global Equity Markets
Engle, Robert F. - 2011
We model high and low frequency variation in global equity correlations using a sample of 43 countries, including developed and emerging markets during the period 1995-2008. Such variations are characterized by a multifactor asset pricing structure with second-moments dynamics leading to high...
Persistent link: https://www.econbiz.de/10013130349
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Common volatility in international equity markets
Engle, Robert F.; Susmel, Raul - 1992
Persistent link: https://www.econbiz.de/10000841634