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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

Hourly volatility spillovers between international equity markets

Susmel, Raul; Engle, Robert F. - 1992

Persistent link: https://www.econbiz.de/10000841632

Common volatility in international equity markets

Engle, Robert F.; Susmel, Raul - 1992

Persistent link: https://www.econbiz.de/10000841634

The term structure of risk, the role of known and unknown risks, and nonstationary distributions

Colacito, Riccardo; Engle, Robert F. - In: The known, the unknown, and the unknowable in financial …, (pp. 59-73). 2010

Persistent link: https://www.econbiz.de/10003991894

Forecasting intraday volatility in the US equity market : multiplicative component GARCH

Engle, Robert F.; Sokalska, Magdalena E. - In: Journal of financial econometrics : official journal of … 10 (2012) 1, pp. 54-83

Persistent link: https://www.econbiz.de/10009519713

Volatility spillovers in East Asian financial markets : a MEM-based approach

Engle, Robert F.; Gallo, Giampiero M.; Velucchi, Margherita - In: The review of economics and statistics 94 (2012) 1, pp. 221-233

Persistent link: https://www.econbiz.de/10009565360

Asymmetric dynamics in the correlations of global equity and bond returns

Cappiello, Lorenzo; Engle, Robert F.; Sheppard, Kevin - In: Journal of financial econometrics : official journal of … 4 (2006) 4, pp. 537-572

Persistent link: https://www.econbiz.de/10003565737

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

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

Multi-regime Forecasting Model for the Impact of COVID-19 Pandemic on Volatility in Global Equity Markets

Alan, Nazli Sila - 2020

Using a multi-regime forecasting model, we investigate the impact of COVID-19 pandemic on market volatility. We show … volatility and the GJR-GARCH volatility in global equity markets. We estimate realized volatilities using intraday 5-minute …

Persistent link: https://www.econbiz.de/10012828834

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