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Asymmetric dynamics in the correlations of global equity and bond returns

Sheppard, Kevin; Cappiello, Lorenzo; Engle, Robert F. - 2003

Persistent link: https://www.econbiz.de/10011604250

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

The factor-spline-GARCH model for high and low frequency correlations

Rangel, Jose Gonzalo; Engle, Robert F. - 2009

that characterize long-term correlation patterns. We associate such term behavior with low frequency economic variables … improves the empirical fit of equity correlations in the US and correlation forecasts at long horizons. -- Factor models ; Low … frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

Persistent link: https://www.econbiz.de/10003821063

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

Systemic risk in Europe

Engle, Robert F.; Jondeau, Eric; Rockinger, Michael - In: Review of finance : journal of the European Finance … 19 (2015) 1, pp. 145-190

Persistent link: https://www.econbiz.de/10011343055

[Rezension von: Engle, Robert F., Anticipating correlations, a new paradigm for risk management]

Binsbergen, Jules H. van - In: Journal of economic literature 49 (2011) 1, pp. 150

Persistent link: https://www.econbiz.de/10009715494

Large dynamic covariance matrices

Engle, Robert F.; Ledoit, Olivier; Wolf, Michael - 2016

for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH …

Persistent link: https://www.econbiz.de/10011518597

Systemic risk in Europe

Engle, Robert F.; Jondeau, Eric; Rockinger, Michael - 2012

Systemic risk may be defined as the propensity of a financial institution to be undercapitalized when the financial system as a whole is undercapitalized. In this paper, we investigate the case of non-U.S. institutions, with several factors explaining the dynamics of financial firms returns and...

Persistent link: https://www.econbiz.de/10009684066

Anticipating correlations : a new paradigm for risk management

Engle, Robert F. - 2009

Persistent link: https://www.econbiz.de/10003733103

Modeling the dynamics of correlations among implied volatilities

Engle, Robert F.; Figlewski, Stephen - In: Review of finance : journal of the European Finance … 19 (2015) 3, pp. 991-1018

Persistent link: https://www.econbiz.de/10011405161