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Measuring and testing the impact of news on volatility

Engle, Robert F.; Ng, Victor K. - 1991

Persistent link: https://www.econbiz.de/10000814056

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

A permanent and transitory component model of stock return volatility

Engle, Robert F.; Lee, Gary G. J. - 1993 - [Rev.]

Persistent link: https://www.econbiz.de/10000877975

Measuring and testing the impact of news on volatility

Engle, Robert F. - In: The journal of finance : the journal of the American … 48 (1993) 5, pp. 1749-1778

Persistent link: https://www.econbiz.de/10001155967

A permanent and transitory component model of stock return volatality

Engle, Robert F.; Lee, Gary G. J. - 1992

Persistent link: https://www.econbiz.de/10000853573

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

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

a single common factor and idiosyncratic returns. High frequency correlations mean revert to slowly varying functions …

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

Measuring and Testing the Impact of News on Volatility

Engle, Robert F. - 1991

This paper introduces the News Impact Curve to measure how new information is incorporated into volatility estimates. A variety of new and existing ARCH models are compared and estimated with daily Japanese stock return data to determine the shape of the News Impact Curve. New diagnostic tests...

Persistent link: https://www.econbiz.de/10012475330

CAViaR : conditional autoregressive value at risk by regression quantiles

Engle, Robert F.; Manganelli, Simone - 1999

Persistent link: https://www.econbiz.de/10001441337

CAViaR : conditional value at risk by quantile regression

Engle, Robert F.; Manganelli, Simone - 1999

Persistent link: https://www.econbiz.de/10001415135

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