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~person:"Engle, Robert F."
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ECONIS (ZBW)
105
RePEc
5
EconStor
3
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1
Hourly
volatility
spillovers between international equity markets
Susmel, Raul
;
Engle, Robert F.
-
1992
Persistent link: https://www.econbiz.de/10000841632
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
Common
volatility
in international equity markets
Engle, Robert F.
;
Susmel, Raul
-
1992
Persistent link: https://www.econbiz.de/10000841634
Saved in:
7
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
Saved in:
8
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
Saved in:
9
The spline-GARCH model for low-frequency
volatility
and its global macroeconomic causes
Engle, Robert F.
;
Rangel, Jose Gonzalo
- In:
The review of financial studies
21
(
2008
)
3
,
pp. 1187-1222
Persistent link: https://www.econbiz.de/10003742225
Saved in:
10
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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