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~person:"Engle, Robert F."
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Engle, Robert F.
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ECONIS (ZBW)
102
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1
Hedging
climate change news
Engle, Robert F.
;
Giglio, Stefano
;
Kelly, Bryan T.
; …
-
2019
Persistent link: https://www.econbiz.de/10012015507
Saved in:
2
Hedging
climate change news
Engle, Robert F.
;
Giglio, Stefano
;
Lee, Heebum
;
Kelly, …
-
2019
-
This version: May 7, 2019
exposures. We show that this approach yields parsimonious and industry-balanced portfolios that perform well in
hedging
…
Persistent link: https://www.econbiz.de/10012024377
Saved in:
3
Hedging
Climate Change News
Engle, Robert F.
-
2019
. We show that this approach yields parsimonious and industry-balanced portfolios that perform well in
hedging
innovations … in climate news both in-sample and out-of-sample. The resulting hedge portfolios outperform alternative
hedging
…
Persistent link: https://www.econbiz.de/10012889045
Saved in:
4
Hedging
Climate Change News
Engle, Robert F.
-
2019
show that this approach yields parsimonious and industry-balanced portfolios that perform well in
hedging
innovations in … climate news both in sample and out of sample. The resulting hedge portfolios outperform alternative
hedging
strategies based …
Persistent link: https://www.econbiz.de/10012894717
Saved in:
5
Hedging
Climate Change News
Engle, Robert F.
-
2019
exposures. We show that this approach yields parsimonious and industry-balanced portfolios that perform well in
hedging
…
Persistent link: https://www.econbiz.de/10012866389
Saved in:
6
News and idiosyncratic volatility : the public information processing hypothesis
Engle, Robert F.
;
Hansen, Martin Klint
;
Karagozoglu, …
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012504316
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
Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
Engle, Robert F.
;
Russell, Jeffrey R.
-
1995
Persistent link: https://www.econbiz.de/10000929607
Saved in:
9
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
Saved in:
10
The factor-spline-GARCH model for high and low frequency correlations
Rangel, Jose Gonzalo
;
Engle, Robert F.
-
2009
We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....
Persistent link: https://www.econbiz.de/10003821063
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