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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
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CAViaR : conditional autoregressive value at risk by regression quantiles
Engle, Robert F.; Manganelli, Simone - 1999
Persistent link: https://www.econbiz.de/10001441337
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CAViaR : conditional value at risk by quantile regression
Engle, Robert F.; Manganelli, Simone - 1999
Persistent link: https://www.econbiz.de/10001415135
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High and low frequency correlations in global equity markets
Engle, Robert F.; Rangel, José Gonzalo - 2009
This study models high and low frequency variation in global equity correlations using a comprehensive sample of 43 countries that includes developed and emerging markets, during the period 1995-2008. These two types of variations are modeled following the semi-parametric Factor-Spline-GARCH...
Persistent link: https://www.econbiz.de/10003909596
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High and low frequency correlations in global equity markets
Engle, Robert F.; Rangel, Jose G. - 2009
Persistent link: https://www.econbiz.de/10003943476
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High and Low Frequency Correlations in Global Equity Markets
Engle, Robert F. - 2011
We model high and low frequency variation in global equity correlations using a sample of 43 countries, including developed and emerging markets during the period 1995-2008. Such variations are characterized by a multifactor asset pricing structure with second-moments dynamics leading to high...
Persistent link: https://www.econbiz.de/10013130349
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Factor mimicking portfolios for climate risk
De Nard, Gianluca; Engle, Robert F.; Kelly, Bryan T. - 2023 - This version: March 2023
We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices … climate risk hedge portfolios. The new mimicking portfolio approach is much more efficient than traditional sorting or maximum … delivering markedly higher and statistically significant alphas and betas with the climate risk indices. …
Persistent link: https://www.econbiz.de/10014232089
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Factor mimicking portfolios for climate risk
De Nard, Gianluca; Engle, Robert F.; Kelly, Bryan T. - 2024 - This version: March 2024
We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices … climate risk hedge portfolios. The new mimicking portfolio approach is much more efficient than traditional sorting or maximum … delivering markedly higher and statistically significant alphas and betas with the climate risk indices. …
Persistent link: https://www.econbiz.de/10014531337
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Factor-mimicking portfolios for climate risk
De Nard, Gianluca; Engle, Robert F.; Kelly, Bryan T. - In: Financial analysts journal : FAJ 80 (2024) 3, pp. 37-58
Persistent link: https://www.econbiz.de/10015050470
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Large dynamic covariance matrices
Engle, Robert F.; Ledoit, Olivier; Wolf, Michael - 2016
Second moments of asset returns are important for risk management and portfolio selection. The problem of estimating …
Persistent link: https://www.econbiz.de/10011518597