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Engle, Robert F. - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 643-667

Persistent link: https://www.econbiz.de/10011623818

Dynamic conditional beta is alive and well in the cross section of daily stock returns

Bali, Turan G.; Engle, Robert F.; Tang, Yi - In: Management science : journal of the Institute for … 63 (2017) 11, pp. 3760-3779

Persistent link: https://www.econbiz.de/10011772757

Time-varying betas and asymmetric effects of news : empirical analysis of blue chip stocks

Cho, Young-hye; Engle, Robert F. - 1999

Persistent link: https://www.econbiz.de/10001417230

Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2021 - This version: June 2021

recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the … 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

Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022

Persistent link: https://www.econbiz.de/10013040932

Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2020

. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this … 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

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

What are the events that shake our world? : measuring and hedging global COVOL

Engle, Robert F.; Campos-Martins, Susana - In: Journal of financial economics 147 (2023) 1, pp. 221-242

Persistent link: https://www.econbiz.de/10013546063

Empirical asset pricing : the cross section of stock returns

Bali, Turan G.; Engle, Robert F.; Murray, Scott - 2016

Persistent link: https://www.econbiz.de/10011449277

Empirical asset pricing : the cross section of stock returns

Bali, Turan G.; Engle, Robert F.; Murray, Scott - 2016

Intro -- Title Page -- Copyright -- Table of Contents -- Dedication -- Preface -- References -- Part I: Statistical Methodologies -- Chapter 1: Preliminaries -- 1.1 Sample -- 1.2 Winsorization and Truncation -- 1.3 Newey and West (1987) Adjustment -- 1.4 Summary -- References -- Chapter 2:...

Persistent link: https://www.econbiz.de/10012684349

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