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~person:"Engle, Robert F."
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Engle, Robert F.
Phillips, Peter C. B.
307
Pesaran, M. Hashem
200
McAleer, Michael
198
Härdle, Wolfgang
175
Gao, Jiti
168
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146
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96
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94
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89
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87
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87
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86
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79
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74
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74
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72
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72
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70
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1
Large scale conditional covariance matrix modeling, estimation and testing
Ding, Zhuanxin
;
Engle, Robert F.
- In:
Jingji-lunwen
29
(
2001
)
2
,
pp. 157-184
Persistent link: https://www.econbiz.de/10001652987
Saved in:
2
Large Dynamic Covariance Matrices
Engle, Robert F.
-
2017
for conditional heteroskedasticity; a favored model is Dynamic Conditional
Correlation
(DCC), derived from the ARCH …
Persistent link: https://www.econbiz.de/10012968636
Saved in:
3
Fitting vast dimensional time-varying covariance models
Pakel, Cavit
;
Shephard, Neil G.
;
Sheppard, Kevin
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 652-668
Persistent link: https://www.econbiz.de/10012588005
Saved in:
4
The Factor-Spline-GARCH Model for High- and Low-Frequency Correlations
Rangel, Jose Gonzalo
-
2013
that characterize long-term
correlation
patterns. We associate such term behavior with low-frequency economic variables … improves both the empirical fit of equity correlations in the U.S. and
correlation
forecasts at long horizons …
Persistent link: https://www.econbiz.de/10013093890
Saved in:
5
Capital shortfall : a new approach to ranking and regulating systemic risks
Acharya, Viral V.
;
Engle, Robert F.
;
Richardson, Matthew
- In:
The American economic review
102
(
2012
)
3
,
pp. 59-64
Persistent link: https://www.econbiz.de/10009705301
Saved in:
6
Correlations and volatilities of asynchronous data
Burns, Patrick
;
Engle, Robert F.
;
Mezrich, Joseph
-
1997
Persistent link: https://www.econbiz.de/10000979045
Saved in:
7
Correlations and volatilities of asynchronous data
Burns, Patrick
;
Engle, Robert F.
;
Mezrich, Joseph
-
1998
Persistent link: https://www.econbiz.de/10000988769
Saved in:
8
Large dynamic covariance matrices
Engle, Robert F.
;
Ledoit, Olivier
;
Wolf, Michael
-
2017
-
Revised version
for conditional heteroskedasticity; a favored model is Dynamic Conditional
Correlation
(DCC), derived from the ARCH …
Persistent link: https://www.econbiz.de/10011640555
Saved in:
9
Large dynamic covariance matrices
Engle, Robert F.
;
Ledoit, Olivier
;
Wolf, Michael
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
2
,
pp. 363-375
Persistent link: https://www.econbiz.de/10012178181
Saved in:
10
Large dynamic covariance matrices
Engle, Robert F.
;
Ledoit, Olivier
;
Wolf, Michael
-
2016
for conditional heteroskedasticity; a favored model is Dynamic Conditional
Correlation
(DCC), derived from the ARCH …
Persistent link: https://www.econbiz.de/10011518597
Saved in:
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