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~person:"Engle, Robert F."
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Engle, Robert F.
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ECONIS (ZBW)
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EconStor
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1
Dynamic conditional
beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
Saved in:
2
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
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
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:
7
Hedging
climate change news
Engle, Robert F.
;
Giglio, Stefano
;
Kelly, Bryan T.
; …
-
2019
Persistent link: https://www.econbiz.de/10012015507
Saved in:
8
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
Saved in:
9
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
-
2022
-
This version: January 2022
recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage
estimation
of the …
Persistent link: https://www.econbiz.de/10013040932
Saved in:
10
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 …
Persistent link: https://www.econbiz.de/10012584099
Saved in:
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