Narrow search
Showing 1 - 10 of 53
Cover Image
The econometrics of ultra-high frequency data
Engle, Robert F. - 1996
Persistent link: https://www.econbiz.de/10000613076
Cover Image
Reminiscing on the 1984 NSF-NBER time series meeting at UC Davis
Engle, Robert F. - In: Journal of financial econometrics : official journal of … 8 (2010) 2, pp. 158-159
Persistent link: https://www.econbiz.de/10008652248
Cover Image
CAViaR : conditional autoregressive value-at-risk by regression quantiles
Engle, Robert F. - 2001
Persistent link: https://www.econbiz.de/10001633554
Cover Image
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
Cover Image
The Econometrics of Ultra-High Frequency Data
Engle, Robert F. - 1996
Ultra-high frequency data are complete transactions data which inherently arrive at random times. Marked point processes provide a theoretical framework for analysis of such data sets. The ACD model developed by Engle and Russell (1995) is then applied to IBM transactions data to develop...
Persistent link: https://www.econbiz.de/10012473012
Cover Image
Common trends and common cycles in Latin America
Engle, Robert F.; Issler, João Victor - 1993
Persistent link: https://www.econbiz.de/10000862856
Cover Image
Common trends and common cycles
Vahid, Farshid; Engle, Robert F. - 1992
Persistent link: https://www.econbiz.de/10000841625
Cover Image
Multivariate simultaneous generalized ARCH
Engle, Robert F.; Kroner, Kenneth F. - 1993 - Rev
Persistent link: https://www.econbiz.de/10000878056
Cover Image
Arch models
Bollerslev, Tim; Engle, Robert F.; Nelson, Daniel B. - 1993
Persistent link: https://www.econbiz.de/10000878183
Cover Image
Forecasting transaction rates : the autoregressive conditional duration model
Engle, Robert F.; Russell, Jeffrey R. - 1994
Persistent link: https://www.econbiz.de/10000147454