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Engle, Robert F.; Giglio, Stefano; Kelly, Bryan T.; … - 2019

Persistent link: https://www.econbiz.de/10012015507

Engle, Robert F.; Giglio, Stefano; Lee, Heebum; Kelly, … - 2019 - This version: May 7, 2019

We propose and implement a procedure to dynamically hedge climate change risk. We extract innovations from climate news series that we construct through textual analysis of newspapers. We then use a mimicking portfolio approach to build climate change hedge portfolios. We discipline the exercise...

Persistent link: https://www.econbiz.de/10012024377

Hedging climate change news

Engle, Robert F.; Giglio, Stefano; Kelly, Bryan T.; … - In: The review of financial studies 33 (2020) 3, pp. 1184-1216

Persistent link: https://www.econbiz.de/10012198087

Systemic risk 10 years later

Engle, Robert F. - In: Annual review of financial economics 10 (2018), pp. 125-152

Persistent link: https://www.econbiz.de/10011959790

Comment on: "Testing macroprudential stress tests : the risk of regulatory risk weights"

Lucas, Deborah J. - In: Journal of monetary economics 65 (2014), pp. 54-56

Persistent link: https://www.econbiz.de/10010485269

CAViaR : conditional value at risk by quantile regression

Engle, Robert F.; Manganelli, Simone - 1999

Persistent link: https://www.econbiz.de/10001415135

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

The risk that risk will change

Engle, Robert F. - In: Journal of investment management : JOIM 7 (2009) 4, pp. 24-28

Persistent link: https://www.econbiz.de/10003940011

Measuring and modeling execution cost and risk

Engle, Robert F.; Ferstenberg, Robert; Russell, Jeffrey R. - In: The journal of portfolio management : a publication of … 38 (2012) 2, pp. 14-28

Persistent link: https://www.econbiz.de/10009669872

Long-term skewness and systemic risk

Engle, Robert F. - In: Journal of financial econometrics : official journal of … 9 (2011) 3, pp. 437-468

Persistent link: https://www.econbiz.de/10009407870