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Asset pricing puzzles : evidence from options markets

Rosenberg, Joshua V. - 1999

Persistent link: https://www.econbiz.de/10001447932

Semiparametric pricing of multivariate contingent claims

Rosenberg, Joshua V. - 1999

Persistent link: https://www.econbiz.de/10001447974

Empirical tests of interest rate model pricing kernels

Rosenberg, Joshua V. - 1999

Persistent link: https://www.econbiz.de/10001447985

The econometrics of ultra-high frequency data

Engle, Robert F. - 1996

Persistent link: https://www.econbiz.de/10000613076

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

CAViaR : conditional autoregressive value-at-risk by regression quantiles

Engle, Robert F. - 2001

Persistent link: https://www.econbiz.de/10001633554

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

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

Common trends and common cycles in Latin America

Engle, Robert F.; Issler, João Victor - 1993

Persistent link: https://www.econbiz.de/10000862856

Common trends and common cycles

Vahid, Farshid; Engle, Robert F. - 1992

Persistent link: https://www.econbiz.de/10000841625