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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

How to forecast a crisis

Engle, Robert F. - In: The journal of portfolio management : a publication of … 36 (2009/10) 3, pp. 1

Persistent link: https://www.econbiz.de/10009520395

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

Common volatility in international equity markets

Engle, Robert F.; Susmel, Raul - 1992

Persistent link: https://www.econbiz.de/10000841634

Common seasonal features : global unemployment

Engle, Robert F.; Hylleberg, Svend - 1996

Persistent link: https://www.econbiz.de/10000954382

The spline-GARCH model for low-frequency volatility and its global macroeconomic causes

Engle, Robert F.; Rangel, Jose Gonzalo - In: The review of financial studies 21 (2008) 3, pp. 1187-1222

Persistent link: https://www.econbiz.de/10003742225

The spline GARCH model for unconditional volatility and its global macroeconomic causes

Engle, Robert F.; Rangel, Jose Gonzalo - 2005

Persistent link: https://www.econbiz.de/10003331373

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

Common seasonal features : global unemployment

Engle, Robert F.; Hylleberg, Svend - 1996

Persistent link: https://www.econbiz.de/10000952121

Systemic Risk 10 Years Later

Engle, Robert F. - 2018

Ten years ago, the financial crisis spurred research focused on systemic risk. This article examines the history and application of the SRISK measure, which was developed at that time and is now widely used in monitoring systemic risk around the globe. The concept is explained and a variety of...

Persistent link: https://www.econbiz.de/10012908348