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Valuation of variance forecasts with simulated option markets

Engle, Robert F.; Hong, Che-hsiung T.; Kane, Alex - 1990

Persistent link: https://www.econbiz.de/10000790825

Modelling peak electricity demand

Engle, Robert F. - In: Journal of forecasting 11 (1992) 3, pp. 241-251

Persistent link: https://www.econbiz.de/10001136583

Common persistence in conditional variances

Bollerslev, Tim - In: Econometrica : journal of the Econometric Society, an … 61 (1993) 1, pp. 167-186

Persistent link: https://www.econbiz.de/10001139697

Common volatility in international equity markets

Engle, Robert F. - In: Journal of business & economic statistics : JBES ; a … 11 (1993) 2, pp. 167-176

Persistent link: https://www.econbiz.de/10001142130

GARCH gamma

Engle, Robert F. - 1995

Persistent link: https://www.econbiz.de/10000911609

GARCH gamma

Engle, Robert F.; Rosenberg, Joshua V. - 1995

Persistent link: https://www.econbiz.de/10000915837

ARCH models in finance

Engle, Robert F. (contributor) - In: Journal of econometrics 52 (1992) 1, pp. 1-311

Persistent link: https://www.econbiz.de/10001121076

Priced risk and asymmetric volatility in the cross section of skewness

Engle, Robert F.; Mistry, Abhishek - In: Journal of econometrics 182 (2014) 1, pp. 135-144

Persistent link: https://www.econbiz.de/10010497106

Handbook of econometrics : volume 4

Engle, Robert F. (contributor); McFadden, Daniel (contributor) - 1986

Persistent link: https://www.econbiz.de/10011293289

Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022

Multivariate GARCH models do not perform well in large dimensions due to the so-called curse of dimensionality. The recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this paper, we show how...

Persistent link: https://www.econbiz.de/10013040932