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Hedging options in GARCH environment : testing the term structure of stochastic volatility models

Engle, Robert F.; Rosenberg, Joshua V. - 1994

Persistent link: https://www.econbiz.de/10000147446

Forecasting transaction rates : the autoregressive conditional duration model

Engle, Robert F.; Russell, Jeffrey R. - 1994

Persistent link: https://www.econbiz.de/10000147454

Long-run economic relationships : readings in cointegration

Engle, Roger F. (contributor); Engle, Robert F. (ed.) - 1991

Persistent link: https://www.econbiz.de/10000330850

Handbook of econometrics ; Vol. 4

Engle, Robert F. (contributor); McFadden, Daniel (contributor) - 1994

Persistent link: https://www.econbiz.de/10000532863

Measuring, forecasting and explaining time varying liquidity in the stock market

Engle, Robert F.; Lange, Joe - 1997

Persistent link: https://www.econbiz.de/10000637524

Option hedging using empirical pricing kernels

Rosenberg, Joshua V.; Engle, Robert F. - 1997

Persistent link: https://www.econbiz.de/10000643460

Interpreting spectral analyses in terms of time-domain models

Engle, Robert F. - 1974

Persistent link: https://www.econbiz.de/10000646437

Large dynamic covariance matrices: Enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2021

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/10012588495

Common seasonal features : global unemployment

Engle, Robert F.; Hylleberg, Svend - 1996

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

Conditional volatility of exchange rates under a target zone

Engle, Robert F. - 1997

Persistent link: https://www.econbiz.de/10000958487