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Dynamic conditional beta is alive and well in the cross-section of daily stock returns
Bali, Turan G.; Engle, Robert F.; Tang, Yi - 2013 - This draft: October 8, 2012
This paper investigates the significance of dynamic conditional beta in predicting the cross-sectional variation in expected stock returns. The results indicate that the time-varying conditional beta is alive and well in the cross-section of daily stock returns. Portfolio-level analyses and...
Persistent link: https://www.econbiz.de/10009710605
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Empirical asset pricing : the cross section of stock returns
Bali, Turan G.; Engle, Robert F.; Murray, Scott - 2016
Persistent link: https://www.econbiz.de/10011449277
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Dynamic conditional beta is alive and well in the cross section of daily stock returns
Bali, Turan G.; Engle, Robert F.; Tang, Yi - In: Management science : journal of the Institute for … 63 (2017) 11, pp. 3760-3779
Persistent link: https://www.econbiz.de/10011772757
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Volatility and time series econometrics : essays in honor of Robert Engle
Bollerslev, Tim (ed.); Engle, Robert F. (honouree);  … - 2010 - 1. publ.
Persistent link: https://www.econbiz.de/10003861657
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The Nobel memorial prize for Robert Engle
Diebold, Francis X. (contributor); Engle, Robert F. (honouree) - 2004
Persistent link: https://www.econbiz.de/10003229527
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Zeitabhängige Volatilität und instationäre Zeitreihen : zum Nobelpreis an Robert F. Engle und Clive W. J. Granger
Hassler, Uwe - In: Wirtschaftsdienst : Zeitschrift für Wirtschaftspolitik 83 (2003) 12, pp. 811-816
Persistent link: https://www.econbiz.de/10001858207
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Modeling commodity prices with dynamic conditional beta
Engle, Robert F. - In: Essays in nonlinear time series econometrics, (pp. 269-287). 2014
Persistent link: https://www.econbiz.de/10010385842
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Dynamic conditional correlation : a simple class of multivariate generalized autoregressive conditional heteroskedasticity models
Engle, Robert F. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 339-350
Persistent link: https://www.econbiz.de/10001695066
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GARCH 101: the use of ARCH/GARCH models in applied econometrics
Engle, Robert F. - In: The journal of economic perspectives : EP ; a journal … 15 (2001) 4, pp. 157-168
Persistent link: https://www.econbiz.de/10001639344
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New frontiers for ARCH models
Engle, Robert F. - In: Journal of applied econometrics 17 (2002) 5, pp. 425-446
Persistent link: https://www.econbiz.de/10001709309