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Stochastic permanent breaks
Engle, Robert F.; Smith, Aaron D. - 1998
Persistent link: https://www.econbiz.de/10000983276
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Trades and quotes : a bivariate point process
Engle, Robert F.; Lunde, Asger - 1998
Persistent link: https://www.econbiz.de/10000983784
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Econometric analysis of discrete-valued irregulary-spaced financial transactions data using a new autoregressive conditional multinominal model
Russell, Jeffrey R.; Engle, Robert F. - 1998
Persistent link: https://www.econbiz.de/10000988764
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Correlations and volatilities of asynchronous data
Burns, Patrick; Engle, Robert F.; Mezrich, Joseph - 1998
Persistent link: https://www.econbiz.de/10000988769
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Modelling the persistence of conditional variances
Engle, Robert F. - In: Econometric reviews 5 (1986) 1, pp. 1-50
Persistent link: https://www.econbiz.de/10001016525
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Estimating time varying risk premia in the term structure : the ARCH-M model
Engle, Robert F. - In: Econometrica : journal of the Econometric Society, an … 55 (1987) 2, pp. 391-407
Persistent link: https://www.econbiz.de/10001020996
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Co-integration and error correction : representation, estimation, and testing
Engle, Robert F. - In: Econometrica : journal of the Econometric Society, an … 55 (1987) 2, pp. 251-275
Persistent link: https://www.econbiz.de/10001021003
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Wald, Likelihood Ratio, and Lagrange Multiplier tests in econometrics
Engle, Robert F. - 1992
Persistent link: https://www.econbiz.de/10001327472
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ARCH models
Bollerslev, Tim; Engle, Robert F.; Nelson, Daniel B. - 1994
Persistent link: https://www.econbiz.de/10001327597
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Modeling the impacts of market activity on bid-ask spreads in the option market
Cho, Young-hye; Engle, Robert F. - 1999
Persistent link: https://www.econbiz.de/10001415115