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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
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A GARCH option pricing model with filtered historical simulation
Barone-Adesi, Giovanni; Engle, Robert F.; Mancini, Loriano - In: The review of financial studies 21 (2008) 3, pp. 1223-1258
Persistent link: https://www.econbiz.de/10003742228
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ARCH/GARCH models in applied financial econometrics
Engle, Robert F.; Focardi, Sergio; Fabozzi, Frank J. - 2008
Persistent link: https://www.econbiz.de/10003765831
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Non-cointegration and econometric evaluation of models of regional shift and share
Brown, Scott James; Coulson, N. Edward; Engle, Robert F. - 1990
Persistent link: https://www.econbiz.de/10000786474
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A long-run pure variance common features model for the common volatilities of the Dow Jones
Engle, Robert F.; Marcucci, Juri - In: Journal of econometrics 132 (2006) 1, pp. 7-42
Persistent link: https://www.econbiz.de/10003320235
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Premiums-discounts and exchange traded funds
Engle, Robert F.; Sarkar, Debojyoti - In: The journal of derivatives : the official publication … 13 (2006) 4, pp. 27-45
Persistent link: https://www.econbiz.de/10003346500
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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
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Execution risk
Engle, Robert F.; Ferstenberg, Robert - 2006
Persistent link: https://www.econbiz.de/10003316915
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Testing and valuing dynamic correlations for asset allocation
Engle, Robert F.; Colacito, Riccardo - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 2, pp. 238-253
Persistent link: https://www.econbiz.de/10003317174
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Fitting vast dimensional time-varying covariance models
Engle, Robert F.; Shephard, Neil G.; Sheppard, Kevin - 2008
Persistent link: https://www.econbiz.de/10003807446