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Engle, Robert F.; Jondeau, Eric; Rockinger, Michael - In: Review of finance : journal of the European Finance … 19 (2015) 1, pp. 145-190

Persistent link: https://www.econbiz.de/10011343055

Testing macroprudential stress tests : the risk of regulatory risk weights

Acharya, Viral V.; Engle, Robert F.; Pierret, Diane - 2013

Persistent link: https://www.econbiz.de/10009745648

Measuring and modeling execution cost and risk

Engle, Robert F.; Ferstenberg, Robert; Russell, Jeffrey R. - In: The journal of portfolio management : a publication of … 38 (2012) 2, pp. 14-28

Persistent link: https://www.econbiz.de/10009669872

Capital shortfall : a new approach to ranking and regulating systemic risks

Acharya, Viral V.; Engle, Robert F.; Richardson, Matthew - In: The American economic review 102 (2012) 3, pp. 59-64

Persistent link: https://www.econbiz.de/10009705301

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