Access Statistics for Robert F. Engle

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Disequilibrium Model of Regional Investment 0 0 0 0 0 1 4 155
A GARCH Option Pricing Model in Incomplete Markets 6 17 76 76 10 30 130 130
A Long Memory Property of Stock Market Returns and a New Model 0 0 0 8 13 56 218 1,354
A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets 1 5 6 6 5 21 25 25
A Model for Multivariate Non-negative Valued Processes in Financial Econometrics 2 12 37 37 6 29 45 45
A Multiple Indicators Model For Volatility Using Intra-Daily Data 4 13 53 222 12 41 123 491
A Multiple Indicators Model for Volatility Using Intra-Daily Data 2 10 30 426 4 21 77 846
A Permanent and Transitory Component Model of Stock Return Volatility 16 49 172 835 21 78 285 1,272
A Supply Function Model of Aggregate Investment 0 0 0 0 4 11 28 167
A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts 1 4 33 445 4 27 146 1,086
A general Approach to the Construction of Model Diagnostics based upon the Lagrange Multiplier Principle 0 0 0 0 0 3 6 6
ARCH Models 11 43 233 2,204 20 95 644 3,423
Arbitrage Valuation of Variance Forecasts with Simulated Options 0 0 0 0 2 13 35 244
Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills 5 13 71 245 7 22 126 935
Asymmetric dynamics in the correlations of global equity and bond returns 4 14 57 537 18 42 137 1,089
Autobiography 0 5 6 6 0 7 9 9
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Time Series Data 0 0 0 3 4 13 56 354
Band Spectrum Regressions 0 0 0 0 3 9 28 188
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles 3 17 91 663 6 27 175 1,063
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles 4 24 119 918 14 50 255 1,881
CAViaR: Conditional Value at Risk by Quantile Regression 9 32 165 965 20 64 348 2,252
COINTEGRATED ECONOMIC TIME SERIES: A SURVEY WITH NEW RESULTS 0 0 0 2 3 24 76 470
Common Seasonal Features: Global Unemployment 0 3 10 116 3 9 21 391
Common Seasonal Features: Global Unemployment 1 7 18 619 9 32 111 4,529
Common Trends and Common Cycles 0 0 0 2 2 4 38 356
Common Trends and Common Cycles in Latin America 0 0 0 3 1 4 18 195
Common Volatility in International Equity Markets 0 0 0 1 6 10 35 242
Conditional Volatility of Exchange Rates Under a Target Zone 2 4 8 164 7 10 21 343
Correlations and Volatilities of Asynchronous Data 3 11 49 404 5 18 91 812
De Facto Discrimination in Residential Assessments: Boston 0 0 0 0 19 38 170 1,188
Do Bulls and Bears Move Acoross Borders: International Transimission of Stock Returns and Volatility as the World Turns 0 0 0 1 5 10 34 231
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns 0 0 0 0 3 8 17 173
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns 0 0 0 63 0 0 12 337
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns 2 6 16 129 7 20 58 657
Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models 3 19 70 805 9 35 134 1,344
Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model 4 5 23 357 5 14 59 741
Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model 2 6 16 185 2 13 41 427
Empirical Pricing Kernels 4 11 39 383 7 21 71 811
Estimating Diffusion Models of Stochastic Volatility 0 0 0 0 3 13 37 258
Estimating Sectoral Cycles Using Cointegration and Common Features 0 0 0 0 0 4 15 65
Estimating Sectoral Cycles Using Cointegration and Common Features 0 5 16 79 1 8 33 308
Estimating Sectoral Cycles Using Cointegration and Common Features 0 0 0 0 0 4 12 100
Estimation of the Price Elasticity of Demand Facing Metropolitan Producers 0 0 0 0 2 7 35 485
Execution Risk 4 9 49 175 9 25 112 368
Exogeneity 0 0 0 0 6 12 17 17
Forecasting Transaction Rates: The Autoregressive Conditional Duration Model 5 15 43 361 10 38 109 824
Forecasting Volatility and Option Prices of the S&P 500 Index 10 37 164 1,126 25 63 274 2,053
Forecasting the Frequency of Changes in Quoted Foreign Exchange Prices with the Autoregressive Conditional Duration Model 0 0 0 0 4 11 44 269
GARCH Gamma 4 18 51 962 7 37 127 2,497
GARCH Gamma 0 0 0 2 3 14 47 286
GARCH Options in Incomplete Markets 2 10 33 34 4 19 66 70
HIGH FREQUENCY MULTIPLICATIVE COMPONENT GARCH 3 6 43 206 8 23 101 405
Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models 2 6 29 667 5 15 78 1,700
Hourly Volatility Spillovers Between International Equity Markets 0 0 0 0 1 9 39 199
Impacts of Trades in an Error-Correction Model of Quote Prices 1 6 40 433 5 22 99 1,032
Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts 0 2 14 189 1 5 28 381
Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts 2 4 20 221 3 15 58 541
Interpreting Spectral Analyses in Terms of Time-Domain Models 1 1 4 105 3 5 16 557
Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III 0 4 5 5 3 14 21 21
Issues in the Specification of an Econometric Model of Metropolitan Growth 0 0 0 0 1 4 29 133
Long Run Volatility Forecasting for Individual Stocks in a One Factor Model 3 11 38 355 7 22 80 714
METEOR SHOWERS OR HEAT WAGES? HETEROSKEDASTIC INTRA-DAILY VOLATILITY IN A THE FOREIGN EXCHANGE MARKET 0 0 0 0 1 5 23 366
Macroeconomic Announcements and Volatility of Treasury Futures 2 10 51 429 9 25 124 1,006
Measuring Risk Aversion From Excess Returns on a Stock Index 2 6 47 202 10 27 148 520
Measuring and Testing the Impact of News on Volatility 23 59 203 841 32 99 356 1,302
Measuring and Testing the Impact of News on Volatility Download paper: PDF 5 9 36 317 8 14 50 462
Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market 3 10 28 426 3 15 57 770
Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market 3 7 33 338 7 19 70 809
Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market 1 3 23 90 1 10 60 267
Modeling a Time-Varying Order Statistic 0 4 16 246 1 11 52 878
Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market 0 8 34 476 3 19 100 1,322
Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market 0 3 19 325 1 10 54 1,131
Multivariate Simultaneous Generalized ARCH 23 71 307 1,963 30 98 413 2,416
Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share 0 0 5 100 0 5 14 226
Non-Synchronous Common Cycles 1 2 4 89 1 3 15 172
Option Hedging Using Empirical Pricing Kernels 6 9 29 356 17 37 124 1,093
Option Hedging Using Empirical Pricing Kernels 2 2 9 354 2 8 28 1,016
Risk and Volatility: Econometric Models and Financial Practice 4 19 27 27 5 25 38 38
SEASONAL COINTEGRATION: THE JAPANESE CONSUMPTION FUNCTION 0 0 0 0 14 46 171 712
SEASONAL INTEGRATION AND COINTEGRATION 0 0 0 2 8 19 108 932
SEASONAL, INTEGRATION AND COINTEGRATION 0 0 0 2 4 15 90 868
Semiparametric Arch Models 0 0 0 3 6 12 30 421
Short-Run Forecasts of Electricity Loads and Peaks 0 0 0 3 3 13 54 347
Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area 0 0 0 0 2 3 13 265
Some Finite Sample Properties of Spectral Estimators of a Linear Regression 0 0 0 0 0 2 6 71
Statistical Models for Financial Volatility Download paper: PDF 8 24 103 540 13 42 158 746
Stochastic Permanent Breaks 0 2 16 157 3 9 39 322
TESTING SUPER EXOGENEITY AND INVARIANCE IN REGRESSION MODELS 0 0 0 1 0 7 44 149
Testing For Common Features 2 4 45 245 3 14 81 604
Testing Price Equations for Stability Across Frequencies 0 0 0 0 0 1 2 48
Testing for Common Featurs 0 0 0 0 2 14 61 258
Testing the Term Structure of Stochastic Volatility Models Using Option Hedging Performance Criteria 0 0 0 0 1 4 19 241
Testing the Volatility Term Structure Using Option Hedging Criteria 0 0 0 1 2 7 21 252
Testing the Volatility Term Structure using Option Hedging Criteria 5 12 33 450 12 36 126 1,100
The ACD Model: Predictability of the Time Between Concecutive Trades 7 12 27 27 11 24 59 59
The Econometrics of Ultra-High Frequency Data 9 21 104 939 14 40 173 1,970
The Econometrics of Ultra-High Frequency Data 10 38 158 778 14 51 218 1,157
The Inconsistency of Distributed Lag Estimators Due to Misspecification by Time Aggregation 0 0 0 0 0 1 9 71
The Specification of the Disturbance for Efficient Estimation 0 0 0 0 0 1 11 99
The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes 7 23 75 237 17 61 189 463
Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH 15 38 198 1,117 27 80 408 2,074
Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH 9 19 74 887 18 41 160 1,847
Time and the Price Impact of a Trade 5 19 92 609 12 50 210 1,218
Time-Varying Arrival Rates of Informed and Uninformed Trades 2 6 38 413 9 24 123 971
Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks 2 5 41 487 6 21 92 1,454
Time-Varying Volatility and the Dynamic Behavior of the Term Structure 0 0 0 0 0 3 12 114
Time-Varying Volatility and the Dynamic Behavior of the Term Structure 3 6 23 159 9 21 63 339
Trades and Quotes: A Bivariate Point Process 0 3 14 216 2 10 53 594
Valuation of Variance Forecast with Simulated Option Markets 0 2 8 43 5 18 48 168
Valuation of Variance Forecasts with Simulated Option Markets 0 0 0 1 0 3 9 95
Value at risk models in finance 9 24 98 1,593 16 42 189 2,792
Vector Multiplicative Error Models: Representation and Inference 2 9 33 65 5 28 77 136
Vector Multiplicative Error Models: Representation and Inference 0 3 18 44 0 9 42 105
Vector Multiplicative Error Models: Representation and Inference 0 3 14 31 5 14 53 94
Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination 1 5 12 39 4 35 119 311
Total Working Papers 297 964 4,042 31,418 755 2,570 10,450 80,806

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Capital Asset Pricing Model with Time-Varying Covariances 11 43 215 1,442 24 94 376 3,637
A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model 2 5 17 28 5 11 44 80
A dymimic model of housing price determination 5 13 55 96 6 21 107 190
A general approach to lagrange multiplier model diagnostics 6 11 31 57 11 19 82 150
A long memory property of stock market returns and a new model 33 78 289 1,151 58 141 448 1,935
A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones 2 4 16 50 3 10 32 105
A multi-dynamic-factor model for stock returns 6 23 75 265 8 36 127 430
A multiple indicators model for volatility using intra-daily data 1 5 30 94 4 15 62 202
Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models 6 16 53 112 8 23 80 175
An Asset Price Model of Aggregate Investment 1 1 3 30 3 4 23 110
An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government 0 0 0 19 1 2 25 137
Asset pricing with a factor-arch covariance structure: Empirical estimates for treasury bills 2 5 34 172 2 11 71 347
Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns 4 12 52 106 12 38 146 267
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data 0 0 0 11 17 57 254 1,409
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 15 64 304 1,919 29 126 561 4,614
Band Spectrum Regression 3 12 35 172 4 15 63 407
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 3 4 11 71
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles 4 16 68 102 5 25 125 186
Co-integration and Error Correction: Representation, Estimation, and Testing 97 342 1,223 5,377 175 581 2,040 10,837
Codependent cycles 1 2 14 109 3 7 46 583
Combining competing forecasts of inflation using a bivariate arch model 4 5 15 35 6 11 36 82
Comment 0 0 0 0 0 0 1 1
Common Persistence in Conditional Variances 3 7 25 271 7 17 51 597
Common Seasonal Features: Global Unemployment 0 0 0 0 0 3 24 215
Common Trends and Common Cycles 7 14 70 430 24 49 199 1,219
Common Volatility in International Equity Markets 0 0 0 0 4 11 50 425
Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment 0 0 0 8 1 3 6 60
Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility 3 9 28 180 6 22 88 580
Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models 0 0 0 0 14 41 185 1,129
Empirical pricing kernels 0 4 23 178 1 11 47 349
Estimates of the Variance of U.S. Inflation Based upon the ARCH Model 7 13 25 227 10 20 56 550
Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: Reply 0 0 3 37 1 3 8 149
Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model 25 38 120 878 37 78 236 2,100
Estimating common sectoral cycles 0 0 5 41 0 2 19 121
Estimation of the price elasticity of demand facing metropolitan producers 0 2 5 13 0 3 16 37
Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions 1 1 4 40 1 1 11 129
Exogeneity 0 7 58 516 3 27 200 1,534
Financial econometrics - A new discipline with new methods 1 2 6 111 4 7 14 234
Forecasting and testing in co-integrated systems 13 49 178 339 27 80 286 568
Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model 0 3 27 139 3 10 54 262
GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics 33 105 486 3,052 70 240 1,056 5,815
Hourly volatility spillovers between international equity markets 3 10 36 138 10 29 90 269
Impacts of trades in an error-correction model of quote prices 5 8 22 156 9 20 54 363
Implied ARCH models from options prices 8 18 72 280 19 40 150 538
Issues in the specification of an econometric model of metropolitan growth 1 4 7 11 1 5 15 35
Measuring and Testing the Impact of News on Volatility 7 29 108 429 17 59 236 838
Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting 3 10 39 67 7 26 80 151
Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market 2 8 41 222 6 19 105 712
Modelling the persistence of conditional variances 13 51 172 176 18 69 254 261
New frontiers for arch models 3 4 47 442 7 15 106 1,153
On the determination of regional base and regional base multipliers 2 2 5 30 2 2 10 61
On the theory of growth controls 0 0 7 28 0 2 15 58
Predicting VNET: A model of the dynamics of market depth 4 12 31 139 8 22 64 259
Reply 0 0 0 0 7 8 19 19
Residential load curves and time-of-day pricing: An econometric analysis 3 8 32 56 8 34 97 173
Risk and Volatility: Econometric Models and Financial Practice 8 22 77 944 12 42 214 1,907
Seasonal integration and cointegration 7 23 135 650 11 46 215 1,113
Semiparametric ARCH Models 0 0 0 0 10 19 59 635
Shorte-run forecasts of electricity loads and peaks 2 7 25 116 4 12 45 230
Small-Sample Properties of ARCH Estimators and Tests 1 3 4 4 2 6 24 233
Some Finite Sample Properties of Spectral Estimators of a Linear Regression 1 1 2 24 1 2 7 103
Specification of the Disturbance for Efficient Estimation 0 0 0 10 0 2 6 62
Stochastic Permanent Breaks 3 5 9 81 5 11 29 328
Stock Volatility and the Crash of '87: Discussion 1 2 7 53 2 3 11 130
Testing Price Equations for Stability across Spectral Frequency Bands 0 2 5 21 0 4 12 117
Testing and Valuing Dynamic Correlations for Asset Allocation 4 11 55 72 7 21 89 129
Testing for Common Features 0 0 0 0 8 32 150 898
Testing for Common Features: Reply 0 0 0 0 3 6 26 148
Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative 0 1 11 78 2 7 39 334
Testing superexogeneity and invariance in regression models 3 6 30 107 3 8 47 200
The Econometrics of Ultra-High Frequency Data 0 0 0 6 34 121 455 2,125
The Japanese consumption function 1 3 20 56 3 9 53 168
The econometrics of macroeconomics, finance, and the interface 6 11 59 261 9 20 121 479
Time and the Price Impact of a Trade 1 8 28 99 4 21 79 237
Time-Varying Volatility and the Dynamic Behavior of the Term Structure 2 4 16 131 3 9 29 330
Trades and Quotes: A Bivariate Point Process 0 0 0 0 4 14 54 109
Transportation costs and the rent gradient 2 5 15 40 3 8 44 119
Where does the meteor shower come from?: The role of stochastic policy coordination 1 2 5 18 1 7 52 165
Total Journal Articles 393 1,191 4,714 22,752 850 2,659 10,521 57,217

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Arch models 15 53 190 540 27 104 461 1,071
Wald, likelihood ratio, and Lagrange multiplier tests in econometrics 4 22 126 344 12 43 221 642
Total Chapters 19 75 316 884 39 147 682 1,713

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