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 1 1 4 158
A GARCH Option Pricing Model in Incomplete Markets 5 12 65 124 8 19 104 204
A Long Memory Property of Stock Market Returns and a New Model 0 0 0 8 17 70 229 1,527
A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets 2 15 49 50 4 23 101 105
A Model for Multivariate Non-negative Valued Processes in Financial Econometrics 4 13 50 75 4 16 85 101
A Multiple Indicators Model For Volatility Using Intra-Daily Data 0 8 40 249 3 17 117 567
A Multiple Indicators Model for Volatility Using Intra-Daily Data 0 5 31 447 4 16 76 901
A Permanent and Transitory Component Model of Stock Return Volatility 34 71 195 981 44 103 292 1,486
A Supply Function Model of Aggregate Investment 0 0 0 0 2 12 34 190
A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts 2 11 32 473 9 30 122 1,181
A general Approach to the Construction of Model Diagnostics based upon the Lagrange Multiplier Principle 0 0 0 0 1 5 12 15
ARCH Models 17 53 164 2,325 35 140 454 3,782
Arbitrage Valuation of Variance Forecasts with Simulated Options 0 0 0 0 2 12 38 269
Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills 7 15 58 290 9 29 99 1,012
Asymmetric dynamics in the correlations of global equity and bond returns 5 20 68 591 15 50 161 1,208
Autobiography 1 3 12 13 1 3 17 19
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Time Series Data 0 0 0 3 7 21 57 398
Band Spectrum Regressions 0 0 0 0 1 3 24 203
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles 14 29 86 732 21 52 170 1,206
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles 4 13 28 28 9 22 46 46
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles 13 37 118 1,012 27 76 238 2,069
CAViaR: Conditional Value at Risk by Quantile Regression 13 41 136 1,069 28 87 267 2,455
COINTEGRATED ECONOMIC TIME SERIES: A SURVEY WITH NEW RESULTS 0 0 0 2 10 28 99 545
Common Seasonal Features: Global Unemployment 0 2 10 123 0 8 32 414
Common Seasonal Features: Global Unemployment 0 2 17 629 0 4 81 4,578
Common Trends and Common Cycles 0 0 0 2 2 5 30 382
Common Trends and Common Cycles in Latin America 0 0 0 3 1 10 22 213
Common Volatility in International Equity Markets 0 0 0 1 5 23 102 334
Conditional Volatility of Exchange Rates Under a Target Zone 0 0 6 166 0 4 31 364
Correlations and Volatilities of Asynchronous Data 3 17 55 448 6 25 92 886
De Facto Discrimination in Residential Assessments: Boston 0 0 0 0 5 15 123 1,273
Do Bulls and Bears Move Acoross Borders: International Transimission of Stock Returns and Volatility as the World Turns 0 0 0 1 3 7 28 249
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns 0 0 0 0 1 4 20 185
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns 0 0 0 63 0 3 9 346
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns 2 10 21 144 8 25 60 697
Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models 10 35 95 881 21 58 166 1,475
Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model 0 2 18 370 3 8 45 772
Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model 2 4 6 6 4 7 13 13
Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model 0 1 7 186 5 9 27 441
Empirical Pricing Kernels 2 8 42 414 5 22 78 868
Estimating Diffusion Models of Stochastic Volatility 0 0 0 0 5 8 38 283
Estimating Sectoral Cycles Using Cointegration and Common Features 0 0 0 0 0 2 14 75
Estimating Sectoral Cycles Using Cointegration and Common Features 2 8 18 92 6 14 36 336
Estimating Sectoral Cycles Using Cointegration and Common Features 0 0 0 0 5 5 13 109
Estimation of the Price Elasticity of Demand Facing Metropolitan Producers 0 0 0 0 3 14 35 513
Execution Risk 6 17 38 204 10 35 90 433
Exogeneity 0 0 0 0 4 21 67 72
Fitting vast dimensional time-varying covariance models 5 20 73 73 10 36 105 105
Fitting vast dimensional time-varying covariance models 2 7 67 67 6 19 61 61
Forecasting Transaction Rates: The Autoregressive Conditional Duration Model 5 10 42 388 11 26 94 880
Forecasting Volatility and Option Prices of the S&P 500 Index 19 45 158 1,247 23 68 275 2,265
Forecasting the Frequency of Changes in Quoted Foreign Exchange Prices with the Autoregressive Conditional Duration Model 0 0 0 0 2 7 40 298
GARCH Gamma 4 13 57 1,001 7 31 136 2,596
GARCH Gamma 0 0 0 2 5 13 50 322
GARCH Options in Incomplete Markets 1 6 36 60 1 8 63 114
HIGH FREQUENCY MULTIPLICATIVE COMPONENT GARCH 4 7 31 231 6 16 77 459
Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models 3 8 30 691 6 18 66 1,751
Hourly Volatility Spillovers Between International Equity Markets 0 0 0 0 4 13 34 224
Impacts of Trades in an Error-Correction Model of Quote Prices 1 6 28 455 1 14 66 1,076
Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts 0 1 8 195 1 2 16 392
Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts 3 8 26 243 9 25 76 602
Interpreting Spectral Analyses in Terms of Time-Domain Models 1 3 6 110 2 7 19 571
Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III 2 4 19 20 5 13 52 59
Issues in the Specification of an Econometric Model of Metropolitan Growth 0 0 0 0 4 19 41 170
Long Run Volatility Forecasting for Individual Stocks in a One Factor Model 4 13 44 388 12 28 100 792
METEOR SHOWERS OR HEAT WAGES? HETEROSKEDASTIC INTRA-DAILY VOLATILITY IN A THE FOREIGN EXCHANGE MARKET 0 0 0 0 0 1 29 390
Macroeconomic Announcements and Volatility of Treasury Futures 0 2 7 7 0 3 15 15
Macroeconomic Announcements and Volatility of Treasury Futures 0 9 53 472 4 25 110 1,091
Measuring Risk Aversion From Excess Returns on a Stock Index 3 13 45 241 8 38 162 655
Measuring and Testing the Impact of News on Volatility 27 86 275 1,057 44 155 449 1,652
Measuring and Testing the Impact of News on Volatility Download paper: PDF 4 15 45 353 5 23 66 514
Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market 2 9 31 447 3 18 66 821
Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market 2 2 21 352 4 9 51 841
Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market 0 6 19 106 1 10 45 302
Modeling a Time-Varying Order Statistic 0 1 14 256 2 4 37 904
Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market 1 4 16 484 2 11 49 1,352
Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market 5 6 17 17 7 14 36 36
Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market 0 2 10 332 4 11 48 1,169
Multivariate Simultaneous Generalized ARCH 27 81 325 2,217 39 128 447 2,765
Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share 0 2 9 109 4 7 30 251
Non-Synchronous Common Cycles 1 3 9 96 2 4 15 184
Option Hedging Using Empirical Pricing Kernels 4 8 29 376 10 22 121 1,177
Option Hedging Using Empirical Pricing Kernels 0 2 9 361 0 8 26 1,034
Risk and Volatility: Econometric Models and Financial Practice 5 20 78 86 9 33 131 144
SEASONAL COINTEGRATION: THE JAPANESE CONSUMPTION FUNCTION 0 0 0 0 7 42 193 859
SEASONAL INTEGRATION AND COINTEGRATION 0 0 0 2 3 20 76 989
SEASONAL, INTEGRATION AND COINTEGRATION 0 0 0 2 0 16 62 915
Semiparametric Arch Models 0 0 0 3 1 9 43 452
Semiparametric vector MEM 5 9 18 18 5 12 14 14
Short-Run Forecasts of Electricity Loads and Peaks 0 0 0 3 5 13 52 386
Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area 0 0 0 0 1 3 12 274
Some Finite Sample Properties of Spectral Estimators of a Linear Regression 0 0 0 0 1 3 8 77
Statistical Models for Financial Volatility Download paper: PDF 6 28 98 614 13 43 164 868
Stochastic Permanent Breaks 0 2 11 166 2 9 33 346
Stochastic Permanent Breaks 0 2 2 2 0 5 6 6
TESTING SUPER EXOGENEITY AND INVARIANCE IN REGRESSION MODELS 0 0 0 1 7 16 42 184
Testing For Common Features 2 11 35 276 4 17 60 650
Testing Price Equations for Stability Across Frequencies 0 0 0 0 0 1 4 51
Testing for Common Featurs 0 0 0 0 2 4 34 278
Testing the Term Structure of Stochastic Volatility Models Using Option Hedging Performance Criteria 0 0 0 0 1 4 12 249
Testing the Volatility Term Structure Using Option Hedging Criteria 0 0 0 1 0 7 21 266
Testing the Volatility Term Structure using Option Hedging Criteria 2 6 43 481 8 31 125 1,189
The ACD Model: Predictability of the Time Between Concecutive Trades 6 10 42 57 13 28 88 123
The Econometrics of Ultra-High Frequency Data 14 36 103 1,021 21 56 171 2,101
The Econometrics of Ultra-High Frequency Data 14 26 133 873 20 49 192 1,298
The Factor-Spline-GARCH Model for High and Low Frequency Correlations 11 36 73 73 18 68 92 92
The Inconsistency of Distributed Lag Estimators Due to Misspecification by Time Aggregation 0 0 0 0 0 2 4 74
The Specification of the Disturbance for Efficient Estimation 0 0 0 0 0 0 2 100
The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes 6 28 86 300 15 57 212 614
Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH 11 39 165 1,244 26 84 348 2,342
Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH 12 33 90 958 24 78 200 2,006
Time and the Price Impact of a Trade 0 2 9 9 1 7 18 18
Time and the Price Impact of a Trade 3 15 70 660 12 38 170 1,338
Time-Varying Arrival Rates of Informed and Uninformed Trades 2 11 56 463 7 27 117 1,064
Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks 6 12 40 522 9 24 95 1,528
Time-Varying Volatility and the Dynamic Behavior of the Term Structure 0 0 0 0 0 4 9 120
Time-Varying Volatility and the Dynamic Behavior of the Term Structure 0 1 15 168 5 14 59 377
Trades and Quotes: A Bivariate Point Process 1 2 3 3 1 4 7 7
Trades and Quotes: A Bivariate Point Process 3 6 20 233 9 17 50 634
Valuation of Variance Forecast with Simulated Option Markets 4 7 9 50 7 21 60 210
Valuation of Variance Forecasts with Simulated Option Markets 0 0 0 1 1 5 9 101
Value at risk models in finance 8 31 103 1,672 19 66 214 2,964
Vector Multiplicative Error Models: Representation and Inference 2 8 28 84 16 34 103 211
Vector Multiplicative Error Models: Representation and Inference 1 3 12 53 3 8 32 128
Vector Multiplicative Error Models: Representation and Inference 2 4 17 45 3 6 45 125
Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination 0 3 14 48 15 37 136 412
Total Working Papers 404 1,245 4,397 34,851 932 3,047 10,796 89,032

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 38 94 225 1,624 59 163 449 3,992
A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model 2 4 21 44 6 12 50 119
A GARCH Option Pricing Model with Filtered Historical Simulation 2 10 36 36 5 20 73 73
A dymimic model of housing price determination 6 13 50 133 14 33 108 277
A general approach to lagrange multiplier model diagnostics 2 7 27 73 5 19 83 214
A long memory property of stock market returns and a new model 42 133 411 1,484 67 227 801 2,595
A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones 0 3 15 61 4 10 42 137
A multi-dynamic-factor model for stock returns 14 36 105 347 30 78 203 597
A multiple indicators model for volatility using intra-daily data 3 7 19 108 3 9 43 230
Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models 8 23 79 175 10 38 123 275
An Asset Price Model of Aggregate Investment 3 3 5 34 3 3 12 118
An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government 0 0 0 19 1 2 21 156
Asset pricing with a factor-arch covariance structure: Empirical estimates for treasury bills 3 5 25 192 4 12 63 399
Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns 6 15 61 155 18 46 157 386
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data 0 0 0 11 32 93 291 1,643
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 76 237 580 2,435 126 398 1,006 5,494
Band Spectrum Regression 6 16 57 217 8 28 105 497
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 4 10 77
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles 14 27 80 166 21 48 140 301
Co-integration and Error Correction: Representation, Estimation, and Testing 146 466 1,602 6,637 314 939 2,916 13,172
Codependent cycles 0 2 10 117 0 4 32 608
Combining competing forecasts of inflation using a bivariate arch model 6 11 26 56 10 21 53 124
Comment 0 1 1 1 0 1 2 3
Common Persistence in Conditional Variances 3 9 29 293 5 16 59 639
Common Seasonal Features: Global Unemployment 0 0 0 0 0 1 7 219
Common Trends and Common Cycles 3 14 81 497 16 61 302 1,472
Common Volatility in International Equity Markets 0 0 0 0 5 16 65 479
Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment 0 0 0 8 0 1 6 63
Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility 1 5 26 197 2 12 71 629
Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models 0 0 0 0 13 63 214 1,302
Empirical pricing kernels 2 8 38 212 10 23 74 412
Estimates of the Variance of U.S. Inflation Based upon the ARCH Model 5 16 59 273 9 26 118 648
Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: Reply 0 1 2 39 0 4 12 158
Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model 14 47 193 1,033 26 75 367 2,389
Estimating common sectoral cycles 1 2 6 47 3 6 16 135
Estimation of the price elasticity of demand facing metropolitan producers 0 2 7 18 0 4 17 51
Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions 1 1 5 44 1 1 8 136
Exogeneity 13 40 101 610 43 136 349 1,856
Financial econometrics - A new discipline with new methods 2 3 12 121 2 5 26 253
Forecasting and testing in co-integrated systems 17 63 244 534 21 88 389 877
Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model 4 7 26 162 4 10 43 295
GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics 27 103 398 3,345 67 245 948 6,523
Hourly volatility spillovers between international equity markets 6 19 62 190 11 31 144 384
Impacts of trades in an error-correction model of quote prices 1 3 26 174 3 10 60 403
Implied ARCH models from options prices 7 16 91 353 11 28 186 684
Issues in the specification of an econometric model of metropolitan growth 0 2 9 16 1 4 17 47
Measuring and Testing the Impact of News on Volatility 17 35 150 550 24 66 261 1,040
Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting 11 19 50 107 18 30 111 236
Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market 3 19 57 271 7 36 129 822
Modelling the persistence of conditional variances 19 99 256 381 25 154 413 605
Multivariate Simultaneous Generalized ARCH 10 33 37 37 28 61 67 67
New frontiers for arch models 3 10 26 464 10 29 87 1,225
On the determination of regional base and regional base multipliers 0 1 6 34 1 3 12 71
On the theory of growth controls 0 2 5 33 0 4 11 67
Predicting VNET: A model of the dynamics of market depth 1 8 47 174 1 12 81 318
Reply 0 1 2 2 0 3 19 30
Residential load curves and time-of-day pricing: An econometric analysis 6 16 40 88 15 43 133 272
Risk and Volatility: Econometric Models and Financial Practice 4 22 97 1,019 9 48 190 2,055
Seasonal integration and cointegration 6 29 120 747 11 58 217 1,284
Semiparametric ARCH Models 0 0 0 0 5 16 101 717
Shorte-run forecasts of electricity loads and peaks 3 4 21 130 4 9 41 259
Small-Sample Properties of ARCH Estimators and Tests 0 2 10 11 2 5 26 253
Some Finite Sample Properties of Spectral Estimators of a Linear Regression 0 1 4 27 0 1 9 110
Specification of the Disturbance for Efficient Estimation 0 0 0 10 0 0 4 64
Stochastic Permanent Breaks 1 2 8 84 2 7 26 343
Stock Volatility and the Crash of '87: Discussion 2 5 9 60 2 6 16 143
Testing Price Equations for Stability across Spectral Frequency Bands 0 0 2 21 3 7 17 130
Testing and Valuing Dynamic Correlations for Asset Allocation 3 8 38 99 6 17 66 174
Testing for Common Features 0 0 0 0 15 48 183 1,049
Testing for Common Features: Reply 0 0 0 0 0 4 19 161
Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative 1 3 7 84 1 4 31 358
Testing superexogeneity and invariance in regression models 4 10 27 128 4 16 43 235
The Econometrics of Ultra-High Frequency Data 0 0 0 6 48 108 461 2,465
The Japanese consumption function 2 3 18 71 2 7 45 204
The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes 10 35 55 55 11 52 89 89
The econometrics of macroeconomics, finance, and the interface 2 9 33 283 2 16 70 529
Time and the Price Impact of a Trade 2 7 25 116 2 10 65 281
Time-Varying Volatility and the Dynamic Behavior of the Term Structure 1 3 13 140 1 7 31 352
Trades and Quotes: A Bivariate Point Process 0 0 0 0 5 9 49 144
Transportation costs and the rent gradient 0 4 18 53 3 11 63 174
Where does the meteor shower come from?: The role of stochastic policy coordination 1 2 6 22 2 9 37 195
Total Journal Articles 596 1,866 6,037 27,598 1,262 3,990 13,504 68,062

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Arch models 10 33 147 634 25 74 321 1,288
Effects Of Aggregation Over Time On Dynamic Characteristics Of An Econometric Model 1 2 2 2 2 3 3 3
Estimating Structural Models of Seasonality 0 0 0 0 0 1 1 1
Estimating Structural Models of Seasonality 0 1 1 1 1 3 3 3
Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic 0 3 3 3 3 12 12 12
Simultaneous Estimation of the Supply and Demand for Housing Location in a Multizoned Metropolitan Area 0 0 0 0 1 3 3 3
Simultaneous Estimation of the Supply and Demand for Housing Location in a Multizoned Metropolitan Area 0 0 0 0 2 2 2 2
Wald, likelihood ratio, and Lagrange multiplier tests in econometrics 8 39 123 445 22 74 247 846
Total Chapters 19 78 276 1,085 56 172 592 2,158

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Statistics updated 2009-07-03