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 3 3 6 204
A GARCH Option Pricing Model in Incomplete Markets 2 2 6 207 4 5 24 461
A GENERAL APPROACH TO THE CONSTRUCTION OF MODEL DIAGNOSTICS BASED UPON THE LAGRANGE MULTIPLIER PRINCIPLE 0 0 1 1 2 2 8 9
A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets 0 0 2 157 1 1 14 383
A Model for Multivariate Non-negative Valued Processes in Financial Econometrics 0 0 1 190 1 3 11 347
A Multiple Indicators Model For Volatility Using Intra-Daily Data 1 1 1 315 3 6 10 804
A Multiple Indicators Model for Volatility Using Intra-Daily Data 0 0 0 517 1 4 12 1,225
A Supply Function Model of Aggregate Investment 0 0 0 0 0 2 6 267
A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts 0 0 0 537 1 3 8 1,404
A general Approach to the Construction of Model Diagnostics based upon the Lagrange Multiplier Principle 1 1 3 9 2 2 10 171
And Now, The Rest of the News: Volatility and Firm Specific News Arrival 0 1 9 234 3 7 40 463
Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills 0 0 1 464 0 5 20 1,453
Asymmetric dynamics in the correlations of global equity and bond returns 0 3 17 1,015 5 12 140 2,353
Autobiography 1 1 1 53 7 14 16 147
Band Spectrum Regressions 0 0 0 0 3 4 11 316
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles 0 0 3 41 2 5 18 161
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles 2 8 44 1,314 7 29 117 2,940
CAViaR: Conditional Value at Risk by Quantile Regression 0 1 5 1,416 3 7 30 3,364
COINTEGRATED ECONOMIC TIME SERIES: A SURVEY WITH NEW RESULTS 0 0 0 2 8 16 54 1,215
Copula--based Specification of vector MEMs 0 0 1 21 1 2 14 50
Copula--based Specification of vector MEMs 0 1 1 54 5 7 18 71
Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity 0 0 2 68 2 6 25 81
De Facto Discrimination in Residential Assessments: Boston 0 0 0 0 0 2 7 1,390
Do Bulls and Bears Move Acoross Borders: International Transimission of Stock Returns and Volatility as the World Turns 0 0 0 1 0 1 7 372
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns 0 0 0 215 1 5 17 948
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns 0 0 0 63 2 4 12 485
Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns 1 4 12 279 3 9 32 541
Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models 2 3 17 143 4 10 44 359
EXOGENEITY 1 1 2 7 4 7 25 32
Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model 0 0 0 17 3 4 15 77
Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model 0 0 0 247 2 3 11 609
Empirical Pricing Kernels 0 2 2 509 0 2 13 1,176
Estimating Sectoral Cycles Using Cointegration and Common Features 0 0 1 156 3 4 9 491
Estimating sectoral cycles using cointegration and common features 0 0 0 1 2 2 7 147
Estimation of the Price Elasticity of Demand Facing Metropolitan Producers 0 0 0 0 1 3 8 581
Execution Risk 0 1 3 313 1 3 9 756
Exogeneity 1 1 5 24 2 5 20 851
Exogeneity 0 0 0 0 4 9 38 108
Fitting vast dimensional time-varying covariance models 0 1 3 115 2 3 15 242
Fitting vast dimensional time-varying covariance models 0 3 6 346 3 8 37 738
Forecasting Transaction Rates: The Autoregressive Conditional Duration Model 0 0 1 485 0 0 8 1,177
GARCH Gamma 1 1 9 1,149 4 4 30 3,042
GARCH Options in Incomplete Markets 0 0 1 116 1 5 11 250
HIGH FREQUENCY MULTIPLICATIVE COMPONENT GARCH 0 0 3 303 2 3 11 674
Hedging Climate Change News 1 3 11 11 5 9 31 31
Hedging Climate Change News 1 8 27 27 12 31 78 78
Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models 0 1 1 759 2 3 8 1,960
Hedging climate change news 3 5 20 20 8 20 37 37
High and Low Frequency Correlations in Global Equity Markets 1 1 3 215 2 2 10 439
Impacts of Trades in an Error-Correction Model of Quote Prices 0 0 1 26 1 1 9 90
Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts 0 0 1 320 2 4 9 836
Interpreting Spectral Analyses in Terms of Time-Domain Models 1 1 3 142 3 3 11 718
Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III 2 4 9 131 3 8 23 408
Issues in the Specification of an Econometric Model of Metropolitan Growth 0 0 0 0 1 1 4 292
Large dynamic covariance matrices 0 0 3 101 2 2 21 161
Liquidity and volatility in the U.S. treasury market 1 4 18 99 3 9 44 265
METEOR SHOWERS OR HEAT WAGES? HETEROSKEDASTIC INTRA-DAILY VOLATILITY IN A THE FOREIGN EXCHANGE MARKET 0 0 0 0 1 3 10 458
Macroeconomic Announcements and Volatility of Treasury Futures 1 1 6 48 2 3 16 148
Measuring Risk Aversion From Excess Returns on a Stock Index 0 0 1 344 0 2 15 1,056
Measuring and Testing the Impact of News on Volatility 2 6 35 1,958 3 12 61 3,571
Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market 0 0 2 426 1 3 16 1,066
Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market 0 0 4 172 2 2 17 596
Modeling a Time-Varying Order Statistic 0 0 1 282 0 4 9 995
Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market 0 1 2 17 1 4 13 81
Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market 0 0 2 422 1 4 11 1,479
Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share 0 0 0 127 2 5 9 349
Option Hedging Using Empirical Pricing Kernels 0 2 4 422 2 8 14 1,314
Risk and Volatility: Econometric Models and Financial Practice 2 4 14 436 3 7 29 875
SEASONAL INTEGRATION AND COINTEGRATION 0 0 0 2 2 4 17 1,320
SEASONAL, INTEGRATION AND COINTEGRATION 0 0 0 2 3 5 18 1,236
SRISK: a conditional capital shortfall measure of systemic risk 2 10 56 321 18 57 328 923
Semiparametric vector MEM 1 2 4 133 2 6 17 319
Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area 0 0 0 0 1 1 5 310
Some Finite Sample Properties of Spectral Estimators of a Linear Regression 0 0 0 0 1 1 6 129
Stochastic Permanent Breaks 0 0 0 12 7 9 20 100
Structural GARCH: The Volatility-Leverage Connection 0 1 20 108 2 7 48 206
Systemic Risk in Europe 0 0 3 63 1 4 19 44
TESTING SUPER EXOGENEITY AND INVARIANCE IN REGRESSION MODELS 0 0 0 1 3 6 24 568
Testing For Common Features 0 1 6 434 0 4 18 1,008
Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights 0 0 1 29 5 8 16 117
Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights 2 3 3 71 9 13 27 165
Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights 0 1 8 143 4 5 25 313
Testing Price Equations for Stability Across Frequencies 0 0 0 0 1 3 5 79
Testing the Volatility Term Structure Using Option Hedging Criteria 0 0 0 1 1 2 9 368
Testing the Volatility Term Structure using Option Hedging Criteria 0 1 1 568 0 2 11 1,510
The ACD Model: Predictability of the Time Between Concecutive Trades 0 2 7 190 0 4 23 476
The Econometrics of Ultra-High Frequency Data 0 0 3 1,358 0 2 14 2,733
The Factor-Spline-GARCH Model for High and Low Frequency Correlations 0 0 8 392 2 2 25 822
The Inconsistency of Distributed Lag Estimators Due to Misspecification by Time Aggregation 0 0 0 0 1 2 10 118
The Specification of the Disturbance for Efficient Estimation 0 0 0 0 5 7 10 145
The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes 1 1 4 592 5 8 26 1,393
The Underlying Dynamics of Credit Correlations 0 0 0 150 1 1 12 310
Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH 0 1 9 99 3 7 39 283
Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH 0 7 29 1,771 2 15 105 4,190
Time and the Price Impact of a Trade 0 2 7 52 1 4 18 131
Time-Varying Arrival Rates of Informed and Uninformed Trades 0 0 2 591 1 10 26 1,493
Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks 0 0 2 625 2 4 20 1,861
Time-Varying Volatility and the Dynamic Behavior of the Term Structure 0 1 2 234 3 5 10 561
Trades and Quotes: A Bivariate Point Process 0 0 1 19 0 1 9 87
Valuation of Variance Forecast with Simulated Option Markets 0 0 0 82 2 3 10 350
Value at risk models in finance 0 2 6 2,060 0 4 16 3,914
Vector Multiplicative Error Models: Representation and Inference 0 0 1 100 2 3 16 304
Vector Multiplicative Error Models: Representation and Inference 0 0 0 173 5 6 14 585
Vector Multiplicative Error Models: Representation and Inference 1 1 1 78 2 3 15 252
Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination 0 0 0 101 0 1 8 822
Total Working Papers 35 113 515 28,164 267 620 2,542 79,783


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 13 34 109 2,771 23 67 251 6,920
A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model 0 0 4 110 4 4 20 327
A GARCH Option Pricing Model with Filtered Historical Simulation 1 1 4 105 3 4 18 293
A component model for dynamic correlations 5 10 33 169 11 24 85 506
A dymimic model of housing price determination 1 2 2 305 4 6 12 725
A general approach to lagrange multiplier model diagnostics 0 0 1 189 2 5 18 539
A long memory property of stock market returns and a new model 2 9 40 2,574 14 36 153 5,106
A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones 1 1 1 133 2 3 10 382
A multi-dynamic-factor model for stock returns 0 0 0 542 2 3 8 1,097
A multiple indicators model for volatility using intra-daily data 1 1 4 288 8 13 46 785
Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models 0 0 2 547 1 3 16 1,003
An Asset Price Model of Aggregate Investment 0 0 0 49 0 1 4 184
An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government 0 0 0 19 0 0 5 215
Asset pricing with a factor-arch covariance structure: Empirical estimates for treasury bills 0 2 5 385 3 10 30 969
Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns 0 0 13 416 4 18 71 1,151
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data 0 0 0 11 14 22 72 2,833
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 15 43 172 5,845 53 169 719 15,503
Band Spectrum Regression 1 3 7 416 2 7 26 951
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 1 2 5 119
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles 1 2 14 575 6 16 59 1,299
Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks 4 12 50 395 10 38 123 1,076
Co-integration and Error Correction: Representation, Estimation, and Testing 24 70 248 14,790 101 327 1,291 35,250
Co-integration and error correction: Representation, estimation, and testing 8 23 71 415 21 74 243 1,245
Codependent cycles 0 0 3 189 0 0 6 812
Combining competing forecasts of inflation using a bivariate arch model 0 1 7 161 2 7 21 382
Common Persistence in Conditional Variances 0 2 3 370 6 9 16 915
Common Seasonal Features: Global Unemployment 0 0 0 0 0 1 9 288
Common Trends and Common Cycles 1 4 20 1,117 8 17 54 3,340
Common Volatility in International Equity Markets 0 0 0 0 2 6 32 744
Common trends and common cycles in Latin America 0 0 3 8 0 0 11 33
Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment 0 0 0 13 0 0 4 106
Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity 0 0 1 3 3 4 14 25
Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility 0 0 7 289 9 12 49 921
Dynamic Conditional Beta 0 2 7 50 1 3 20 101
Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models 0 0 0 0 15 37 82 3,060
Dynamic Equicorrelation 0 1 11 49 2 9 34 179
Empirical pricing kernels 1 4 12 432 2 8 35 954
Estimates of the Variance of U.S. Inflation Based upon the ARCH Model 1 4 22 560 4 15 52 1,270
Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: Reply 0 0 0 72 1 4 9 304
Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model 7 21 71 2,057 16 45 176 4,904
Estimating common sectoral cycles 1 1 2 142 2 3 14 327
Estimation of the price elasticity of demand facing metropolitan producers 0 0 0 30 1 3 9 122
Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions 0 0 0 60 1 1 5 190
Exogeneity 4 15 56 1,397 13 38 154 4,796
Financial econometrics - A new discipline with new methods 0 0 1 180 3 5 12 434
Forecasting and testing in co-integrated systems 5 28 84 1,459 9 56 179 2,751
Forecasting intraday volatility in the US equity market. Multiplicative component GARCH 6 11 25 93 11 21 50 167
Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model 1 1 2 281 2 3 15 524
GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics 1 6 13 4,359 2 17 79 9,498
GLOBALIZATION: CONTENTS AND DISCONTENTS 0 2 6 31 1 5 32 121
Hourly volatility spillovers between international equity markets 2 3 9 352 3 5 27 742
Impacts of trades in an error-correction model of quote prices 1 6 11 237 2 11 35 622
Implied ARCH models from options prices 1 2 12 681 3 10 41 1,401
Issues in the specification of an econometric model of metropolitan growth 0 0 0 36 0 0 4 118
Large Dynamic Covariance Matrices 0 0 0 0 3 5 16 16
Long-Term Skewness and Systemic Risk 0 0 0 54 0 2 15 182
Measuring and Testing the Impact of News on Volatility 5 20 77 1,177 14 43 198 2,751
Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting 1 1 4 267 3 3 16 638
Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market 5 9 47 560 11 32 148 1,758
Modeling the Dynamics of Correlations among Implied Volatilities 0 0 2 20 1 2 7 68
Multivariate Simultaneous Generalized ARCH 4 16 86 989 15 42 229 2,237
New frontiers for arch models 0 1 5 598 1 3 20 1,733
On the determination of regional base and regional base multipliers 0 0 0 81 1 1 4 195
On the theory of growth controls 0 0 0 62 0 1 7 175
POLICY PILLS FOR A METROPOLITAN ECONOMY 0 0 0 0 1 1 5 5
Predicting VNET: A model of the dynamics of market depth 1 2 7 323 3 8 28 693
Priced risk and asymmetric volatility in the cross section of skewness 0 0 3 18 1 6 17 102
Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis 0 0 0 16 1 1 3 58
Residential load curves and time-of-day pricing: An econometric analysis 0 0 0 241 1 4 11 893
Risk and Volatility: Econometric Models and Financial Practice 0 2 8 1,466 3 9 42 3,251
Robert F Engle: Understanding volatility as a process 0 0 2 26 0 2 8 142
SEMIPARAMETRIC VECTOR MEM 0 0 0 28 3 4 12 92
SRISK: A Conditional Capital Shortfall Measure of Systemic Risk 6 15 53 127 30 71 215 396
Scenario generation for long run interest rate risk assessment 0 0 2 8 0 1 16 42
Seasonal integration and cointegration 1 5 29 1,509 8 25 99 3,100
Semiparametric ARCH Models 0 0 0 0 1 5 42 1,053
Shorte-run forecasts of electricity loads and peaks 0 4 12 206 1 8 23 458
Small-Sample Properties of ARCH Estimators and Tests 1 1 2 49 2 3 9 372
Some Finite Sample Properties of Spectral Estimators of a Linear Regression 0 0 0 39 0 0 4 175
Specification of the Disturbance for Efficient Estimation 0 0 0 17 0 2 6 107
Stochastic Permanent Breaks 0 0 4 144 1 2 16 516
Stock Market Volatility and Macroeconomic Fundamentals 17 44 174 625 36 97 339 1,395
Stock Volatility and the Crash of '87: Discussion 1 1 7 127 3 11 18 317
Structural GARCH: The Volatility-Leverage Connection 0 1 7 7 6 12 34 36
Systemic Risk 10 Years Later 0 2 4 4 2 7 21 21
Systemic Risk in Europe 1 2 6 45 6 11 34 161
Testing Price Equations for Stability across Spectral Frequency Bands 0 0 2 38 3 3 11 208
Testing and Valuing Dynamic Correlations for Asset Allocation 0 2 6 226 4 8 23 447
Testing for Common Features 0 0 0 0 0 3 20 1,673
Testing for Common Features: Reply 0 0 0 0 0 0 8 276
Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative 0 0 0 121 0 2 8 590
Testing macroprudential stress tests: The risk of regulatory risk weights 3 8 35 151 22 40 123 503
Testing superexogeneity and invariance in regression models 1 1 7 258 2 2 25 508
The Econometrics of Ultra-High Frequency Data 0 0 0 6 0 3 28 3,477
The Factor--Spline--GARCH Model for High and Low Frequency Correlations 0 0 0 31 4 5 13 104
The Japanese consumption function 0 0 0 169 1 3 12 484
The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes 1 6 25 460 9 27 77 1,087
The billing cycle and weather variables in models of electricity sales 1 1 1 5 2 2 5 33
The econometrics of macroeconomics, finance, and the interface 0 0 2 431 0 2 10 807
The intertemporal capital asset pricing model with dynamic conditional correlations 1 8 19 215 8 20 60 675
Time and the Price Impact of a Trade 0 0 3 214 5 6 16 580
Time-Varying Arrival Rates of Informed and Uninformed Trades 0 0 5 88 0 2 22 321
Time-Varying Volatility and the Dynamic Behavior of the Term Structure 0 0 3 250 2 8 19 639
Trades and Quotes: A Bivariate Point Process 0 0 0 0 0 1 9 290
Transportation costs and the rent gradient 0 0 4 163 0 5 12 507
Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach 0 0 11 238 2 6 40 596
What good is a volatility model? 0 0 0 36 0 2 12 139
Where does the meteor shower come from?: The role of stochastic policy coordination 0 0 0 49 0 0 9 363
Total Journal Articles 159 479 1,832 57,739 635 1,781 6,789 156,074


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Arch models 5 12 59 1,192 13 39 153 2,785
Effects of Aggregation Over Time on Dynamic Characteristics of an Econometric Model 0 1 1 28 0 3 11 114
Estimating Structural Models of Seasonality 0 0 0 10 1 3 8 60
Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic 0 0 2 38 1 3 13 136
Interpreting Spectral Analyses in Terms of Time-Domain Models 0 0 0 21 1 3 7 68
MEASURING SYSTEMIC RISK 0 0 2 51 1 4 11 116
Simultaneous Estimation of the Supply and Demand for Housing Location in a Multizoned Metropolitan Area 0 0 1 13 0 1 5 67
Wald, likelihood ratio, and Lagrange multiplier tests in econometrics 4 7 27 997 12 25 74 2,367
Total Chapters 9 20 92 2,350 29 81 282 5,713
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Statistics updated 2020-02-04