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 7 208
A GARCH Option Pricing Model in Incomplete Markets 0 1 5 210 1 5 14 470
A GENERAL APPROACH TO THE CONSTRUCTION OF MODEL DIAGNOSTICS BASED UPON THE LAGRANGE MULTIPLIER PRINCIPLE 0 1 1 2 1 3 7 14
A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets 0 0 2 159 1 4 9 391
A Model for Multivariate Non-negative Valued Processes in Financial Econometrics 1 1 2 192 2 3 9 353
A Multiple Indicators Model For Volatility Using Intra-Daily Data 0 0 2 316 1 1 12 810
A Multiple Indicators Model for Volatility Using Intra-Daily Data 0 0 0 517 1 2 9 1,230
A Supply Function Model of Aggregate Investment 0 0 0 0 0 0 3 268
A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts 0 0 1 538 0 3 14 1,415
A general Approach to the Construction of Model Diagnostics based upon the Lagrange Multiplier Principle 0 1 2 10 0 3 12 181
And Now, The Rest of the News: Volatility and Firm Specific News Arrival 5 5 8 241 8 14 33 489
Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills 0 1 2 466 1 5 19 1,467
Asymmetric dynamics in the correlations of global equity and bond returns 0 1 7 1,019 2 6 51 2,392
Autobiography 0 1 2 54 0 3 18 151
Band Spectrum Regressions 0 0 0 0 0 0 7 319
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles 1 3 37 1,343 14 34 123 3,034
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles 0 1 2 43 1 6 17 173
CAViaR: Conditional Value at Risk by Quantile Regression 0 1 3 1,418 1 2 16 3,373
COINTEGRATED ECONOMIC TIME SERIES: A SURVEY WITH NEW RESULTS 0 0 0 2 2 11 38 1,237
Copula--based Specification of vector MEMs 0 0 2 55 0 3 15 79
Copula--based Specification of vector MEMs 0 0 0 21 1 3 6 54
Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity 1 1 2 70 3 5 19 94
De Facto Discrimination in Residential Assessments: Boston 0 0 0 0 0 1 6 1,394
Do Bulls and Bears Move Acoross Borders: International Transimission of Stock Returns and Volatility as the World Turns 0 0 0 1 0 0 7 378
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns 0 0 2 217 1 1 18 961
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns 0 0 0 63 2 4 11 492
Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns 0 1 10 285 4 7 28 560
Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models 1 3 13 153 1 8 32 381
EXOGENEITY 0 1 2 8 3 9 22 47
Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model 0 0 0 17 1 4 16 89
Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model 0 0 0 247 1 3 8 614
Empirical Pricing Kernels 0 0 3 510 1 1 11 1,185
Estimating Sectoral Cycles Using Cointegration and Common Features 0 0 0 156 1 2 9 496
Estimating sectoral cycles using cointegration and common features 0 0 0 1 1 3 7 152
Estimation of the Price Elasticity of Demand Facing Metropolitan Producers 0 0 0 0 0 1 7 585
Execution Risk 0 1 3 315 1 3 11 764
Exogeneity 0 0 1 24 4 6 15 861
Exogeneity 0 0 0 0 1 5 29 128
Fitting vast dimensional time-varying covariance models 0 0 1 115 2 2 14 253
Fitting vast dimensional time-varying covariance models 0 2 7 350 0 5 29 759
Forecasting Transaction Rates: The Autoregressive Conditional Duration Model 0 0 1 486 0 1 4 1,181
GARCH Gamma 0 0 2 1,150 1 5 15 3,053
GARCH Options in Incomplete Markets 0 0 0 116 1 1 7 252
HIGH FREQUENCY MULTIPLICATIVE COMPONENT GARCH 0 1 2 305 0 1 16 687
Hedging Climate Change News 0 2 29 48 4 8 90 137
Hedging Climate Change News 1 5 11 19 6 15 37 59
Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models 0 0 1 759 2 3 7 1,964
Hedging climate change news 4 9 25 40 12 29 90 107
High and Low Frequency Correlations in Global Equity Markets 0 0 3 217 1 3 12 449
Impacts of Trades in an Error-Correction Model of Quote Prices 0 0 0 26 0 2 5 94
Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts 0 0 0 320 1 3 10 842
Interpreting Spectral Analyses in Terms of Time-Domain Models 0 0 1 142 1 2 8 723
Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III 0 1 7 134 0 3 27 427
Issues in the Specification of an Econometric Model of Metropolitan Growth 0 0 0 0 0 3 7 298
Large dynamic covariance matrices 1 1 10 111 1 4 23 182
Large dynamic covariance matrices: enhancements based on intraday data 2 36 36 36 4 30 30 30
Liquidity and volatility in the U.S. treasury market 1 1 15 110 4 9 39 295
METEOR SHOWERS OR HEAT WAGES? HETEROSKEDASTIC INTRA-DAILY VOLATILITY IN A THE FOREIGN EXCHANGE MARKET 0 0 0 0 1 2 16 471
Macroeconomic Announcements and Volatility of Treasury Futures 0 2 8 55 0 5 16 161
Measuring Risk Aversion From Excess Returns on a Stock Index 0 0 0 344 1 3 14 1,068
Measuring and Testing the Impact of News on Volatility 0 2 17 1,969 2 12 51 3,610
Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market 1 1 2 428 1 3 15 1,078
Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market 1 1 3 175 2 6 20 614
Modeling a Time-Varying Order Statistic 0 0 0 282 2 2 12 1,003
Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market 0 1 4 20 2 4 16 93
Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market 0 0 2 424 0 3 13 1,488
Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share 0 0 0 127 0 0 6 350
Option Hedging Using Empirical Pricing Kernels 0 1 3 423 0 3 12 1,318
Risk and Volatility: Econometric Models and Financial Practice 0 1 12 444 1 5 26 894
SEASONAL INTEGRATION AND COINTEGRATION 0 0 0 2 0 4 26 1,342
SEASONAL, INTEGRATION AND COINTEGRATION 0 0 0 2 0 2 24 1,255
SRISK: a conditional capital shortfall measure of systemic risk 2 8 55 366 13 36 256 1,122
Semiparametric vector MEM 0 0 5 136 2 3 16 329
Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area 0 0 0 0 0 0 3 312
Some Finite Sample Properties of Spectral Estimators of a Linear Regression 0 0 0 0 0 1 3 131
Stochastic Permanent Breaks 0 0 0 12 2 3 21 112
Structural GARCH: The Volatility-Leverage Connection 1 2 7 114 2 4 25 224
Systemic Risk in Europe 0 0 1 64 0 2 17 57
TESTING SUPER EXOGENEITY AND INVARIANCE IN REGRESSION MODELS 0 0 0 1 0 2 11 573
Testing For Common Features 0 0 5 438 1 2 14 1,018
Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights 0 0 3 32 1 6 25 134
Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights 0 0 5 73 2 6 36 188
Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights 0 0 5 147 0 3 30 338
Testing Price Equations for Stability Across Frequencies 0 0 0 0 0 1 5 81
Testing macroprudential stress tests: The risk of regulatory risk weights 0 0 0 0 0 3 4 4
Testing the Volatility Term Structure Using Option Hedging Criteria 0 0 0 1 0 3 7 373
Testing the Volatility Term Structure using Option Hedging Criteria 0 0 1 568 0 3 10 1,518
The ACD Model: Predictability of the Time Between Concecutive Trades 3 3 11 199 3 6 21 493
The Econometrics of Ultra-High Frequency Data 0 2 4 1,362 0 5 18 2,749
The Factor-Spline-GARCH Model for High and Low Frequency Correlations 0 0 2 394 1 2 17 837
The Inconsistency of Distributed Lag Estimators Due to Misspecification by Time Aggregation 0 0 0 0 0 0 4 120
The Specification of the Disturbance for Efficient Estimation 0 0 0 0 0 0 8 146
The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes 0 1 8 599 2 5 32 1,417
The Underlying Dynamics of Credit Correlations 0 1 2 152 2 4 8 317
Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH 0 5 18 116 4 17 62 338
Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH 1 5 30 1,794 9 27 107 4,282
Time and the Price Impact of a Trade 1 1 10 60 2 3 23 150
Time-Varying Arrival Rates of Informed and Uninformed Trades 1 2 3 594 2 8 27 1,510
Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks 0 1 1 626 1 6 14 1,871
Time-Varying Volatility and the Dynamic Behavior of the Term Structure 0 0 2 235 1 3 12 568
Trades and Quotes: A Bivariate Point Process 0 0 0 19 0 1 5 91
Valuation of Variance Forecast with Simulated Option Markets 0 3 3 85 5 9 15 362
Value at risk models in finance 0 2 8 2,066 2 12 39 3,949
Vector Multiplicative Error Models: Representation and Inference 0 0 1 101 0 1 9 310
Vector Multiplicative Error Models: Representation and Inference 0 0 1 78 0 0 6 255
Vector Multiplicative Error Models: Representation and Inference 0 0 0 173 1 2 9 588
Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination 0 1 2 103 0 1 4 825
Total Working Papers 29 128 509 28,560 172 548 2,355 81,518


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 4 20 109 2,846 10 58 282 7,135
A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model 0 0 2 112 0 1 9 332
A GARCH Option Pricing Model with Filtered Historical Simulation 0 0 3 107 0 5 15 304
A component model for dynamic correlations 2 4 25 184 10 19 67 549
A dymimic model of housing price determination 0 0 6 309 1 1 26 745
A general approach to lagrange multiplier model diagnostics 0 0 1 190 1 1 11 545
A long memory property of stock market returns and a new model 1 8 47 2,612 7 30 157 5,227
A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones 0 0 2 134 1 2 10 389
A multi-dynamic-factor model for stock returns 0 0 2 544 0 0 6 1,100
A multiple indicators model for volatility using intra-daily data 0 0 3 290 3 4 37 809
Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models 0 1 3 550 2 6 21 1,021
An Asset Price Model of Aggregate Investment 0 0 0 49 1 2 5 188
An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government 0 0 0 19 0 0 3 218
Asset pricing with a factor-arch covariance structure: Empirical estimates for treasury bills 0 2 12 395 1 7 35 994
Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns 2 3 13 429 4 11 71 1,204
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data 0 0 0 11 11 28 102 2,913
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 15 42 179 5,981 49 179 752 16,086
Band Spectrum Regression 0 0 5 418 0 1 15 959
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 1 6 123
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles 1 1 14 587 4 16 67 1,350
Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks 0 3 38 421 7 25 171 1,209
Co-integration and Error Correction: Representation, Estimation, and Testing 18 58 247 14,967 74 235 1,129 36,052
Co-integration and error correction: Representation, estimation, and testing 9 22 85 477 27 83 355 1,526
Codependent cycles 0 0 1 190 1 1 7 819
Combining competing forecasts of inflation using a bivariate arch model 0 1 5 165 0 1 15 390
Common Persistence in Conditional Variances 0 0 3 371 3 3 18 924
Common Seasonal Features: Global Unemployment 0 0 0 0 2 3 8 295
Common Trends and Common Cycles 1 2 19 1,132 2 7 57 3,380
Common Volatility in International Equity Markets 0 0 0 0 1 2 24 762
Common trends and common cycles in Latin America 0 0 0 8 0 0 5 38
Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment 0 0 0 13 1 1 3 109
Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity 1 1 1 4 2 3 15 36
Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility 0 1 4 293 3 6 40 949
Dynamic Conditional Beta 0 1 8 56 1 7 24 122
Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models 0 0 0 0 4 17 99 3,122
Dynamic Equicorrelation 0 0 3 51 0 3 26 196
Empirical pricing kernels 3 4 11 439 9 14 37 983
Environmental, social, governance: Implications for businesses and effects for stakeholders 0 2 2 2 1 4 4 4
Estimates of the Variance of U.S. Inflation Based upon the ARCH Model 2 5 27 583 6 12 56 1,311
Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: Reply 0 1 2 74 1 2 12 312
Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model 6 14 71 2,107 17 47 193 5,052
Estimating common sectoral cycles 1 1 3 144 1 3 8 332
Estimation of the price elasticity of demand facing metropolitan producers 0 0 0 30 0 1 7 126
Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions 0 0 0 60 0 0 2 191
Exogeneity 5 14 48 1,430 10 36 131 4,889
Financial econometrics - A new discipline with new methods 0 1 1 181 1 2 11 440
Forecasting and testing in co-integrated systems 5 19 129 1,560 10 38 241 2,936
Forecasting intraday volatility in the US equity market. Multiplicative component GARCH 0 14 52 134 5 26 91 237
Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model 1 2 3 283 1 2 14 535
GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics 2 2 17 4,370 7 12 66 9,547
GLOBALIZATION: CONTENTS AND DISCONTENTS 1 1 4 33 5 7 21 137
Hedging Climate Change News 3 5 16 16 15 30 55 55
Hourly volatility spillovers between international equity markets 1 2 11 360 2 4 21 758
Impacts of trades in an error-correction model of quote prices 0 0 12 243 1 1 24 635
Implied ARCH models from options prices 1 2 15 694 1 5 36 1,427
Issues in the specification of an econometric model of metropolitan growth 0 0 0 36 0 1 2 120
Large Dynamic Covariance Matrices 0 1 3 3 0 2 13 24
Liquidity and volatility in the U.S. Treasury market 2 2 2 2 5 12 16 16
Long-Term Skewness and Systemic Risk 0 0 1 55 1 5 12 192
Measuring and Testing the Impact of News on Volatility 2 8 51 1,208 12 30 164 2,872
Measuring the probability of a financial crisis 1 1 1 1 2 3 5 5
Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting 0 1 4 270 0 3 11 646
Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market 7 16 49 600 14 42 157 1,883
Modeling the Dynamics of Correlations among Implied Volatilities 0 0 1 21 0 0 5 71
Multivariate Simultaneous Generalized ARCH 4 14 62 1,035 16 41 208 2,403
New frontiers for arch models 0 0 1 598 4 8 26 1,756
On the determination of regional base and regional base multipliers 0 0 0 81 0 0 5 199
On the theory of growth controls 0 0 4 66 0 0 9 183
POLICY PILLS FOR A METROPOLITAN ECONOMY 0 0 0 0 0 0 3 7
Predicting VNET: A model of the dynamics of market depth 0 0 8 329 2 2 20 705
Priced risk and asymmetric volatility in the cross section of skewness 0 0 0 18 0 4 14 110
Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis 0 0 1 17 0 0 5 62
Residential load curves and time-of-day pricing: An econometric analysis 0 0 0 241 0 1 7 896
Risk and Volatility: Econometric Models and Financial Practice 1 2 11 1,475 4 14 54 3,296
Robert F Engle: Understanding volatility as a process 0 0 3 29 0 4 13 153
SEMIPARAMETRIC VECTOR MEM 0 0 0 28 1 1 7 95
SRISK: A Conditional Capital Shortfall Measure of Systemic Risk 6 17 63 175 24 59 261 586
Scenario generation for long run interest rate risk assessment 0 0 1 9 0 1 9 50
Seasonal integration and cointegration 0 4 30 1,534 3 17 101 3,176
Semiparametric ARCH Models 0 0 0 0 1 2 23 1,071
Shorte-run forecasts of electricity loads and peaks 1 3 10 212 3 5 24 474
Small-Sample Properties of ARCH Estimators and Tests 0 0 2 50 1 1 7 376
Some Finite Sample Properties of Spectral Estimators of a Linear Regression 0 0 0 39 1 1 3 178
Specification of the Disturbance for Efficient Estimation 0 0 0 17 1 1 4 109
Stochastic Permanent Breaks 0 0 0 144 0 0 12 526
Stock Market Volatility and Macroeconomic Fundamentals 11 33 164 745 22 71 360 1,658
Stock Volatility and the Crash of '87: Discussion 0 0 4 130 1 5 23 329
Structural GARCH: The Volatility-Leverage Connection 0 0 2 8 0 1 24 48
Systemic Risk 10 Years Later 0 0 4 6 0 3 19 33
Systemic Risk in Europe 1 4 9 52 2 8 35 185
Testing Price Equations for Stability across Spectral Frequency Bands 0 0 0 38 1 1 5 210
Testing and Valuing Dynamic Correlations for Asset Allocation 0 0 3 227 1 1 14 453
Testing for Common Features 0 0 0 0 1 2 24 1,694
Testing for Common Features: Reply 0 0 0 0 0 1 9 285
Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative 0 0 0 121 1 2 6 594
Testing macroprudential stress tests: The risk of regulatory risk weights 2 5 34 177 5 17 171 634
Testing superexogeneity and invariance in regression models 0 0 1 258 1 2 5 511
The Econometrics of Ultra-High Frequency Data 0 0 0 6 2 6 23 3,497
The Factor--Spline--GARCH Model for High and Low Frequency Correlations 0 0 0 31 3 3 15 114
The Japanese consumption function 0 0 0 169 0 2 9 490
The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes 1 4 21 475 9 29 104 1,164
The billing cycle and weather variables in models of electricity sales 0 0 1 5 0 0 4 35
The econometrics of macroeconomics, finance, and the interface 1 1 1 432 1 1 6 811
The intertemporal capital asset pricing model with dynamic conditional correlations 3 6 20 227 7 14 56 711
Time and the Price Impact of a Trade 1 1 4 218 1 6 31 605
Time-Varying Arrival Rates of Informed and Uninformed Trades 0 1 6 94 1 3 20 339
Time-Varying Volatility and the Dynamic Behavior of the Term Structure 0 0 1 251 1 2 19 650
Trades and Quotes: A Bivariate Point Process 0 0 0 0 1 3 7 296
Transportation costs and the rent gradient 0 0 1 164 1 1 14 516
Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach 1 4 9 247 1 6 27 617
What good is a volatility model? 0 0 1 37 1 3 11 148
Where does the meteor shower come from?: The role of stochastic policy coordination 0 0 0 49 0 0 2 365
Total Journal Articles 130 387 1,858 59,118 485 1,468 6,966 161,259


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Arch models 4 8 57 1,237 10 24 149 2,895
Effects of Aggregation Over Time on Dynamic Characteristics of an Econometric Model 1 1 3 30 1 3 9 120
Estimating Structural Models of Seasonality 0 0 0 10 0 2 9 66
Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic 0 0 0 38 0 2 6 139
Interpreting Spectral Analyses in Terms of Time-Domain Models 0 0 1 22 1 4 11 76
MEASURING SYSTEMIC RISK 0 0 1 52 1 5 14 126
Simultaneous Estimation of the Supply and Demand for Housing Location in a Multizoned Metropolitan Area 0 0 0 13 0 0 2 68
Wald, likelihood ratio, and Lagrange multiplier tests in econometrics 2 4 18 1,008 2 8 50 2,392
Total Chapters 7 13 80 2,410 15 48 250 5,882


Statistics updated 2020-11-03