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 0 1 209
A GARCH Option Pricing Model in Incomplete Markets 0 0 1 215 0 0 4 491
A GENERAL APPROACH TO THE CONSTRUCTION OF MODEL DIAGNOSTICS BASED UPON THE LAGRANGE MULTIPLIER PRINCIPLE 0 0 0 7 0 0 2 31
A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets 0 0 0 164 0 0 3 409
A Model for Multivariate Non-negative Valued Processes in Financial Econometrics 0 0 1 198 0 0 3 375
A Multiple Indicators Model For Volatility Using Intra-Daily Data 0 0 0 319 0 1 4 833
A Multiple Indicators Model for Volatility Using Intra-Daily Data 0 0 2 520 0 3 9 1,259
A Supply Function Model of Aggregate Investment 0 0 0 0 0 1 3 276
A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts 0 0 0 543 0 0 0 1,431
A general Approach to the Construction of Model Diagnostics based upon the Lagrange Multiplier Principle 0 0 0 15 1 2 2 198
And Now, The Rest of the News: Volatility and Firm Specific News Arrival 0 0 1 260 1 1 4 625
Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills 0 1 3 473 1 2 7 1,490
Asymmetric dynamics in the correlations of global equity and bond returns 1 1 4 1,036 5 5 12 2,517
Autobiography 0 0 0 55 0 0 3 171
Band Spectrum Regressions 0 0 0 0 0 2 9 340
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles 1 2 8 1,397 4 17 46 3,355
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles 0 1 2 67 1 3 12 261
CAViaR: Conditional Value at Risk by Quantile Regression 0 0 1 1,448 0 1 4 3,459
COINTEGRATED ECONOMIC TIME SERIES: A SURVEY WITH NEW RESULTS 0 0 0 2 1 1 5 1,320
CRISK: Measuring the Climate Risk Exposure of the Financial System 2 3 19 119 10 23 92 372
Climate Stress Testing 0 0 0 53 0 0 2 21
Climate Stress Testing 0 0 0 49 2 3 8 41
Climate Stress Testing 0 0 1 63 0 0 5 43
Copula--based Specification of vector MEMs 0 0 0 22 0 0 0 65
Copula--based Specification of vector MEMs 0 0 0 56 0 1 1 86
Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity 0 0 1 71 0 0 1 105
De Facto Discrimination in Residential Assessments: Boston 0 0 0 0 0 0 1 1,402
Do Bulls and Bears Move Acoross Borders: International Transimission of Stock Returns and Volatility as the World Turns 0 0 0 1 0 1 2 388
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns 0 0 0 63 0 0 0 499
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns 0 0 3 227 0 1 9 1,000
Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns 0 1 6 313 3 4 21 675
Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models 0 0 2 195 2 4 12 522
EXOGENEITY 0 0 2 26 1 1 12 117
Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model 0 0 0 17 0 0 1 95
Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model 0 0 1 249 1 1 3 631
Empirical Pricing Kernels 0 0 1 516 0 0 4 1,203
Estimating Sectoral Cycles Using Cointegration and Common Features 0 0 0 158 0 0 2 508
Estimating sectoral cycles using cointegration and common features 0 0 0 3 0 0 3 161
Estimating systemic risk for non-listed euro-area banks 0 0 4 16 0 1 8 28
Estimation of the Price Elasticity of Demand Facing Metropolitan Producers 0 0 0 0 1 1 1 592
Execution Risk 0 0 0 319 1 1 5 792
Exogeneity 0 0 0 0 0 1 12 227
Exogeneity 0 0 3 41 0 4 11 911
Factor mimicking portfolios for climate risk 0 0 5 57 0 1 20 56
Fitting vast dimensional time-varying covariance models 0 2 2 356 1 3 8 827
Fitting vast dimensional time-varying covariance models 1 1 1 125 2 3 5 286
Forecasting Transaction Rates: The Autoregressive Conditional Duration Model 0 0 2 490 0 0 4 1,197
GARCH Gamma 0 0 0 1,156 0 0 2 3,073
GARCH Options in Incomplete Markets 0 0 0 117 0 0 1 257
HIGH FREQUENCY MULTIPLICATIVE COMPONENT GARCH 0 0 0 310 0 0 2 707
Hedging Climate Change News 0 0 3 90 0 1 13 274
Hedging Climate Change News 0 0 3 42 0 2 14 187
Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models 0 0 0 767 1 2 5 1,993
Hedging climate change news 2 3 7 110 2 8 39 381
High and Low Frequency Correlations in Global Equity Markets 0 0 0 223 0 2 2 472
Impacts of Trades in an Error-Correction Model of Quote Prices 0 0 0 28 0 1 2 109
Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts 0 0 0 323 0 0 3 858
Interpreting Spectral Analyses in Terms of Time-Domain Models 0 0 0 143 0 0 0 741
Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III 0 0 0 148 0 1 3 486
Issues in the Specification of an Econometric Model of Metropolitan Growth 0 0 0 0 0 0 0 302
Large dynamic covariance matrices 0 0 1 130 0 0 4 254
Large dynamic covariance matrices: enhancements based on intraday data 0 0 2 54 0 0 8 99
Liquidity and volatility in the U.S. treasury market 3 3 3 127 3 6 7 355
METEOR SHOWERS OR HEAT WAGES? HETEROSKEDASTIC INTRA-DAILY VOLATILITY IN A THE FOREIGN EXCHANGE MARKET 0 0 0 0 2 2 14 517
Macroeconomic Announcements and Volatility of Treasury Futures 0 0 0 67 0 0 7 214
Measuring Risk Aversion From Excess Returns on a Stock Index 0 0 1 351 0 0 6 1,092
Measuring and Hedging Geopolitical Risk 0 0 8 87 2 2 28 205
Measuring and Testing the Impact of News on Volatility 1 2 5 2,004 2 4 13 3,722
Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market 0 0 2 435 1 1 4 1,108
Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market 1 2 5 185 1 2 11 658
Modeling a Time-Varying Order Statistic 0 0 0 284 0 0 1 1,011
Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market 0 1 1 23 0 1 13 133
Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market 0 0 0 432 3 3 4 1,526
Modelling Volatility Cycles: The (MF)2 GARCH Model 1 2 9 122 2 4 24 266
Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share 0 0 0 129 2 3 4 369
Option Hedging Using Empirical Pricing Kernels 0 0 0 425 0 0 3 1,331
Physical Climate Risk Factors and an Application to Measuring Insurers’ Climate Risk Exposure 0 1 9 23 0 4 26 71
Physical Climate Risk and Insurers 1 1 8 16 1 2 13 20
Risk and Volatility: Econometric Models and Financial Practice 0 0 4 467 1 3 15 992
SEASONAL INTEGRATION AND COINTEGRATION 0 0 0 2 0 2 9 1,396
SEASONAL, INTEGRATION AND COINTEGRATION 0 0 0 2 1 2 11 1,308
SRISK: a conditional capital shortfall measure of systemic risk 3 7 20 439 7 29 111 1,488
Semiparametric vector MEM 0 0 0 138 0 0 2 337
Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area 0 0 0 0 0 0 0 314
Some Finite Sample Properties of Spectral Estimators of a Linear Regression 0 0 0 0 0 0 1 133
Stochastic Permanent Breaks 0 0 0 13 0 0 1 147
Strategic Commitments to Decarbonize: The Role of Large Firms, Common Ownership, and Governments 0 2 7 7 1 6 20 20
Structural GARCH: The Volatility-Leverage Connection 0 0 3 121 1 4 13 261
Systemic Risk in Europe 0 0 5 80 0 1 8 92
TESTING SUPER EXOGENEITY AND INVARIANCE IN REGRESSION MODELS 0 0 0 1 0 0 2 599
Testing For Common Features 0 0 0 444 0 0 4 1,045
Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights 0 0 1 84 0 0 5 256
Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights 0 0 1 156 1 1 6 430
Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights 0 0 1 35 0 0 2 176
Testing Price Equations for Stability Across Frequencies 0 0 0 0 0 0 0 81
Testing macroprudential stress tests: The risk of regulatory risk weights 0 0 0 0 1 1 6 76
Testing the Volatility Term Structure Using Option Hedging Criteria 0 0 0 1 0 0 1 376
Testing the Volatility Term Structure using Option Hedging Criteria 0 0 0 570 0 0 0 1,533
The ACD Model: Predictability of the Time Between Concecutive Trades 0 3 10 242 0 4 15 588
The Econometrics of Ultra-High Frequency Data 0 0 0 1,370 0 1 4 2,791
The Factor-Spline-GARCH Model for High and Low Frequency Correlations 0 0 0 398 0 0 14 918
The Inconsistency of Distributed Lag Estimators Due to Misspecification by Time Aggregation 0 0 0 0 0 0 0 126
The Specification of the Disturbance for Efficient Estimation 0 0 0 0 0 0 1 151
The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes 1 1 1 632 1 1 4 1,512
The Underlying Dynamics of Credit Correlations 0 0 1 154 0 0 2 331
The risk management approach to macro-prudential policy 0 0 2 40 1 2 10 116
Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH 0 0 3 140 0 0 6 440
Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH 0 0 3 1,862 7 9 29 4,607
Time and the Price Impact of a Trade 0 1 3 70 0 3 8 179
Time-Varying Arrival Rates of Informed and Uninformed Trades 0 0 4 609 0 1 10 1,559
Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks 0 0 0 634 2 5 5 1,907
Time-Varying Volatility and the Dynamic Behavior of the Term Structure 0 0 0 238 0 1 1 588
Trades and Quotes: A Bivariate Point Process 0 0 0 19 1 1 3 100
Valuation of Variance Forecast with Simulated Option Markets 0 0 1 89 0 0 2 393
Value at risk models in finance 0 0 2 2,089 0 4 11 4,039
Vector Multiplicative Error Models: Representation and Inference 0 0 0 177 0 1 2 608
Vector Multiplicative Error Models: Representation and Inference 0 0 1 82 0 0 2 267
Vector Multiplicative Error Models: Representation and Inference 0 0 1 104 0 0 4 329
Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination 0 0 0 107 0 0 1 848
Why Did Bank Stocks Crash During COVID-19? 0 0 2 89 0 0 20 248
Why did bank stocks crash during COVID-19? 0 0 2 38 0 1 8 92
Total Working Papers 18 41 221 30,418 85 227 1,041 88,488


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 1 6 20 3,025 4 19 60 7,637
A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model 0 1 1 128 0 2 4 369
A GARCH Option Pricing Model with Filtered Historical Simulation 0 1 2 118 0 2 8 353
A component model for dynamic correlations 0 3 6 258 1 4 13 732
A dymimic model of housing price determination 0 0 0 320 0 1 3 776
A general approach to lagrange multiplier model diagnostics 0 1 6 215 0 1 13 605
A long memory property of stock market returns and a new model 5 18 59 2,847 17 41 121 5,793
A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones 0 0 1 141 1 2 5 416
A multi-dynamic-factor model for stock returns 0 0 4 556 0 0 5 1,132
A multiple indicators model for volatility using intra-daily data 1 2 5 320 2 7 29 958
A practical guide to volatility forecasting through calm and storm 0 0 4 4 0 2 18 18
Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models 0 0 1 564 1 1 6 1,070
An Asset Price Model of Aggregate Investment 0 0 0 49 0 0 1 198
An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government 0 0 0 19 0 1 3 225
Asset pricing with a factor-arch covariance structure: Empirical estimates for treasury bills 0 0 3 429 0 0 9 1,107
Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns 4 10 21 496 5 22 60 1,435
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data 0 0 0 11 1 12 58 3,292
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 13 40 176 6,681 52 141 527 18,508
Band Spectrum Regression 0 1 5 446 0 2 9 1,030
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 1 3 135
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles 0 1 13 632 1 8 40 1,501
COMMON TRENDS AND COMMON CYCLES 0 0 0 0 1 1 1 1
Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks 0 4 13 490 0 7 35 1,473
Centralized Clearing for Credit Derivatives 0 0 0 0 0 0 1 1
Climate Stress Testing 0 2 3 3 0 4 10 10
Co-integration and Error Correction: Representation, Estimation, and Testing 10 31 117 15,931 36 108 417 39,477
Co-integration and error correction: Representation, estimation, and testing 1 13 66 863 15 60 280 2,960
Codependent cycles 0 0 1 197 0 0 2 831
Combining competing forecasts of inflation using a bivariate arch model 0 0 0 182 0 0 2 442
Common Persistence in Conditional Variances 0 0 1 373 0 0 3 950
Common Seasonal Features: Global Unemployment 0 0 0 0 0 0 1 302
Common Trends and Common Cycles 1 4 8 1,185 1 4 17 3,500
Common Volatility in International Equity Markets 0 0 0 0 0 1 3 793
Common trends and common cycles in Latin America 0 0 0 16 0 0 0 57
Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment 0 0 0 13 0 0 1 113
Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity 0 0 0 9 0 0 1 64
Derivatives ‐ The Ultimate Financial Innovation 0 0 1 1 0 0 1 1
Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility 0 0 1 307 0 1 7 998
Dynamic Conditional Beta 0 1 7 103 0 5 18 261
Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns 0 0 1 21 4 4 8 71
Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models 0 0 0 0 4 19 77 3,516
Dynamic Equicorrelation 1 3 8 84 1 7 18 328
Empirical pricing kernels 0 0 4 482 0 1 9 1,103
Environmental, Social, Governance: Implications for businesses and effects for stakeholders 0 0 2 24 1 3 10 96
Environmental, social, governance: Implications for businesses and effects for stakeholders 0 0 0 11 0 0 2 46
Estimates of the Variance of U.S. Inflation Based upon the ARCH Model 0 0 6 646 1 2 14 1,451
Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: Reply 0 0 0 74 0 0 0 320
Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model 0 2 9 2,222 3 5 27 5,418
Estimating common sectoral cycles 1 2 4 162 1 4 9 366
Estimating systemic risk for non-listed Euro-area banks 0 1 2 2 3 5 7 7
Estimation of the price elasticity of demand facing metropolitan producers 0 0 0 32 0 0 1 134
Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions 0 0 0 61 0 0 0 196
Exogeneity 0 1 12 1,570 1 2 37 5,213
Factor-Mimicking Portfolios for Climate Risk 0 0 1 1 0 2 8 8
Financial econometrics - A new discipline with new methods 0 1 3 198 0 1 6 472
Fitting Vast Dimensional Time-Varying Covariance Models 0 0 2 19 1 3 9 67
Forecasting and testing in co-integrated systems 0 7 25 1,735 1 12 38 3,303
Forecasting intraday volatility in the US equity market. Multiplicative component GARCH 2 11 49 368 3 15 71 589
Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model 0 1 3 300 0 2 6 575
GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics 2 11 28 4,438 6 26 86 9,829
GLOBALIZATION: CONTENTS AND DISCONTENTS 0 0 2 43 0 1 4 186
Hedging Climate Change News 4 21 118 707 24 82 374 2,094
Hourly volatility spillovers between international equity markets 0 1 1 375 0 3 4 806
Impacts of trades in an error-correction model of quote prices 0 0 2 252 0 2 7 664
Implied ARCH models from options prices 0 4 8 748 0 4 10 1,540
Issues in the specification of an econometric model of metropolitan growth 0 0 0 36 0 0 1 122
Large Dynamic Covariance Matrices 0 0 4 14 0 2 10 82
Large dynamic covariance matrices: Enhancements based on intraday data 0 0 1 6 0 0 6 28
Liquidity and volatility in the U.S. Treasury market 2 2 2 33 3 7 10 114
Long-Term Skewness and Systemic Risk 0 0 1 60 0 1 5 218
Measuring and Testing the Impact of News on Volatility 1 1 13 1,271 4 12 43 3,106
Measuring the probability of a financial crisis 0 0 1 15 0 1 4 60
Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting 0 2 4 288 0 4 10 690
Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market 1 1 8 667 5 8 33 2,171
Modeling the Dynamics of Correlations among Implied Volatilities 0 1 3 30 0 1 4 88
Modelling Volatility Cycles: The MF2‐GARCH Model 1 1 1 1 4 4 4 4
Multiplicative factor model for volatility 0 0 0 0 2 2 2 2
Multivariate Simultaneous Generalized ARCH 4 10 32 1,216 19 42 125 2,959
New frontiers for arch models 2 2 2 609 3 5 9 1,838
News and Idiosyncratic Volatility: The Public Information Processing Hypothesis* 0 0 8 22 2 3 21 50
On the determination of regional base and regional base multipliers 0 0 0 83 0 0 0 208
On the theory of growth controls 0 3 4 75 0 6 8 204
POLICY PILLS FOR A METROPOLITAN ECONOMY 0 0 0 0 0 0 0 9
Predicting VNET: A model of the dynamics of market depth 1 1 3 354 1 1 7 761
Priced risk and asymmetric volatility in the cross section of skewness 0 0 0 28 1 1 4 142
Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis 0 0 0 17 0 0 1 64
Residential load curves and time-of-day pricing: An econometric analysis 0 0 0 241 0 0 0 903
Risk and Volatility: Econometric Models and Financial Practice 0 0 1 1,501 0 1 10 3,389
Robert F Engle: Understanding volatility as a process 0 0 1 44 0 0 3 198
SEMIPARAMETRIC VECTOR MEM 0 0 0 31 0 1 2 103
SRISK: A Conditional Capital Shortfall Measure of Systemic Risk 3 7 15 313 8 18 77 1,338
Scenario generation for long run interest rate risk assessment 0 1 2 21 0 1 4 87
Seasonal integration and cointegration 0 5 31 1,683 3 14 58 3,558
Semiparametric ARCH Models 0 0 0 0 1 4 8 1,125
Shorte-run forecasts of electricity loads and peaks 0 0 3 234 0 1 5 516
Small-Sample Properties of ARCH Estimators and Tests 0 0 0 55 0 0 1 394
Some Finite Sample Properties of Spectral Estimators of a Linear Regression 0 0 0 39 0 0 0 180
Specification of the Disturbance for Efficient Estimation 0 0 0 19 0 0 2 119
Stochastic Permanent Breaks 0 0 1 147 1 1 3 544
Stock Market Volatility and Macroeconomic Fundamentals 10 36 148 1,266 18 73 260 2,751
Stock Volatility and the Crash of '87: Discussion 0 1 1 159 0 1 3 392
Structural GARCH: The Volatility-Leverage Connection 0 0 0 12 0 0 4 85
Systemic Risk 10 Years Later 0 2 3 25 0 2 4 81
Systemic Risk in Europe 0 1 3 72 0 3 9 266
Systemic risk in the financial system: capital shortfalls under Brexit, the US elections and the Italian referendum 0 0 0 0 0 0 1 1
Testing Price Equations for Stability across Spectral Frequency Bands 0 1 1 40 1 2 2 217
Testing and Valuing Dynamic Correlations for Asset Allocation 0 1 4 244 0 1 7 497
Testing for Common Features 0 0 0 0 1 4 9 1,750
Testing for Common Features: Reply 0 0 0 0 0 0 1 296
Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative 0 0 0 123 0 0 2 604
Testing macroprudential stress tests: The risk of regulatory risk weights 0 2 12 268 3 12 41 953
Testing superexogeneity and invariance in regression models 1 1 1 270 1 1 5 550
The Econometrics of Ultra-High Frequency Data 0 0 0 6 0 2 5 3,565
The Factor--Spline--GARCH Model for High and Low Frequency Correlations 0 0 0 34 0 0 2 130
The Factor–Spline–GARCH Model for High and Low Frequency Correlations 0 0 0 23 0 0 5 77
The Japanese consumption function 0 0 3 182 0 1 5 518
The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes 3 17 32 602 10 41 104 1,573
The billing cycle and weather variables in models of electricity sales 0 0 2 7 0 0 5 43
The econometrics of macroeconomics, finance, and the interface 0 0 1 437 0 2 4 826
The intertemporal capital asset pricing model with dynamic conditional correlations 1 1 4 267 1 2 11 845
The underlying dynamics of credit correlations 0 0 0 0 0 1 1 1
Time and the Price Impact of a Trade 0 1 9 252 2 5 20 683
Time-Varying Arrival Rates of Informed and Uninformed Trades 0 1 4 109 0 2 12 404
Time-Varying Volatility and the Dynamic Behavior of the Term Structure 0 0 1 258 0 1 7 689
Trades and Quotes: A Bivariate Point Process 0 0 0 0 0 1 5 316
Transportation costs and the rent gradient 0 0 1 176 0 0 5 544
Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach 0 2 7 274 0 2 17 683
What are the events that shake our world? Measuring and hedging global COVOL 2 3 15 27 2 5 36 87
What good is a volatility model? 2 7 14 80 5 17 36 283
Where does the meteor shower come from?: The role of stochastic policy coordination 0 0 0 50 0 0 4 389
Why Did Bank Stocks Crash during COVID-19? 1 2 5 5 2 5 32 32
Total Journal Articles 81 321 1,247 65,928 295 992 3,781 183,427


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A GARCH Option Pricing Model with Filtered Historical Simulation 0 0 0 0 0 2 4 17
Arch models 1 4 14 1,329 1 8 37 3,212
Effects of Aggregation Over Time on Dynamic Characteristics of an Econometric Model 0 0 0 31 0 0 2 125
Estimating Structural Models of Seasonality 0 1 1 14 0 1 1 78
Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic 1 1 1 39 2 2 5 152
Interpreting Spectral Analyses in Terms of Time-Domain Models 0 0 0 26 0 0 1 92
MEASURING SYSTEMIC RISK 1 2 3 81 1 3 8 254
Simultaneous Estimation of the Supply and Demand for Housing Location in a Multizoned Metropolitan Area 0 0 0 15 0 0 0 78
Wald, likelihood ratio, and Lagrange multiplier tests in econometrics 0 3 10 1,073 0 9 28 2,547
Total Chapters 3 11 29 2,608 4 25 86 6,555


Statistics updated 2025-07-04