Access Statistics for Robert F. Engle

Author contact details at EconPapers.

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 0 198
A GARCH Option Pricing Model in Incomplete Markets 0 1 5 204 0 6 17 449
A GENERAL APPROACH TO THE CONSTRUCTION OF MODEL DIAGNOSTICS BASED UPON THE LAGRANGE MULTIPLIER PRINCIPLE 0 0 1 1 1 2 4 4
A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets 0 0 4 157 0 3 14 378
A Model for Multivariate Non-negative Valued Processes in Financial Econometrics 0 0 3 190 0 0 6 339
A Multiple Indicators Model For Volatility Using Intra-Daily Data 0 0 1 314 0 0 4 796
A Multiple Indicators Model for Volatility Using Intra-Daily Data 0 0 0 517 3 3 8 1,218
A Supply Function Model of Aggregate Investment 0 0 0 0 0 0 4 262
A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts 0 0 0 537 0 2 5 1,398
A general Approach to the Construction of Model Diagnostics based upon the Lagrange Multiplier Principle 1 2 2 8 1 3 7 166
And Now, The Rest of the News: Volatility and Firm Specific News Arrival 1 2 8 231 1 3 32 443
Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills 0 0 1 463 3 6 12 1,441
Asymmetric dynamics in the correlations of global equity and bond returns 0 2 14 1,009 2 57 130 2,330
Autobiography 0 0 1 52 0 0 3 131
Band Spectrum Regressions 0 0 0 0 0 1 4 308
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles 0 1 3 39 2 5 17 151
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles 0 9 39 1,299 7 26 101 2,893
CAViaR: Conditional Value at Risk by Quantile Regression 0 1 3 1,414 1 6 19 3,348
COINTEGRATED ECONOMIC TIME SERIES: A SURVEY WITH NEW RESULTS 0 0 0 2 4 17 47 1,189
Copula--based Specification of vector MEMs 0 0 0 53 1 1 6 56
Copula--based Specification of vector MEMs 1 1 1 21 1 1 7 42
Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity 0 0 4 68 0 5 20 67
De Facto Discrimination in Residential Assessments: Boston 0 0 0 0 0 0 2 1,383
Do Bulls and Bears Move Acoross Borders: International Transimission of Stock Returns and Volatility as the World Turns 0 0 0 1 1 2 3 367
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns 0 0 0 215 2 6 8 938
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns 0 0 0 63 1 1 4 476
Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns 2 2 9 272 2 4 22 521
Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models 1 3 15 136 5 9 29 336
EXOGENEITY 0 0 6 6 2 4 17 17
Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model 0 0 0 17 0 2 5 65
Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model 0 0 1 247 0 2 5 601
Empirical Pricing Kernels 0 0 0 507 3 3 10 1,170
Estimating Sectoral Cycles Using Cointegration and Common Features 1 1 1 156 1 2 2 484
Estimating sectoral cycles using cointegration and common features 0 0 0 1 2 2 2 142
Estimation of the Price Elasticity of Demand Facing Metropolitan Producers 0 0 0 0 0 1 3 575
Execution Risk 0 0 1 311 0 0 2 748
Exogeneity 0 0 0 0 1 5 32 88
Exogeneity 0 1 7 22 3 5 17 840
Fitting vast dimensional time-varying covariance models 0 0 2 114 2 2 7 232
Fitting vast dimensional time-varying covariance models 0 0 5 341 5 12 29 724
Forecasting Transaction Rates: The Autoregressive Conditional Duration Model 0 0 2 485 0 2 5 1,172
GARCH Gamma 0 2 8 1,145 1 5 27 3,030
GARCH Options in Incomplete Markets 0 0 1 115 1 1 3 241
HIGH FREQUENCY MULTIPLICATIVE COMPONENT GARCH 0 1 2 302 0 2 5 667
Hedging Climate Change News 2 9 15 15 4 15 30 30
Hedging Climate Change News 1 3 3 3 3 9 12 12
Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models 0 0 0 758 0 0 1 1,952
High and Low Frequency Correlations in Global Equity Markets 0 0 3 214 0 0 12 434
Impacts of Trades in an Error-Correction Model of Quote Prices 0 0 1 26 0 0 2 83
Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts 0 0 1 319 0 1 4 829
Interpreting Spectral Analyses in Terms of Time-Domain Models 0 0 1 140 0 1 3 709
Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III 0 1 8 126 0 3 16 393
Issues in the Specification of an Econometric Model of Metropolitan Growth 0 0 0 0 0 0 0 288
Large dynamic covariance matrices 0 1 3 99 0 2 17 147
Liquidity and volatility in the U.S. treasury market 0 3 14 91 1 10 31 243
METEOR SHOWERS OR HEAT WAGES? HETEROSKEDASTIC INTRA-DAILY VOLATILITY IN A THE FOREIGN EXCHANGE MARKET 0 0 0 0 1 1 6 451
Macroeconomic Announcements and Volatility of Treasury Futures 0 0 3 44 0 3 14 138
Measuring Risk Aversion From Excess Returns on a Stock Index 0 0 0 343 5 5 8 1,049
Measuring and Testing the Impact of News on Volatility 4 7 26 1,944 6 12 50 3,545
Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market 0 1 1 425 1 4 6 1,055
Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market 0 1 6 172 0 2 22 592
Modeling a Time-Varying Order Statistic 0 0 0 281 1 1 3 987
Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market 0 1 1 421 1 2 3 1,470
Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market 0 1 1 16 1 2 6 72
Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share 0 0 0 127 0 0 0 340
Option Hedging Using Empirical Pricing Kernels 0 0 1 418 0 0 1 1,300
Risk and Volatility: Econometric Models and Financial Practice 2 2 12 429 4 4 29 858
SEASONAL INTEGRATION AND COINTEGRATION 0 0 0 2 3 8 15 1,314
SEASONAL, INTEGRATION AND COINTEGRATION 0 0 0 2 1 5 15 1,227
SRISK: a conditional capital shortfall measure of systemic risk 3 14 76 305 27 81 356 811
Semiparametric vector MEM 0 0 1 130 2 3 10 310
Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area 0 0 0 0 0 0 0 305
Some Finite Sample Properties of Spectral Estimators of a Linear Regression 0 0 0 0 0 0 1 123
Stochastic Permanent Breaks 0 0 0 12 3 5 19 85
Structural GARCH: The Volatility-Leverage Connection 0 6 21 104 1 7 34 184
Systemic Risk in Europe 0 2 4 62 1 5 12 32
TESTING SUPER EXOGENEITY AND INVARIANCE IN REGRESSION MODELS 0 0 0 1 4 8 18 555
Testing For Common Features 1 2 4 432 3 5 9 998
Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights 0 0 1 29 1 1 9 105
Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights 0 0 2 68 0 2 21 147
Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights 1 3 6 140 2 6 21 300
Testing Price Equations for Stability Across Frequencies 0 0 0 0 0 0 0 74
Testing the Volatility Term Structure Using Option Hedging Criteria 0 0 0 1 0 1 4 361
Testing the Volatility Term Structure using Option Hedging Criteria 0 0 0 567 0 1 6 1,503
The ACD Model: Predictability of the Time Between Concecutive Trades 0 2 5 186 0 5 18 464
The Econometrics of Ultra-High Frequency Data 0 1 5 1,358 1 3 13 2,726
The Factor-Spline-GARCH Model for High and Low Frequency Correlations 0 3 9 391 0 5 17 812
The Inconsistency of Distributed Lag Estimators Due to Misspecification by Time Aggregation 0 0 0 0 0 2 5 112
The Specification of the Disturbance for Efficient Estimation 0 0 0 0 0 0 1 136
The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes 0 1 6 590 1 2 20 1,375
The Underlying Dynamics of Credit Correlations 0 0 0 150 1 1 3 301
Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH 0 4 8 96 1 12 34 266
Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH 0 6 29 1,758 4 26 108 4,155
Time and the Price Impact of a Trade 2 2 4 48 2 3 11 119
Time-Varying Arrival Rates of Informed and Uninformed Trades 0 0 1 590 0 1 12 1,477
Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks 0 0 1 624 1 2 14 1,851
Time-Varying Volatility and the Dynamic Behavior of the Term Structure 0 0 1 233 0 0 7 554
Trades and Quotes: A Bivariate Point Process 0 0 0 18 0 0 2 79
Valuation of Variance Forecast with Simulated Option Markets 0 0 0 82 1 1 2 342
Value at risk models in finance 0 2 5 2,058 0 2 10 3,905
Vector Multiplicative Error Models: Representation and Inference 0 0 1 77 3 5 7 243
Vector Multiplicative Error Models: Representation and Inference 0 0 1 173 0 3 7 575
Vector Multiplicative Error Models: Representation and Inference 1 1 1 100 2 4 16 296
Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination 0 0 0 101 0 0 3 816
Total Working Papers 24 108 442 27,934 152 511 1,842 78,439


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 8 25 110 2,717 13 54 268 6,808
A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model 1 2 4 110 2 4 14 319
A GARCH Option Pricing Model with Filtered Historical Simulation 0 2 3 104 5 7 11 284
A component model for dynamic correlations 0 5 27 154 1 15 68 464
A dymimic model of housing price determination 0 0 0 303 1 1 3 715
A general approach to lagrange multiplier model diagnostics 0 0 1 188 2 4 12 529
A long memory property of stock market returns and a new model 5 7 33 2,553 13 30 130 5,035
A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones 0 0 3 132 0 0 9 373
A multi-dynamic-factor model for stock returns 0 0 1 542 0 1 9 1,091
A multiple indicators model for volatility using intra-daily data 0 2 5 286 2 9 39 762
Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models 0 0 3 547 1 3 16 996
An Asset Price Model of Aggregate Investment 0 0 1 49 0 0 2 180
An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government 0 0 0 19 1 1 4 211
Asset pricing with a factor-arch covariance structure: Empirical estimates for treasury bills 0 0 7 383 1 4 30 954
Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns 3 7 15 413 7 19 67 1,118
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data 0 0 0 11 6 11 66 2,801
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 10 42 163 5,776 59 169 695 15,233
Band Spectrum Regression 0 2 5 412 1 6 16 937
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 0 2 115
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles 1 6 18 572 6 20 56 1,276
Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks 3 15 42 377 5 35 103 1,018
Co-integration and Error Correction: Representation, Estimation, and Testing 19 58 220 14,680 79 282 1,190 34,712
Co-integration and error correction: Representation, estimation, and testing 6 14 49 374 23 51 165 1,111
Codependent cycles 0 1 5 189 0 1 7 809
Combining competing forecasts of inflation using a bivariate arch model 1 2 6 159 2 4 20 370
Common Persistence in Conditional Variances 0 0 2 368 0 0 13 903
Common Seasonal Features: Global Unemployment 0 0 0 0 1 1 3 281
Common Trends and Common Cycles 0 3 23 1,109 0 4 56 3,310
Common Volatility in International Equity Markets 0 0 0 0 1 3 29 727
Common trends and common cycles in Latin America 0 2 3 8 1 3 8 28
Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment 0 0 0 13 0 0 0 102
Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity 0 1 1 3 1 3 6 15
Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility 1 2 12 287 5 11 41 896
Dynamic Conditional Beta 0 3 6 48 0 4 16 92
Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models 0 0 0 0 5 11 72 3,019
Dynamic Equicorrelation 0 3 11 45 1 9 34 162
Empirical pricing kernels 0 5 7 426 3 9 28 935
Estimates of the Variance of U.S. Inflation Based upon the ARCH Model 0 5 22 552 0 8 48 1,244
Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: Reply 0 0 0 72 1 1 1 296
Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model 6 10 65 2,026 18 40 164 4,830
Estimating common sectoral cycles 0 0 3 141 1 2 8 319
Estimation of the price elasticity of demand facing metropolitan producers 0 0 0 30 0 1 3 115
Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions 0 0 0 60 1 1 1 186
Exogeneity 4 11 55 1,374 16 37 134 4,723
Financial econometrics - A new discipline with new methods 1 1 1 180 1 2 5 425
Forecasting and testing in co-integrated systems 9 24 60 1,411 13 43 131 2,656
Forecasting intraday volatility in the US equity market. Multiplicative component GARCH 0 6 14 78 2 9 28 136
Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model 0 0 6 280 2 3 13 515
GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics 0 1 8 4,351 2 14 77 9,469
GLOBALIZATION: CONTENTS AND DISCONTENTS 0 2 14 29 6 11 57 108
Hourly volatility spillovers between international equity markets 2 3 9 349 4 5 23 731
Impacts of trades in an error-correction model of quote prices 1 3 4 230 5 9 18 601
Implied ARCH models from options prices 2 5 16 679 5 13 40 1,386
Issues in the specification of an econometric model of metropolitan growth 0 0 1 36 0 0 2 114
Long-Term Skewness and Systemic Risk 0 0 2 54 1 4 11 174
Measuring and Testing the Impact of News on Volatility 8 17 65 1,146 16 38 185 2,669
Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting 1 1 3 265 2 5 11 629
Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market 2 12 43 542 6 30 118 1,692
Modeling the Dynamics of Correlations among Implied Volatilities 0 0 1 19 0 0 6 63
Multivariate Simultaneous Generalized ARCH 6 19 90 964 22 52 227 2,164
New frontiers for arch models 1 2 4 595 2 3 18 1,720
On the determination of regional base and regional base multipliers 0 0 0 81 0 0 1 191
On the theory of growth controls 0 0 1 62 0 0 8 170
POLICY PILLS FOR A METROPOLITAN ECONOMY 0 0 0 0 0 0 0 0
Predicting VNET: A model of the dynamics of market depth 1 2 8 320 2 5 18 677
Priced risk and asymmetric volatility in the cross section of skewness 0 2 3 17 1 3 7 89
Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis 0 0 0 16 0 0 0 55
Residential load curves and time-of-day pricing: An econometric analysis 0 0 0 241 0 1 5 885
Risk and Volatility: Econometric Models and Financial Practice 1 2 13 1,462 5 10 42 3,230
Robert F Engle: Understanding volatility as a process 0 2 4 26 0 3 7 138
SEMIPARAMETRIC VECTOR MEM 0 0 0 28 0 2 7 85
SRISK: A Conditional Capital Shortfall Measure of Systemic Risk 6 13 51 101 25 57 168 285
Scenario generation for long run interest rate risk assessment 0 0 3 8 1 3 15 36
Seasonal integration and cointegration 4 10 37 1,502 6 20 98 3,058
Semiparametric ARCH Models 0 0 0 0 2 7 42 1,041
Shorte-run forecasts of electricity loads and peaks 0 2 11 201 0 2 16 444
Small-Sample Properties of ARCH Estimators and Tests 0 0 0 47 1 1 2 364
Some Finite Sample Properties of Spectral Estimators of a Linear Regression 0 0 0 39 0 0 2 171
Specification of the Disturbance for Efficient Estimation 0 0 1 17 0 0 1 101
Stochastic Permanent Breaks 0 1 4 143 1 3 10 506
Stock Market Volatility and Macroeconomic Fundamentals 13 44 123 551 25 83 242 1,237
Stock Volatility and the Crash of '87: Discussion 1 1 5 123 1 1 11 302
Structural GARCH: The Volatility-Leverage Connection 0 1 4 4 1 3 14 14
Systemic Risk 10 Years Later 1 1 2 2 2 4 10 10
Systemic Risk in Europe 1 2 7 43 2 5 33 141
Testing Price Equations for Stability across Spectral Frequency Bands 0 1 2 38 0 1 4 200
Testing and Valuing Dynamic Correlations for Asset Allocation 0 1 5 223 0 2 14 432
Testing for Common Features 0 0 0 0 2 7 18 1,666
Testing for Common Features: Reply 0 0 0 0 2 3 5 272
Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative 0 0 0 121 1 1 2 584
Testing macroprudential stress tests: The risk of regulatory risk weights 2 9 37 138 7 25 117 444
Testing superexogeneity and invariance in regression models 1 2 6 255 4 8 18 494
The Econometrics of Ultra-High Frequency Data 0 0 0 6 1 4 37 3,466
The Factor--Spline--GARCH Model for High and Low Frequency Correlations 0 0 1 31 1 2 9 95
The Japanese consumption function 0 0 3 169 1 2 8 475
The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes 1 6 30 452 6 15 82 1,051
The billing cycle and weather variables in models of electricity sales 0 0 0 4 1 1 3 29
The econometrics of macroeconomics, finance, and the interface 0 1 2 431 0 1 4 800
The intertemporal capital asset pricing model with dynamic conditional correlations 0 1 12 204 2 6 40 641
Time-Varying Arrival Rates of Informed and Uninformed Trades 0 2 6 87 1 6 19 311
Time-Varying Volatility and the Dynamic Behavior of the Term Structure 0 0 2 249 3 4 10 627
Trades and Quotes: A Bivariate Point Process 0 0 0 0 0 1 2 282
Transportation costs and the rent gradient 1 2 6 163 1 2 9 499
Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach 0 6 15 237 3 12 39 578
What good is a volatility model? 0 0 1 36 2 2 9 132
Where does the meteor shower come from?: The role of stochastic policy coordination 0 0 0 49 2 2 4 357
Total Journal Articles 134 445 1,677 56,747 489 1,440 5,849 152,321
1 registered items for which data could not be found


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Arch models 4 16 52 1,170 9 34 138 2,717
Effects of Aggregation Over Time on Dynamic Characteristics of an Econometric Model 0 0 0 27 1 3 7 108
Estimating Structural Models of Seasonality 0 0 0 22 0 0 0 52
Estimating Structural Models of Seasonality 0 0 0 10 0 0 0 52
Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic 0 0 1 37 1 1 4 127
Interpreting Spectral Analyses in Terms of Time-Domain Models 0 0 0 21 1 1 1 62
MEASURING SYSTEMIC RISK 0 0 1 49 1 1 6 108
Simultaneous Estimation of the Supply and Demand for Housing Location in a Multizoned Metropolitan Area 1 1 2 13 1 1 2 63
Wald, likelihood ratio, and Lagrange multiplier tests in econometrics 1 2 24 981 6 8 57 2,323
Total Chapters 6 19 80 2,330 20 49 215 5,612


Statistics updated 2019-09-09