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R. F. Engle | lit.salon
R. F. Engle
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Books by R. F. Engle (50 max)
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Long-run economic relationships: readings in cointegration
1991
R. F. Engle, C. W. J. Granger
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Volatility and time series econometrics: essays in honor of Robert F. Engle
2009
R. F. Engle, Mark W. Watson, Tim Bollerslev
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The inconsistency of distributed lag estimators due to misspecification by time aggregation
1970
R. F. Engle
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The specification of the disturbance for efficient estimation
1971
R. F. Engle
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Band spectrum regressions
1972
R. F. Engle
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Issues in the specification of an econometric model of metropolitan growth
1973
R. F. Engle
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A disequilibrium model of regional investment
1973
R. F. Engle
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De facto discrimination in residential assessments: Boston
1973
R. F. Engle
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Some finite sample properties of spectral estimators of a linear regression
1973
R. F. Engle
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Testing price equations for stability across frequencies
1974
R. F. Engle
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Autoregressive conditional heteroscedasticity with estimates of the variance of inflationary expectations
1979
R. F. Engle
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general approach to the construction of model diagnostics based upon the lagrange multiplier principle
1979
R. F. Engle
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Exogeneity
1979
R. F. Engle
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Valuation of variance forecasts with simulated option markets
1990
R. F. Engle
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Measuring and testing the impact of news on volatility
1991
R. F. Engle
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Time-varying volatility and the dynamic behavior of the term structure
1991
R. F. Engle
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Index-option pricing with stochastic volatility and the value of accurate variance forecasts
1993
R. F. Engle
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Estimating sectorial cycles using cointegration and common features
1993
R. F. Engle
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Forecasting transaction rates: the autoregressive conditional duration model
1994
R. F. Engle
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Hedging options in a GARCH environment: testing the term structure of stochastic volatility models
1994
R. F. Engle
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GARCH gamma
1995
R. F. Engle
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The econometrics of ultra-high frequency data
1996
R. F. Engle
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Common seasonal features: global unemployment
1996
R. F. Engle, Svend Hylleberg
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Measuring, forecasting, and explaining time varying liquidity in the stock market
1997
R. F. Engle
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Cointegration, causality, and forecasting: a festschrift in honour of Clive W.J. Granger
1999
R. F. Engle, Halbert White
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CAViaR: conditional value at risk by quantile regression
1999
R. F. Engle
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Theoretical and empirical properties of Dynamic Conditional Correlation Multivariate GARCH
2001
R. F. Engle
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Value at risk models in finance
2001
Simone Manganelli, R. F. Engle, European Central Bank
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multiple indicators model for volatility using intra-daily data
2003
R. F. Engle
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Execution risk
2006
R. F. Engle
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Volatility and time series econometrics: essays in honor of Robert F. Engle
2010
R. F. Engle
