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Information about:
Robert F. Engle

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Personal Details

First Name: Robert
Middle Name: F.
Last Name: Engle
Suffix:

RePEc Short-ID: pen9

Email: [This author has chosen not to make the email address public]
Homepage: http://pages.stern.nyu.edu/~rengle/
Postal Address: Robert Engle obtained the Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel in 2003. His entry is maintained by the RePEc team. The listed email address will not respond to inquiries.
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Affiliation

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Lists

This author is among the top 5% authors according to these criteria:
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  4. Number of Distinct Works, Weighted by Simple Impact Factor
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  6. Number of Distinct Works, Weighted by Number of Authors
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  9. Number of Citations
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  12. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  13. Number of Citations, Weighted by Recursive Impact Factor
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  19. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  20. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  21. h, where author has written h papers that have each been cited at least h times.
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  24. Number of Journal Pages
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  26. Number of Journal Pages, Weighted by Recursive Impact Factor
  27. Number of Journal Pages, Weighted by Number of Authors
  28. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
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  30. Number of Abstract Views in RePEc Services over the past 12 months
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  34. Wu-Index
This author is featured on the following reading lists or publication compilations:
  1. Nobel laureates in economics

Works

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Working papers

  1. Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi, 2008. "A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets," Econometrics Working Papers Archive wp2008_09, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]

  2. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2007. "A Model for Multivariate Non-negative Valued Processes in Financial Econometrics," Econometrics Working Papers Archive wp2007_16, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]

  3. Giovanni Barone-Adesi & Robert Engle & Loriano Mancini, 2006. "GARCH Options in Incomplete Markets," CEI Working Paper Series 2005-12, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]

  4. Robert Engle & Robert Ferstenberg, 2006. "Execution Risk," NBER Working Papers 12165, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  5. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2006. "Vector Multiplicative Error Models: Representation and Inference," NBER Working Papers 12690, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

  6. Robert F. Engle & Jose Gonzalo Rangel, 2005. "The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes," Working Papers 2005/13, Czech National Bank, Research Department. [Downloadable!]

  7. Magdalena E. Sokalska & Ananda Chanda & Robert F. Engle, 2005. "High Frequency Multiplicative Component Garch," Computing in Economics and Finance 2005 409, Society for Computational Economics. [Downloadable!]

  8. Engle III, Robert F., 2004. "Autobiography," Nobel Prize in Economics documents 2003-3, Nobel Prize Committee. [Downloadable!]

  9. Giovanni Barone-Adesi & Robert F. Engle & Loriano Mancini, 2004. "A GARCH Option Pricing Model in Incomplete Markets," Swiss Finance Institute Research Paper Series 07-03, Swiss Finance Institute, revised Feb 2007. [Downloadable!]

  10. Robert F. Engle & Giampiero M. Gallo, 2003. "A Multiple Indicators Model for Volatility Using Intra-Daily Data," NBER Working Papers 10117, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

  11. Engle III, Robert F. & Granger, Clive W. J., 2003. "Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III," Nobel Prize in Economics documents 2003-5, Nobel Prize Committee. [Downloadable!]

  12. Engle III, Robert F., 2003. "Risk and Volatility: Econometric Models and Financial Practice," Nobel Prize in Economics documents 2003-4, Nobel Prize Committee. [Downloadable!]
    Published as:

  13. Kevin Sheppard & Robert F. Engle & Lorenzo Cappiello, 2003. "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series 204, European Central Bank. [Downloadable!]
    Published as:

  14. David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2002. "Time-Varying Arrival Rates of Informed and Uninformed Trades," Finance 0207017, EconWPA. [Downloadable!]

  15. Robert F. Engle & Kevin Sheppard, 2001. "Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH," University of California at San Diego, Economics Working Paper Series 2001-15, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:

  16. Simone Manganelli & Robert F. Engle, 2001. "Value at risk models in finance," Working Paper Series 075, European Central Bank. [Downloadable!]

  17. Robert Engle & Andrew Patton, 2000. "Impacts of Trades in an Error-Correction Model of Quote Prices," University of California at San Diego, Economics Working Paper Series 2000-26, Department of Economics, UC San Diego. [Downloadable!]
    Published as:

  18. Joshua Rosenberg & Robert F. Engle, 2000. "Empirical Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-014, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    Published as:

  19. Alfonso Dufour & Robert F Engle, 2000. "The ACD Model: Predictability of the Time Between Concecutive Trades," ICMA Centre Discussion Papers in Finance icma-dp2000-05, School of Business, Reading University. [Downloadable!]

  20. Robert F. Engle, 2000. "Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models," University of California at San Diego, Economics Working Paper Series 2000-09, Department of Economics, UC San Diego. [Downloadable!]

  21. Young-Hye Cho & Robert F. Engle, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," University of California at San Diego, Economics Working Paper Series 99-05, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:

  22. Robert F. Engle & Simone Manganelli, 1999. "CAViaR: Conditional Value at Risk by Quantile Regression," NBER Working Papers 7341, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  23. Simone Manganelli & Robert F. Engle, 1999. "Modeling a Time-Varying Order Statistic," Computing in Economics and Finance 1999 952, Society for Computational Economics. [Downloadable!]

  24. Robert F. Engle & Simone Manganelli, 1999. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," University of California at San Diego, Economics Working Paper Series 99-20, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
    Published as:

  25. Young-Hye Cho & Robert F. Engle, 1999. "Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks," NBER Working Papers 7330, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  26. Alfonso Dufour & Robert F. Engle, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series 99-15, Department of Economics, UC San Diego. [Downloadable!]
    Published as:

  27. Li Li & Robert F. Engle, 1998. "Macroeconomic Announcements and Volatility of Treasury Futures," University of California at San Diego, Economics Working Paper Series 98-27, Department of Economics, UC San Diego. [Downloadable!]

  28. Robert F. Engle & Asger Lunde, 1998. "Trades and Quotes: A Bivariate Point Process," University of California at San Diego, Economics Working Paper Series 98-07, Department of Economics, UC San Diego. [Downloadable!]
    Published as:

  29. Jeffrey R. Russell & Robert F. Engle, 1998. "Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model," University of California at San Diego, Economics Working Paper Series 98-10, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:

  30. Robert F. Engle & Aaron D. Smith, 1998. "Stochastic Permanent Breaks," University of California at San Diego, Economics Working Paper Series 98-03, Department of Economics, UC San Diego. [Downloadable!]
    Published as:

  31. Patrick Burns & Robert Engle & Joseph Mezrich, 1998. "Correlations and Volatilities of Asynchronous Data," University of California at San Diego, Economics Working Paper Series 97-30r, Department of Economics, UC San Diego. [Downloadable!]

  32. Joshua V. Rosenberg & Robert F. Engle, 1997. "Option Hedging Using Empirical Pricing Kernels," University of California at San Diego, Economics Working Paper Series 97-20, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:

  33. Robert F. Engle & Joe Lange, 1997. "Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market," University of California at San Diego, Economics Working Paper Series 97-12r, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:

  34. Robert F. Engle & Yin-Feng Gau, 1997. "Conditional Volatility of Exchange Rates Under a Target Zone," University of California at San Diego, Economics Working Paper Series 97-06, Department of Economics, UC San Diego. [Downloadable!]

  35. Robert F. Engle, 1996. "The Econometrics of Ultra-High Frequency Data," University of California at San Diego, Economics Working Paper Series 96-15, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
    Published as:

  36. Robert F. Engle & Jeffrey R. Russell, 1995. "Forecasting the Frequency of Changes in Quoted Foreign Exchange Prices with the Autoregressive Conditional Duration Model," University of California at San Diego, Economics Working Paper Series 95-33, Department of Economics, UC San Diego.
    Published as:

  37. Robert F. Engle & Joshua Rosenberg, 1995. "Testing the Term Structure of Stochastic Volatility Models Using Option Hedging Performance Criteria," University of California at San Diego, Economics Working Paper Series 94-25r, Department of Economics, UC San Diego.

  38. Robert F. Engle & Gary G.J. Lee, 1995. "Estimating Diffusion Models of Stochastic Volatility," University of California at San Diego, Economics Working Paper Series 95-46, Department of Economics, UC San Diego.

  39. Robert F. Engle & Jeffrey R. Russell, 1995. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Time Series Data," University of California at San Diego, Economics Working Paper Series 94-27r, Department of Economics, UC San Diego.

  40. Robert F. Engle & Joshua V. Rosenberg, 1995. "GARCH Gamma," University of California at San Diego, Economics Working Paper Series 95-25, Department of Economics, UC San Diego.
    Other versions:
    • Robert F. Engle & Joshua V. Rosenberg, 1995. "GARCH Gamma," NBER Working Papers 5128, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  41. Jaesun Noh & Robert F. Engle & Alex Kane, 1994. "Forecasting Volatility and Option Prices of the S&P 500 Index," University of California at San Diego, Economics Working Paper Series 93-32r, Department of Economics, UC San Diego. [Downloadable!]

  42. Robert F. Engle & Joshua Rosenberg, 1994. "Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models," NBER Working Papers 4958, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  43. Robert F. Engle & Jeffrey R. Russell, 1994. "Forecasting Transaction Rates: The Autoregressive Conditional Duration Model," NBER Working Papers 4966, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  44. Robert F. Engle & Alex Kane & Jaesun Noh, 1993. "Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts," University of California at San Diego, Economics Working Paper Series 93-43, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:

  45. Farshid Vahid & Robert F. Engle, 1993. "Non-Synchronous Common Cycles," University of California at San Diego, Economics Working Paper Series 93-55, Department of Economics, UC San Diego. [Downloadable!]

  46. Jaesun Noh & Robert F. Engle & Alex Kane, 1993. "A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts," NBER Working Papers 4520, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  47. Robert F. Engle & Gary G.J. Lee, 1993. "Long Run Volatility Forecasting for Individual Stocks in a One Factor Model," University of California at San Diego, Economics Working Paper Series 93-30, Department of Economics, UC San Diego. [Downloadable!]

  48. Robert F. Engle & Jo‹o Victor Issler, 1993. "Common Trends and Common Cycles in Latin America," University of California at San Diego, Economics Working Paper Series 93-04, Department of Economics, UC San Diego.

  49. Robert F. Engle & Gary G.J. Lee, 1993. "A Permanent and Transitory Component Model of Stock Return Volatility," University of California at San Diego, Economics Working Paper Series 92-44r, Department of Economics, UC San Diego. [Downloadable!]

  50. Robert F. Engle & Kenneth F. Kroner previously & Yoshihisa Baba & Dennis F. Kraft, 1993. "Multivariate Simultaneous Generalized ARCH," University of California at San Diego, Economics Working Paper Series 89-57r, Department of Economics, UC San Diego. [Downloadable!]

  51. Tim Bollerslev & Robert F. Engle & Daniel B. Nelson, 1993. "ARCH Models," University of California at San Diego, Economics Working Paper Series 93-49, Department of Economics, UC San Diego. [Downloadable!]
    Published as:
    • Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038 Elsevier. [Downloadable!] (restricted)

  52. Robert Engle & Clive Granger & Ramu Ramanathan & Farshid Vahid-Araghi & Casey Brace, 1992. "Short-Run Forecasts of Electricity Loads and Peaks," University of California at San Diego, Economics Working Paper Series 92-49, Department of Economics, UC San Diego.
    Published as:

  53. Robert F. Engle & Che-Hsiung Ted Hong & Alex Kane & Jaesun Noh, 1992. "Arbitrage Valuation of Variance Forecasts with Simulated Options," University of California at San Diego, Economics Working Paper Series 92-19, Department of Economics, UC San Diego.

  54. Robert F. Engle & Raul Susmel, 1992. "Common Volatility in International Equity Markets," University of California at San Diego, Economics Working Paper Series 92-09, Department of Economics, UC San Diego.
    Published as:

  55. Takatoshi Ito & Robert F. Engle & Wen-Ling Lin, 1992. "Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination," NBER Working Papers 3504, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  56. Zhuanxin Ding & Clive Granger & Robert Engle, 1992. "A Long Memory Property of Stock Market Returns and a New Model," University of California at San Diego, Economics Working Paper Series 92-21, Department of Economics, UC San Diego.
    Published as:

  57. Robert F. Engle & Joao Victor Issler, 1992. "Estimating Sectoral Cycles Using Cointegration and Common Features," University of California at San Diego, Economics Working Paper Series 92-20, Department of Economics, UC San Diego.
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  58. Farshid Vahid & Robert F. Engle, 1992. "Common Trends and Common Cycles," University of California at San Diego, Economics Working Paper Series 92-04, Department of Economics, UC San Diego.
    Published as:

  59. Raul Susmel & Robert F. Engle, 1992. "Hourly Volatility Spillovers Between International Equity Markets," University of California at San Diego, Economics Working Paper Series 92-08, Department of Economics, UC San Diego.
    Published as:

  60. Robert F. Engle & Victor K. Ng, 1991. "Time-Varying Volatility and the Dynamic Behavior of the Term Structure," University of California at San Diego, Economics Working Paper Series 91-15, Department of Economics, UC San Diego.
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  61. Ray Chou & Robert F. Engle & Alex Kane, 1991. "Measuring Risk Aversion From Excess Returns on a Stock Index," NBER Working Papers 3643, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  62. Lin, W.L. & Engle, R.F. & Ito, T., 1991. "Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns," Working papers 9121, Wisconsin Madison - Social Systems.
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  63. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility Download paper: PDF," University of California at San Diego, Economics Working Paper Series 91-12, Department of Economics, UC San Diego. [Downloadable!]

  64. Robert F. Engle, 1991. "Statistical Models for Financial Volatility Download paper: PDF," University of California at San Diego, Economics Working Paper Series 91-32, Department of Economics, UC San Diego. [Downloadable!]

  65. Robert F. Engle & Takatoshi Ito & Wen-Ling Lin, 1991. "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market," NBER Working Papers 2609, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  66. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  67. Robert F. Engle & Che-Hsiung Ted Hong & Alex Kane, 1990. "Valuation of Variance Forecasts with Simulated Option Markets," University of California at San Diego, Economics Working Paper Series 90-16, Department of Economics, UC San Diego.
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  68. Robert F. Engle & Gloria Gonzalez-Rivera, 1990. "Semiparametric Arch Models," University of California at San Diego, Economics Working Paper Series 89-17r, Department of Economics, UC San Diego.
    Published as:

  69. Engle, R.F. & Granger, C.W.J. & Hylleberg, S. & Lee, H.S., 1990. "Seasonal Cointegration: The Japanese Consumption Function," Economics Working Papers 1990-10, School of Economics and Management, University of Aarhus.

  70. Scott J. Brown & N. Edward Coulson & Robert F. Engle, 1990. "Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share," NBER Working Papers 3291, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  71. Engle, R. & Hendry, D., 1990. "Testing Super Exogeneity And Invariance In Regression Models," Economics Series Working Papers 99100, University of Oxford, Department of Economics.
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  72. Robert F. Engle & Sharon Kozicki, 1990. "Testing for Common Featurs," University of California at San Diego, Economics Working Paper Series 90-23, Department of Economics, UC San Diego.
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  73. Engle, R.F. & Yoo, B.S., 1989. "Cointegrated Economic Time Series: A Survey With New Results," Papers 8-89-13, Pennsylvania State - Department of Economics.

  74. Engel, R.F. & Ito, T. & Lin, W-L., 1988. "Meteor Showers Or Heat Wages? Heteroskedastic Intra-Daily Volatility In A The Foreign Exchange Market," Papers 246, Minnesota - Center for Economic Research.

  75. Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal Integration And Cointegration," Papers 0-88-2, Pennsylvania State - Department of Economics.
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  76. Robert F. Engle & Victor Ng & Michael Rothschild, 1988. "Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills," NBER Technical Working Papers 0065, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  77. Engle, Robert F & Hendry, David F & Richard, Jean-Francois, 1979. "Exogeneity," The Warwick Economics Research Paper Series (TWERPS) 162, University of Warwick, Department of Economics.
    Published as:
    • Engle, Robert F & Hendry, David F & Richard, Jean-Francois, 1983. "Exogeneity," Econometrica, Econometric Society, vol. 51(2), pages 277-304, March. [Downloadable!] (restricted)

  78. Engle, Robert F, 1979. "A general Approach to the Construction of Model Diagnostics based upon the Lagrange Multiplier Principle," The Warwick Economics Research Paper Series (TWERPS) 156, University of Warwick, Department of Economics.

  79. K. Bradbury & R. Engle et al., 1975. "Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area," Working papers 160, Massachusetts Institute of Technology (MIT), Department of Economics.

  80. R. F. Engle, 1975. "Estimation of the Price Elasticity of Demand Facing Metropolitan Producers," Working papers 162, Massachusetts Institute of Technology (MIT), Department of Economics.
    Published as:

  81. R. F. Engle, 1974. "Testing Price Equations for Stability Across Frequencies," Working papers 144, Massachusetts Institute of Technology (MIT), Department of Economics.

  82. Robert F. Engle, 1974. "Interpreting Spectral Analyses in Terms of Time-Domain Models," NBER Working Papers 0037, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  83. R. F. Engle, 1973. "A Disequilibrium Model of Regional Investment," Working papers 121, Massachusetts Institute of Technology (MIT), Department of Economics.

  84. R. F. Engle & R. Gardner, 1973. "Some Finite Sample Properties of Spectral Estimators of a Linear Regression," Working papers 122, Massachusetts Institute of Technology (MIT), Department of Economics.
    Published as:

  85. R. F. Engle, 1973. "De Facto Discrimination in Residential Assessments: Boston," Working papers 119, Massachusetts Institute of Technology (MIT), Department of Economics.

  86. R. F. Engle, 1973. "Issues in the Specification of an Econometric Model of Metropolitan Growth," Working papers 120, Massachusetts Institute of Technology (MIT), Department of Economics.
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  87. R. Engle & D. Foley, 1972. "A Supply Function Model of Aggregate Investment," Working papers 89, Massachusetts Institute of Technology (MIT), Department of Economics.

  88. R. F. Engle, 1972. "Band Spectrum Regressions," Working papers 96, Massachusetts Institute of Technology (MIT), Department of Economics.
    Published as:
    • Engle, Robert F, 1974. "Band Spectrum Regression," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 1-11, February. [Downloadable!] (restricted)

  89. R. F. Engle, 1971. "The Specification of the Disturbance for Efficient Estimation," Working papers 76, Massachusetts Institute of Technology (MIT), Department of Economics.

  90. R. E. Engle, 1970. "The Inconsistency of Distributed Lag Estimators Due to Misspecification by Time Aggregation," Working papers 63, Massachusetts Institute of Technology (MIT), Department of Economics.

  91. Robert F. Engle & Joshua Rosenberg, 1966. "Testing the Volatility Term Structure Using Option Hedging Criteria," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-24, New York University, Leonard N. Stern School of Business-.
    Other versions:

  92. Robert F. Engle & Svend Hylleberg, . "Common Seasonal Features: Global Unemployment," Economics Working Papers 1996-13, School of Economics and Management, University of Aarhus. [Downloadable!]
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    Published as:

Articles

  1. Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006. "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, Oxford University Press, vol. 4(4), pages 537-572. [Downloadable!] (restricted)
    Other versions:

  2. Engle, Robert F. & Gallo, Giampiero M., 2006. "A multiple indicators model for volatility using intra-daily data," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 3-27. [Downloadable!] (restricted)
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  3. Engle, Robert F. & Marcucci, Juri, 2006. "A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones," Journal of Econometrics, Elsevier, vol. 132(1), pages 7-42, May. [Downloadable!] (restricted)

  4. Engle, Robert & Colacito, Riccardo, 2006. "Testing and Valuing Dynamic Correlations for Asset Allocation," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 238-253, April. [Downloadable!] (restricted)

  5. Diebold, F.X. & Engle, R.F. & Favero, C. & Gallo, G.M. & Schorfheide, F., 2006. "The econometrics of macroeconomics, finance, and the interface," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 1-2. [Downloadable!] (restricted)

  6. Russell, Jeffrey R. & Engle, Robert F., 2005. "A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 166-180, April. [Downloadable!] (restricted)

  7. Engle, Robert F. & Patton, Andrew J., 2004. "Impacts of trades in an error-correction model of quote prices," Journal of Financial Markets, Elsevier, vol. 7(1), pages 1-25, January. [Downloadable!] (restricted)
    Other versions:

  8. Robert Engle, 2004. "Risk and Volatility: Econometric Models and Financial Practice," American Economic Review, American Economic Association, vol. 94(3), pages 405-420, June. [Downloadable!]
    Other versions:

  9. Robert F. Engle & Simone Manganelli, 2004. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 367-381, October. [Downloadable!] (restricted)
    Other versions:

  10. Robert F. Engle & Asger Lunde, 2003. "Trades and Quotes: A Bivariate Point Process," Journal of Financial Econometrics, Oxford University Press, vol. 1(2), pages 159-188.
    Other versions:

  11. Robert Engle, 2002. "New frontiers for arch models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 425-446. [Downloadable!]

  12. Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-50, July.

  13. Rosenberg, Joshua V. & Engle, Robert F., 2002. "Empirical pricing kernels," Journal of Financial Economics, Elsevier, vol. 64(3), pages 341-372, June. [Downloadable!] (restricted)
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  14. Robert Engle, 2001. "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 157-168, Fall. [Downloadable!] (restricted)

  15. Engle, Robert F. & Lange, Joe, 2001. "Predicting VNET: A model of the dynamics of market depth," Journal of Financial Markets, Elsevier, vol. 4(2), pages 113-142, April. [Downloadable!] (restricted)

  16. Engle, Robert, 2001. "Financial econometrics - A new discipline with new methods," Journal of Econometrics, Elsevier, vol. 100(1), pages 53-56, January. [Downloadable!] (restricted)

  17. Robert F. Engle, 2000. "The Econometrics of Ultra-High Frequency Data," Econometrica, Econometric Society, vol. 68(1), pages 1-22, January.
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  18. Alfonso Dufour & Robert F. Engle, 2000. "Time and the Price Impact of a Trade," Journal of Finance, American Finance Association, vol. 55(6), pages 2467-2498, December. [Downloadable!] (restricted)
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  19. Robert F. Engle & Aaron D. Smith, 1999. "Stochastic Permanent Breaks," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 553-574, November. [Downloadable!] (restricted)
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  20. Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.

  21. Ramanathan, Ramu & Engle, Robert & Granger, Clive W. J. & Vahid-Araghi, Farshid & Brace, Casey, 1997. "Shorte-run forecasts of electricity loads and peaks," International Journal of Forecasting, Elsevier, vol. 13(2), pages 161-174, June. [Downloadable!] (restricted)
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  22. Engle, Robert F. & Russell, Jeffrey R., 1997. "Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 187-212, June. [Downloadable!] (restricted)
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  23. Vahid, Farshid & Engle, Robert F., 1997. "Codependent cycles," Journal of Econometrics, Elsevier, vol. 80(2), pages 199-221, October. [Downloadable!] (restricted)

  24. Engle, Robert F & Hylleberg, Svend, 1996. "Common Seasonal Features: Global Unemployment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(4), pages 615-30, November.
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  25. Engle, Robert F. & Issler, Joao Victor, 1995. "Estimating common sectoral cycles," Journal of Monetary Economics, Elsevier, vol. 35(1), pages 83-113, February. [Downloadable!] (restricted)

  26. Lin, Wen-Ling & Engle, Robert F & Ito, Takatoshi, 1994. "Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 7(3), pages 507-38. [Downloadable!] (restricted)

  27. Susmel, Raul & Engle, Robert F., 1994. "Hourly volatility spillovers between international equity markets," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 3-25, February. [Downloadable!] (restricted)
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  28. Engle, Robert F, 1994. "Bayesian Analysis of Stochastic Volatility Models: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 395-96, October.

  29. Engle, Robert F & Susmel, Raul, 1993. "Common Volatility in International Equity Markets," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 167-76, April.
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  30. Engle, Robert F & Ng, Victor K, 1993. "Time-Varying Volatility and the Dynamic Behavior of the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(3), pages 336-49, August. [Downloadable!] (restricted)
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  31. Engle, R. F. & Granger, C. W. J. & Hylleberg, S. & Lee, H. S., 1993. "The Japanese consumption function," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 275-298. [Downloadable!] (restricted)

  32. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 393-95, October.

  33. Bollerslev, Tim & Engle, Robert F, 1993. "Common Persistence in Conditional Variances," Econometrica, Econometric Society, vol. 61(1), pages 167-86, January. [Downloadable!] (restricted)

  34. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December. [Downloadable!] (restricted)
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  35. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June. [Downloadable!] (restricted)
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  36. Engle, Robert F. & Hendry, David F., 1993. "Testing superexogeneity and invariance in regression models," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 119-139, March. [Downloadable!] (restricted)
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  37. Vahid, F & Engle, Robert F, 1993. "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 341-60, Oct.-Dec.. [Downloadable!] (restricted)
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  38. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 369-80, October.
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  39. Brown, Scott J. & Coulson, N. Edward & Engle, Robert F., 1992. "On the determination of regional base and regional base multipliers," Regional Science and Urban Economics, Elsevier, vol. 22(4), pages 619-635, November. [Downloadable!] (restricted)

  40. Engle, Robert F. & Mustafa, Chowdhury, 1992. "Implied ARCH models from options prices," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 289-311. [Downloadable!] (restricted)

  41. Ng, Victor & Engle, Robert F. & Rothschild, Michael, 1992. "A multi-dynamic-factor model for stock returns," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 245-266. [Downloadable!] (restricted)

  42. Ito, Takatoshi & Engle, Robert F. & Lin, Wen-Ling, 1992. "Where does the meteor shower come from? : The role of stochastic policy coordination," Journal of International Economics, Elsevier, vol. 32(3-4), pages 221-240, May. [Downloadable!] (restricted)
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  43. Engle, Robert & Navarro, Peter & Carson, Richard, 1992. "On the theory of growth controls," Journal of Urban Economics, Elsevier, vol. 32(3), pages 269-283, November. [Downloadable!] (restricted)

  44. Engle, Robert F & Gonzalez-Rivera, Gloria, 1991. "Semiparametric ARCH Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(4), pages 345-59, October.
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  45. Engle, Robert F. & Ng, Victor K. & Rothschild, Michael, 1990. "Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 213-237. [Downloadable!] (restricted)
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  46. Engle, Robert F, 1990. "Stock Volatility and the Crash of '87: Discussion," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(1), pages 103-06. [Downloadable!] (restricted)

  47. Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990. "Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 58(3), pages 525-42, May. [Downloadable!] (restricted)
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  48. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238. [Downloadable!] (restricted)
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  49. Engle, R. F. & Granger, C. W. J. & Hallman, J. J., 1989. "Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting," Journal of Econometrics, Elsevier, vol. 40(1), pages 45-62, January. [Downloadable!] (restricted)

  50. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-31, February. [Downloadable!] (restricted)

  51. Engle, Robert F, 1988. "Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: Reply," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 20(3), pages 422-23, August. [Downloadable!] (restricted)

  52. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March. [Downloadable!] (restricted)

  53. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May. [Downloadable!] (restricted)

  54. Coulson, N. Edward & Engle, Robert F., 1987. "Transportation costs and the rent gradient," Journal of Urban Economics, Elsevier, vol. 21(3), pages 287-297, May. [Downloadable!] (restricted)

  55. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March. [Downloadable!] (restricted)

  56. Robert Engle & Tim Bollerslev, 1986. "Reply," Econometric Reviews, Taylor and Francis Journals, vol. 5(1), pages 81-87. [Downloadable!] (restricted)

  57. Robert Engle & Tim Bollerslev, 1986. "Modelling the persistence of conditional variances," Econometric Reviews, Taylor and Francis Journals, vol. 5(1), pages 1-50. [Downloadable!] (restricted)

  58. Engle, Robert F. & Lilien, David M. & Watson, Mark, 1985. "A dymimic model of housing price determination," Journal of Econometrics, Elsevier, vol. 28(3), pages 307-326, June. [Downloadable!] (restricted)

  59. Robert F. Engle & David F. Hendry & David Trumble, 1985. "Small-Sample Properties of ARCH Estimators and Tests," Canadian Journal of Economics, Canadian Economics Association, vol. 18(1), pages 66-93, February. [Downloadable!] (restricted)

  60. Watson, Mark W & Engle, Robert F, 1985. "Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative," The Review of Economics and Statistics, MIT Press, vol. 67(2), pages 341-46, May. [Downloadable!] (restricted)

  61. Engle, Robert F. & Granger, C. W. J. & Kraft, Dennis, 1984. "Combining competing forecasts of inflation using a bivariate arch model," Journal of Economic Dynamics and Control, Elsevier, vol. 8(2), pages 151-165, November. [Downloadable!] (restricted)

  62. Engle, Robert F, 1983. "Estimates of the Variance of U.S. Inflation Based upon the ARCH Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 15(3), pages 286-301, August. [Downloadable!] (restricted)

  63. Robert Engle, 1983. "Comment," Econometric Reviews, Taylor and Francis Journals, vol. 2(2), pages 223-228. [Downloadable!] (restricted)

  64. Watson, Mark W. & Engle, Robert F., 1983. "Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models," Journal of Econometrics, Elsevier, vol. 23(3), pages 385-400, December. [Downloadable!] (restricted)

  65. Engle, Robert F & Hendry, David F & Richard, Jean-Francois, 1983. "Exogeneity," Econometrica, Econometric Society, vol. 51(2), pages 277-304, March. [Downloadable!] (restricted)
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  66. Engle, Robert F., 1982. "A general approach to lagrange multiplier model diagnostics," Journal of Econometrics, Elsevier, vol. 20(1), pages 83-104, October. [Downloadable!] (restricted)

  67. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July. [Downloadable!] (restricted)

  68. Engle, Robert F, 1980. "Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(2), pages 391-407, June. [Downloadable!] (restricted)

  69. Engle, Robert F., 1979. "Estimation of the price elasticity of demand facing metropolitan producers," Journal of Urban Economics, Elsevier, vol. 6(1), pages 42-64, January. [Downloadable!] (restricted)
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  70. Granger, Clive W. J. & Engle, Robert & Ramanathan, Ramu & Andersen, Allan, 1979. "Residential load curves and time-of-day pricing : An econometric analysis," Journal of Econometrics, Elsevier, vol. 9(1-2), pages 13-32, January. [Downloadable!] (restricted)

  71. Engle, Robert F, 1978. "Testing Price Equations for Stability across Spectral Frequency Bands," Econometrica, Econometric Society, vol. 46(4), pages 869-81, July. [Downloadable!] (restricted)

  72. Engle, Robert F, 1976. "Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment," Econometrica, Econometric Society, vol. 44(3), pages 617-18, May. [Downloadable!] (restricted)

  73. Engle, Robert F & Gardner, Roy, 1976. "Some Finite Sample Properties of Spectral Estimators of a Linear Regression," Econometrica, Econometric Society, vol. 44(1), pages 149-65, January. [Downloadable!] (restricted)
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  74. Engle, Robert F & Foley, Duncan K, 1975. "An Asset Price Model of Aggregate Investment," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 16(3), pages 625-47, October. [Downloadable!] (restricted)

  75. Engle, Robert F, 1974. "Band Spectrum Regression," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 1-11, February. [Downloadable!] (restricted)
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  76. Engle, Robert F, 1974. "Specification of the Disturbance for Efficient Estimation," Econometrica, Econometric Society, vol. 42(1), pages 135-46, January. [Downloadable!] (restricted)

  77. Engle, Robert F., 1974. "Issues in the specification of an econometric model of metropolitan growth," Journal of Urban Economics, Elsevier, vol. 1(2), pages 250-267, April. [Downloadable!] (restricted)
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  78. Engle, Robert F, III, et al, 1972. "An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government," American Economic Review, American Economic Association, vol. 62(2), pages 87-97, May.

Chapters

  1. Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038 Elsevier. [Downloadable!] (restricted)
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  2. Engle, Robert F., 1984. "Wald, likelihood ratio, and Lagrange multiplier tests in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 13, pages 775-826 Elsevier. [Downloadable!] (restricted)

NEP Fields

14 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2006-06-10
  2. NEP-ECM: Econometrics (10) 1999-07-12 1999-11-08 2001-10-22 2003-11-30 2005-11-19 2006-06-10 2006-11-25 2007-01-28 2007-10-20 2008-05-17 Author is listed
  3. NEP-ETS: Econometric Time Series (11) 1999-07-12 1999-11-08 1999-11-08 1999-11-08 2001-10-22 2003-11-30 2005-05-23 2005-11-19 2006-06-10 2006-11-25 2007-01-28 Author is listed
  4. NEP-FIN: Finance (7) 1999-07-12 1999-11-08 1999-11-08 1999-11-08 2005-05-23 2005-11-19 2006-04-22 Author is listed
  5. NEP-FMK: Financial Markets (2) 2006-04-22 2007-10-20
  6. NEP-FOR: Forecasting (3) 2005-11-19 2006-06-10 2008-05-17
  7. NEP-MAC: Macroeconomics (1) 2006-06-10
  8. NEP-MIC: Microeconomics (1) 2006-11-25
  9. NEP-ORE: Operations Research (1) 2008-05-17
  10. NEP-RMG: Risk Management (2) 2003-11-30 2006-04-22
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