Robert F. Engle
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
1982/07/01 by Robert F. Engle · 183 citations
Economics, Econometrics and Finance · #Monetary Policy and Economic Impact #Economic Growth and Productivity #Economic theories and models
- Co-Integration and Error Correction: Representation, Estimation, and Testing
1987/03/01 by Robert F. Engle, C. W. J. Granger · 121 citations
Economics, Econometrics and Finance · #Monetary Policy and Economic Impact
- Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
1987/03/01 by Robert F. Engle, David M. Lilien, Russell P. Robins · 14 citations
Economics, Econometrics and Finance · #Stochastic processes and financial applications #Financial Risk and Volatility Modeling #Credit Risk and Financial Regulations
- Hedging Climate Change News
2019/07/08 by Robert F Engle, Robert F. Engle, Stefano Giglio +3 · 12 citations
Business, Management and Accounting · Economics, Econometrics and Finance · #Financial Markets and Investment Strategies #Market Dynamics and Volatility #Risk Management in Financial Firms
- Dynamic Conditional Correlation
2002/07/01 by Robert Engle, Robert F. Engle · 5 citations
Economics, Econometrics and Finance · #Financial Risk and Volatility Modeling #Market Dynamics and Volatility #Monetary Policy and Economic Impact
- Stock Market Volatility and Macroeconomic Fundamentals
2012/07/18 by Robert F. Engle, Éric Ghysels, Eric Ghysels +1 · 6 citations
Economics, Econometrics and Finance · #Market Dynamics and Volatility #Financial Risk and Volatility Modeling #Complex Systems and Time Series Analysis
- CAViaR
2004/10/01 by Robert F. Engle, Robert F Engle, Simone Manganelli · 4 citations
Economics, Econometrics and Finance · #Financial Risk and Volatility Modeling #Market Dynamics and Volatility #Monetary Policy and Economic Impact