Robert F. Engle

All Institutions: National Bureau of Economic Research; New York University; NA; University of California, San Diego; Rutgers University; University of California San Diego

Causal Claims Network Graph

Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.

Based on the Following Papers:

Meteor Showers or Heat Waves: Heteroskedastic Intradaily Volatility in the Foreign Exchange Market

Year: 1988
Journal: Econometrica
Authors: Robert F. Engle; Takatoshi Ito; Wenling Lin

Noncointegration and Econometric Evaluation of Models of Regional Shift and Share

Year: 1990
Journal: No Journal Matched
Authors: Scott J. Brown; Edward Coulson; Robert F. Engle

Measuring Risk Aversion from Excess Returns on a Stock Index

Year: 1991
Journal: Journal of Econometrics
Authors: Ray Chou; Robert F. Engle; Alex Kane

Measuring and Testing the Impact of News on Volatility

Year: 1991
Journal: Journal of Finance
Authors: Robert F. Engle; Victor K. Ng

Time-Varying Volatility and the Dynamic Behavior of the Term Structure

Year: 1991
Journal: Journal of Money, Credit and Banking
Authors: Robert F. Engle; Victor K. Ng

Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns

Year: 1991
Journal: Review of Financial Studies
Authors: Wenling Lin; Robert F. Engle; Takatoshi Ito

Index Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts

Year: 1993
Journal: Review of Derivatives Research
Authors: Robert F. Engle; Alex Kane; Jaesun Noh

A Test of Efficiency for the S&P 500 Index Option Market Using Variance Forecasts

Year: 1993
Journal: Journal of Derivatives
Authors: Jaesun Noh; Robert F. Engle; Alex Kane

Time-Varying Betas and Asymmetric Effects of News: Empirical Analysis of Blue Chip Stocks

Year: 1999
Journal: No Journal Matched
Authors: Younghye Cho; Robert F. Engle

Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market

Year: 1999
Journal: No Journal Matched
Authors: Younghye Cho; Robert F. Engle

CAViaR: Conditional Value at Risk by Quantile Regression

Year: 1999
Journal: No Journal Matched
Authors: Robert F. Engle; Simone Manganelli

Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH

Year: 2001
Journal: No Journal Matched
Authors: Robert F. Engle; Kevin Sheppard

A Multiple Indicators Model for Volatility Using Intradaily Data

Year: 2003
Journal: Journal of Econometrics
Authors: Robert F. Engle; Giampiero M. Gallo

Vector Multiplicative Error Models: Representation and Inference

Year: 2006
Journal: No Journal Matched
Authors: Fabrizio Cipollini; Robert F. Engle; Giampiero M. Gallo

Author Disambiguation

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