R. F. Engle
· 31 obras en el catálogo
Obras
Autoregressive conditional heteroscedasticity with estimates of the variance of inflationary expectations
CAViaR
The econometrics of ultra-high frequency data
Estimating sectorial cycles using cointegration and common features
Execution risk
Exogeneity
Forecasting transaction rates
GARCH gamma
A general approach to the construction of model diagnostics based upon the lagrange multiplier principle
Hedging options in a GARCH environment
Index-option pricing with stochastic volatility and the value of accurate variance forecasts
Measuring, forecasting, and explaining time varying liquidity in the stock market
Measuring and testing the impact of news on volatility
A multiple indicators model for volatility using intra-daily data
Theoretical and empirical properties of Dynamic Conditional Correlation Multivariate GARCH
Time-varying volatility and the dynamic behavior of the term structure
Valuation of variance forecasts with simulated option markets
Volatility and time series econometrics
Band spectrum regressions
The specification of the disturbance for efficient estimation
A disequilibrium model of regional investment
Some finite sample properties of spectral estimators of a linear regression
De facto discrimination in residential assessments
