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Engle, R. F. (Robert F.)
Most widely held works about
R. F Engle
Most widely held works by
R. F Engle
Long-run economic relationships : readings in cointegration(
Book
)
5
editions published
in
1991
in
English
and held by
343
libraries
worldwide
Anticipating correlations : a new paradigm for risk management by R. F Engle (
Book
)
5
editions published
in
2009
in
English
and held by
302
libraries
worldwide
"In Anticipating Correlations, Nobel Prize-winning economist Robert Engle introduces an important new method for estimating correlations for large systems of assets: Dynamic Conditional Correlation (DCC). Engle demonstrates the role of correlations in financial decision making, and addresses the economic underpinnings and theoretical properties of correlations and their relation to other measures of dependence. He compares DCC with other correlation estimators such as historical correlation, exponential smoothing, and multivariate GARCH, and he presents a range of important applications of DCC. Engle presents the asymmetric model and illustrates it using a multicountry equity and bond return model. He introduces the new FACTOR DCC model that blends factor models with the DCC to produce a model with the best features of both, and illustrates it using an array of U.S. large-cap equities. Engle shows how overinvestment in collateralized debt obligations, or CDOs, lies at the heart of the subprime mortgage crisis - and how the correlation models in this book could have foreseen the risks. A technical chapter of econometric results also is included."--Jacket.
ARCH : selected readings(
Book
)
10
editions published
between
1995
and
2004
in
English
and held by
256
libraries
worldwide
In the early 1980s, R. F. Engle pioneered the econometric technique of Auto-Regressive Conditional Heteroskedasticity (ARCH), which has subsequently generated a very considerable literature. This collection brings together the leading papers which have shaped ARCH research from its inception to the latest developments. Papers present both theory and financial market analysis, and discuss the key issues in the use of ARCH models to study volatility and correlation: which model to use, what time intervals to employ, how to model multivariate systems, how to apply the models to price and trade options, and how to model volatility spillovers across markets and within the day.
Volatility and time series econometrics : essays in honor of Robert F. Engle(
Book
)
7
editions published
between
2009
and
2010
in
English
and held by
134
libraries
worldwide
This volume celebrates and develops the work of Nobel Laureate Robert Engle. It includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics.
Handbook of econometrics(
Book
)
13
editions published
between
1983
and
1994
in
English
and held by
119
libraries
worldwide
The Handbook is a definitive reference source and teaching aid for econometricians. It examines models, estimation theory, data analysis and field applications in econometrics. Comprehensive surveys, written by experts, discuss recent developments at a level suitable for professional use by economists, econometricians, statisticians, and in advanced graduate econometrics courses. For more information on the Handbooks in Economics series, please see our home page on http://www.elsevier.nl/locate/hes
The econometrics of ultra-high frequency data by R. F Engle (
Book
)
8
editions published
in
1996
in
English and No Linguistic Content
and held by
81
libraries
worldwide
Option hedging using empirical pricing kernels by Joshua Rosenberg (
Book
)
8
editions published
in
1997
in
English and No Linguistic Content
and held by
80
libraries
worldwide
Measuring, forecasting, and explaining time varying liquidity in the stock market by R. F Engle (
Book
)
7
editions published
in
1997
in
English and No Linguistic Content
and held by
80
libraries
worldwide
GARCH gamma by R. F Engle (
Book
)
7
editions published
in
1995
in
English and No Linguistic Content
and held by
79
libraries
worldwide
Modeling the impacts of market activity on bid-ask spreads in the option market by Young-Hye Cho (
Book
)
9
editions published
in
1999
in
English and No Linguistic Content
and held by
79
libraries
worldwide
Hedging options in a GARCH environment : testing the term structure of stochastic volatility models by R. F Engle (
Book
)
8
editions published
in
1994
in
English and No Linguistic Content
and held by
78
libraries
worldwide
Forecasting transaction rates : the autoregressive conditional duration model by R. F Engle (
Book
)
7
editions published
in
1994
in
English and No Linguistic Content
and held by
78
libraries
worldwide
Time-varying betas and asymmetric effects of news : empirical analysis of blue chip stocks by Young-Hye Cho (
Book
)
5
editions published
in
1999
in
English and No Linguistic Content
and held by
72
libraries
worldwide
CAViaR : conditional value at risk by quantile regression by R. F Engle (
Book
)
4
editions published
in
1999
in
English
and held by
70
libraries
worldwide
Theoretical and empirical properties of Dynamic Conditional Correlation Multivariate GARCH by R. F Engle (
Book
)
6
editions published
in
2001
in
English and No Linguistic Content
and held by
69
libraries
worldwide
Index-option pricing with stochastic volatility and the value of accurate variance forecasts by R. F Engle (
Book
)
8
editions published
in
1993
in
English
and held by
68
libraries
worldwide
A multiple indicators model for volatility using intra-daily data by R. F Engle (
Book
)
5
editions published
in
2003
in
English and No Linguistic Content
and held by
62
libraries
worldwide
Many ways exist to measure and model financial asset volatility. In principle, as the frequency of the data increases, the quality of forecasts should improve. Yet, there is no consensus about a true' or best' measure of volatility. In this paper we propose to jointly consider absolute daily returns, daily high-low range and daily realized volatility to develop a forecasting model based on their conditional dynamics. As all are non-negative series, we develop a multiplicative error model that is consistent and asymptotically normal under a wide range of specifications for the error density function. The estimation results show significant interactions between the indicators. We also show that one-month-ahead forecasts match well (both in and out of sample) the market-based volatility measure provided by an average of implied volatilities of index options as measured by VIX.
Technical capabilities necessary for regulation of systemic financial risk summary of a workshop by Workshop on Technical Capabilities Necessary for Regulation of Systemic Financial Risk (
Book
)
1
edition published
in
2010
in
English
and held by
54
libraries
worldwide
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 Related Identities
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Alternative Names
Engle, R. F. 1942-
Engle, Rob 1942-
Engle, Robert.
Engle, Robert 1942-
Engle, Robert F.
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