Publications: R. Engle
| Title | Year | Citations | Score |
|---|---|---|---|
|
Seasonal integration and cointegration
1990 View Details |
1990 | 1538 | 99.9% |
|
Forecasting and testing in co-integrated systems
1987 View Details |
1987 | 2115 | 99.9% |
|
A long memory property of stock market returns and a new model
1993 View Details |
1993 | 3721 | 99.9% |
|
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
1998 View Details |
1998 | 1860 | 99.9% |
|
A Capital Asset Pricing Model with Time-Varying Covariances
Journal of Political Economy, 1988 View Details |
1988 | 3264 | 99.9% |
|
Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
1982 View Details |
1982 | 22119 | 99.9% |
|
Dynamic Conditional Correlation
2002 View Details |
2002 | 5328 | 99.9% |
|
Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks †
2012 View Details |
2012 | 1088 | 99.9% |
|
Co-integration and error correction: representation, estimation and testing
1987 View Details |
1987 | 31666 | 99.9% |
|
Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
1987 View Details |
1987 | 2630 | 99.9% |
|
COINTEGRATION AND ERROR CORRECTION: REPRESENTATION
1987 View Details |
1987 | 3749 | 99.9% |
|
Stock Market Volatility and Macroeconomic Fundamentals
Review of Economics and Statistics, 2013 View Details |
2013 | 933 | 99.9% |
|
Multivariate Simultaneous Generalized ARCH
Econometric Theory, 1995 View Details |
1995 | 4479 | 99.9% |
|
Semiparametric estimates of the relation between weather and electricity sales
1986 View Details |
1986 | 1096 | 99.8% |
|
Long-Run Economic Relationships: Readings in Cointegration
1991 View Details |
1991 | 1049 | 99.8% |
|
Wald, likelihood ratio, and Lagrange multiplier tests in econometrics
1984 View Details |
1984 | 753 | 99.7% |
|
Arch Models "
1999 View Details |
1999 | 959 | 99.7% |
|
Volatility, Correlation and Tails for Systemic Risk Measurement
2010 View Details |
2010 | 624 | 99.7% |
|
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility
1994 View Details |
1994 | 912 | 99.7% |
|
CAViaR
1999 View Details |
1999 | 943 | 99.7% |
|
A Permanent and Transitory Component Model of Stock Return Volatility
1993 View Details |
1993 | 631 | 99.5% |
|
Alternative Algorithms for the Estimation of Dynamic Factor
1983 View Details |
1983 | 527 | 99.5% |
|
Dynamic Equicorrelation
2012 View Details |
2012 | 413 | 99.5% |
|
Chapter 49 Arch models
1994 View Details |
1994 | 557 | 99.4% |
|
A One-Factor Multivariate Time Series Model of Metropolitan Wage Rates
1981 View Details |
1981 | 452 | 99.4% |
|
Estimates of the Variance of U. S. Inflation Based upon the ARCH Model
1983 View Details |
1983 | 503 | 99.4% |
|
Risk and Volatility: Econometric Models and Financial Practice
2004 View Details |
2004 | 572 | 99.4% |
|
Large Dynamic Covariance Matrices
2019 View Details |
2019 | 233 | 99.3% |
|
COMMON TRENDS AND COMMON CYCLES
Journal of applied econometrics, 1993 View Details |
1993 | 507 | 99.3% |
|
Time and the Price Impact of a Trade
1999 View Details |
1999 | 586 | 99.3% |
|
Band Spectrum Regression
1974 View Details |
1974 | 348 | 99.2% |
|
Hourly volatility spillovers between international equity markets
1994 View Details |
1994 | 400 | 99.0% |
|
Stock Volatility and the Crash of '87: Discussion
1990 View Details |
1990 | 347 | 98.9% |
|
A general approach to lagrange multiplier model diagnostics
1982 View Details |
1982 | 299 | 98.9% |
|
Short-run forecasts of electricity loads and peaks
1997 View Details |
1997 | 394 | 98.9% |
|
Implied ARCH models from options prices
1992 View Details |
1992 | 350 | 98.9% |
|
A SIMPLE ESTIMATOR OF COINTEGRATING VECTORS IN HIGHER ORDER INTEGRATED SYSTEMS
2007 View Details |
2007 | 326 | 98.8% |
|
Semiparametric ARCH Models
1991 View Details |
1991 | 320 | 98.7% |
|
ARCH: Selected Readings
1995 View Details |
1995 | 346 | 98.7% |
|
Common Volatility in International Equity Markets
1993 View Details |
1993 | 326 | 98.7% |
|
Testing and Valuing Dynamic Correlations for Asset Allocation
2006 View Details |
2006 | 311 | 98.6% |
|
COMMON PERSISTENCE IN CONDITIONAL VARIANCES
1993 View Details |
1993 | 316 | 98.6% |
|
Testing superexogeneity and invariance in regression models
1993 View Details |
1993 | 320 | 98.6% |
|
Anticipating Correlations: A New Paradigm for Risk Management
2009 View Details |
2009 | 266 | 98.6% |
|
The intertemporal capital asset pricing model with dynamic conditional correlations
2010 View Details |
2010 | 246 | 98.5% |
|
Forecasting intraday volatility in the US equity market. Multiplicative component GARCH
2012 View Details |
2012 | 184 | 98.1% |
|
Fitting Vast Dimensional Time-Varying Covariance Models
Journal of business & economic statistics, 2020 View Details |
2020 | 115 | 98.0% |
|
Empirical Asset Pricing: The Cross Section of Stock Returns
2016 View Details |
2016 | 144 | 98.0% |
|
Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting
1989 View Details |
1989 | 216 | 97.9% |
|
Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
1997 View Details |
1997 | 248 | 97.7% |
|
A multi-dynamic-factor model for stock returns
1992 View Details |
1992 | 217 | 97.7% |
|
Combining competing forecasts of inflation using a bivariate arch model
1984 View Details |
1984 | 179 | 97.6% |
|
Premiums-Discounts and Exchange Traded Funds
2006 View Details |
2006 | 208 | 97.3% |
|
Cointegration, causality, and forecasting : a festschrift in honour of Clive W.J. Granger
1999 View Details |
1999 | 231 | 97.2% |
|
Stochastic Permanent Breaks
Review of Economics and Statistics, 1999 View Details |
1999 | 219 | 97.0% |
|
Forecasting Volatility and Option Prices of the S&P 500 Index
1994 View Details |
1994 | 184 | 96.9% |
|
What are the events that shake our world? Measuring and hedging global COVOL
Journal of Financial Economics, 2022 View Details |
2022 | 54 | 96.9% |
|
Modelling peak electricity demand
1992 View Details |
1992 | 178 | 96.9% |
|
Statistical Models for Financial Volatility
1993 View Details |
1993 | 175 | 96.8% |
|
Small-Sample Properties of ARCH Estimators and Tests
1985 View Details |
1985 | 137 | 96.4% |
|
A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times
2005 View Details |
2005 | 168 | 96.0% |
|
Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns
Management Sciences, 2017 View Details |
2017 | 90 | 96.0% |
|
Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach
Review of Economics and Statistics, 2012 View Details |
2012 | 112 | 95.8% |
|
Testing for Common Features: Reply
1993 View Details |
1993 | 145 | 95.8% |
|
Testing Price Equations for Stability across Spectral Frequency Bands
1978 View Details |
1978 | 104 | 95.5% |
|
The Japanese consumption function
1993 View Details |
1993 | 133 | 95.3% |
|
Estimating Structural Models of Seasonality
1978 View Details |
1978 | 99 | 95.2% |
|
Correlations and Volatilities of Asynchronous Data
1998 View Details |
1998 | 140 | 94.7% |
|
Trades and Quotes: A Bivariate Point Process
1998 View Details |
1998 | 139 | 94.6% |
|
Estimating common sectoral cycles
1995 View Details |
1995 | 127 | 94.5% |
|
Advances in Econometrics: The Kalman filter: applications to forecasting and rational-expectations models
1987 View Details |
1987 | 97 | 94.1% |
|
Long Term Skewness and Systemic Risk
2011 View Details |
2011 | 89 | 93.5% |
|
Cointegrated Economic Time Series: A Survey With New Results
1989 View Details |
1989 | 92 | 93.5% |
|
Macroeconomic Announcements and Volatility of Treasury Futures
1998 View Details |
1998 | 114 | 93.1% |
|
Predicting VNET: A model of the dynamics of market depth
2001 View Details |
2001 | 115 | 92.5% |
|
Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative
1985 View Details |
1985 | 77 | 92.4% |
|
Analysis of High-Frequency Data
2010 View Details |
2010 | 76 | 91.4% |
|
Band spectrum regressions
1972 View Details |
1972 | 57 | 91.3% |
|
Model selection for forecasting
1986 View Details |
1986 | 69 | 91.2% |
|
A dymimic model of housing price determination
1985 View Details |
1985 | 59 | 89.6% |
|
Centralized Clearing for Credit Derivatives
2009 View Details |
2009 | 64 | 88.9% |
|
Meteor showers or heat waves
1990 View Details |
1990 | 60 | 88.8% |
|
Execution Risk
2007 View Details |
2007 | 70 | 88.8% |
|
Systemic Risk 10 Years Later
Annual Review of Financial Economics, 2018 View Details |
2018 | 39 | 88.1% |
|
Effects of Aggregation Over Time on Dynamic Characteristics of an Econometric Model
1972 View Details |
1972 | 43 | 88.0% |
|
Some finite sample properties of spectral estimators of a linear regression
1976 View Details |
1976 | 45 | 87.7% |
|
On the Theory of Growth Controls
1992 View Details |
1992 | 57 | 87.4% |
|
The Specification of the Disturbance for Efficient Estimation
1974 View Details |
1974 | 41 | 87.1% |
|
Evaluating the Specification of Covariance Models for Large Portfolios
2007 View Details |
2007 | 60 | 86.7% |
|
The ACD Model: Predictability of the Time Between Concecutive Trades
2000 View Details |
2000 | 68 | 86.2% |
|
Index-option pricing with stochastic volatility and the value of accurate variance forecasts
1996 View Details |
1996 | 58 | 86.0% |
|
An Asset Price Model of Aggregate Investment
1975 View Details |
1975 | 39 | 85.9% |
|
Applications of spectral analysis in econometrics
1983 View Details |
1983 | 40 | 84.6% |
|
Common trends and common cycles in Latin America
1993 View Details |
1993 | 47 | 84.3% |
|
A disequilibrium model of regional investment
1974 View Details |
1974 | 33 | 84.0% |
|
Testing the Volatility Term Structure Using Option Hedging Criteria
2000 View Details |
2000 | 58 | 83.9% |
|
An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government
1972 View Details |
1972 | 31 | 83.2% |
|
Factor-Mimicking Portfolios for Climate Risk
Social Science Research Network, 2024 View Details |
2024 | 9 | 83.2% |
|
Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions
1980 View Details |
1980 | 34 | 83.1% |
|
DE FACTO DISCRIMINATION IN RESIDENTIAL ASSESSMENTS: BOSTON
National tax journal, 1973 View Details |
1973 | 30 | 82.4% |
|
Residential load curves and time-of-day pricing: An econometric analysis
1979 View Details |
1979 | 32 | 82.2% |
|
A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones
2006 View Details |
2006 | 45 | 81.7% |
|
Analysis of High Frequency Financial Data
2004 View Details |
2004 | 47 | 81.6% |
|
Long-Run Economic Relationships: Readings in Cointegration.
1993 View Details |
1993 | 39 | 81.3% |
|
Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic
1980 View Details |
1980 | 30 | 81.0% |
|
11 – Estimating Diffusion Models of Stochastic Volatility
1996 View Details |
1996 | 40 | 80.2% |
|
Measuring the probability of a financial crisis
Proceedings of the National Academy of Sciences of the United States of America, 2019 View Details |
2019 | 23 | 79.8% |
|
Issues in the specification of an econometric model of metropolitan growth
1974 View Details |
1974 | 25 | 79.3% |
|
News and Idiosyncratic Volatility: The Public Information Processing Hypothesis*
Journal of Financial Econometrics, 2020 View Details |
2020 | 21 | 79.2% |
|
Financial econometrics : A new discipline with new methods
2001 View Details |
2001 | 43 | 79.1% |
|
Environmental, social, governance: Implications for businesses and effects for stakeholders
Corporate Social Responsibility and Environmental Management, 2019 View Details |
2019 | 22 | 78.9% |
|
The Risk that Risk Will Change
2010 View Details |
2010 | 30 | 77.7% |
|
Measuring the Climate Risk Exposure of Insurers
Social Science Research Network, 2023 View Details |
2023 | 10 | 76.7% |
|
A GARCH Option Pricing Model in Incomplete Markets
2007 View Details |
2007 | 32 | 76.5% |
|
And Now, The Rest of the News: Volatility and Firm Specific News Arrival
2012 View Details |
2012 | 25 | 76.0% |
|
ARCH/GARCH Models in Applied Financial Econometrics
2008 View Details |
2008 | 28 | 75.1% |
|
A comparison of adaptive structural forecasting methods for electricity sales
1988 View Details |
1988 | 24 | 74.8% |
|
A general Approach to the Construction of Model Diagnostics based upon the Lagrange Multiplier Principle
1979 View Details |
1979 | 21 | 74.5% |
|
Derivatives: The Ultimate Financial Innovation
2009 View Details |
2009 | 25 | 73.6% |
|
Modeling Variance of Variance: The Square-Root, the Affine, and the CEV GARCH Models ∗
2002 View Details |
2002 | 31 | 73.3% |
|
Simultaneous Estimation of the Supply and Demand for Housing Location in a Multizoned Metropolitan Area
1977 View Details |
1977 | 17 | 70.5% |
|
GARCH Gamma
1995 View Details |
1995 | 22 | 69.2% |
|
TESTING SOME PROPOSITIONS ABOUT PROPOSITION 13
National tax journal, 1979 View Details |
1979 | 16 | 69.0% |
|
Estimating Sectoral Cycles Using Cointegration and Common Features
1993 View Details |
1993 | 19 | 67.6% |
|
Value at risk models in finance ECB Working
2001 View Details |
2001 | 22 | 66.6% |
|
Autoregressive Condditional Duration: A New Model for. . .
1997 View Details |
1997 | 20 | 66.1% |
|
Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity
2017 View Details |
2017 | 12 | 63.5% |
|
The billing cycle and weather variables in models of electricity sales
1984 View Details |
1984 | 12 | 61.1% |
|
Estimation of the price elasticity of demand facing metropolitan producers
1979 View Details |
1979 | 10 | 58.7% |
|
Probabilistic methods in forecasting hourly loads
1993 View Details |
1993 | 11 | 55.9% |
|
Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data
2002 View Details |
2002 | 12 | 54.7% |
|
A Cross-Sectional Investigation of the Conditional ICAPM
2009 View Details |
2009 | 8 | 51.7% |
|
What Type of Process Underlies Options ?
2002 View Details |
2002 | 9 | 49.2% |
|
On the limitations of comṕaring mean square forecast errors: Comment
1993 View Details |
1993 | 8 | 49.1% |
|
Policy pills for a metropolitan economy
1975 View Details |
1975 | 6 | 48.6% |
|
Modeling Commodity Prices with Dynamic Conditional Beta
2014 View Details |
2014 | 5 | 45.0% |
|
An Exploratory Policy-Oriented Econometric Model of a Metropolitan Area: Boston
1980 View Details |
1980 | 5 | 44.0% |
|
SYMPOSIUM ON FORECASTING AND EMPIRICAL METHODS IN MACROECONOMICS AND FINANCE
1999 View Details |
1999 | 7 | 43.9% |
|
The econometrics of macroeconomics, finance, and the interface
2006 View Details |
2006 | 5 | 40.9% |
|
Factor Modeling for Volatility
Social Science Research Network, 2022 View Details |
2022 | 3 | 38.9% |
|
ERROR-CORRECTION MODEL OF QUOTE PRICES *
2001 View Details |
2001 | 5 | 38.2% |
|
Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management
Journal of Portfolio Management, 2016 View Details |
2016 | 3 | 35.9% |
|
Multiperiod Asset Allocation with Dynamic Volatilities
2004 View Details |
2004 | 4 | 35.4% |
|
Bayesian Analysis of Stochastic Volatility Models: Comment
1994 View Details |
1994 | 4 | 35.1% |
|
Estimating SRISK for Latin America
Social Science Research Network, 2023 View Details |
2023 | 2 | 34.8% |
|
COMMON SEASONAL FEATURES: GLOBAL UNEMPLOYMENT: COMMON SEASONAL FEATURES: GLOBAL UNEMPLOYMENT
2009 View Details |
2009 | 3 | 33.8% |
|
Reply to Cosimano and Jansen
1988 View Details |
1988 | 3 | 32.0% |
|
CFEnetwork: The annals of computational and financial econometrics, 3rd issue
Computational Statistics & Data Analysis, 2014 View Details |
2014 | 2 | 28.5% |
|
TERM STRUCTURE FORECASTING AND SCENARIO GENERATION
2015 View Details |
2015 | 2 | 28.4% |
|
Department of Economics Multivariate Simultaneous Generalized Arch Multivariate Simultaneous Generalized Arch*
1993 View Details |
1993 | 2 | 23.9% |
|
The inconsistency of distributed lag estimators due to misspecification by time aggregation
1970 View Details |
1970 | 1 | 19.2% |
|
Volatility and Firm Specic News Arrival
2013 View Details |
2013 | 1 | 18.4% |
|
What Is Happening With Financial Market Volatility and Why
2011 View Details |
2011 | 1 | 18.0% |
|
Testing Price Equations for Stability Across Frequencies
1974 View Details |
1974 | 1 | 17.6% |
|
Anatomy of Trading and Liquidity in the Credit Default Swaps Market
2009 View Details |
2009 | 1 | 17.5% |
|
9. Anticipating Correlations
2009 View Details |
2009 | 1 | 17.5% |
|
EQUILIBRIUM IN REGIONAL INVESTMENT: A REPLY
1975 View Details |
1975 | 1 | 17.3% |
|
Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment
1976 View Details |
1976 | 1 | 17.1% |
|
ARCH/GARCH Models in Applied
2007 View Details |
2007 | 1 | 16.8% |
|
MODEL OF HOUSING PRICE DETERMINATION
1985 View Details |
1985 | 1 | 15.9% |
|
Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III
2003 View Details |
2003 | 1 | 15.5% |
|
Robert F Engle: Understanding volatility as a process
2004 View Details |
2004 | 1 | 15.5% |
|
Paradise Lost and Found? The Econometric Contributions of Clive W. J. Granger and
2004 View Details |
2004 | 1 | 15.5% |
|
Analysis of High Freqeuncy Data
2002 View Details |
2002 | 1 | 15.1% |
|
Econometric Views Version I.0 (Micro TSP for Windows and the Macintosh).
1995 View Details |
1995 | 1 | 14.6% |
|
Modeling a Time-Varying Order Statistic
1999 View Details |
1999 | 1 | 14.4% |