Books by R. F. Engle
A multiple indicators model fo
A multiple indicators model for volatility using intra-daily data
Theoretical and empirical prop
Theoretical and empirical properties of Dynamic Conditional Correlation Multivariate GARCH
Value at risk models in financ
Value at risk models in finance
Cointegration, causality, and forecasting
Measuring, forecasting, and ex
Measuring, forecasting, and explaining time varying liquidity in the stock market
CAViaR
Common seasonal features
Common seasonal features
The econometrics of ultra-high
The econometrics of ultra-high frequency data
GARCH gamma
GARCH gamma
Forecasting transaction rates
Forecasting transaction rates
Hedging options in a GARCH env
Hedging options in a GARCH environment
Estimating sectorial cycles us
Estimating sectorial cycles using cointegration and common features
Index-option pricing with stoc
Index-option pricing with stochastic volatility and the value of accurate variance forecasts
Long-run economic relationships
Measuring and testing the impa
Measuring and testing the impact of news on volatility
Time-varying volatility and th
Time-varying volatility and the dynamic behavior of the term structure
Valuation of variance forecast
Valuation of variance forecasts with simulated option markets
A general approach to the cons
A general approach to the construction of model diagnostics based upon the lagrange multiplier principle
Autoregressive conditional het
Autoregressive conditional heteroscedasticity with estimates of the variance of inflationary expectations
Exogeneity
Exogeneity
Testing price equations for stability across frequencies
A disequilibrium model of regional investment
De facto discrimination in residential assessments
Issues in the specification of an econometric model of metropolitan growth
Some finite sample properties of spectral estimators of a linear regression
Band spectrum regressions
The specification of the disturbance for efficient estimation
The inconsistency of distributed lag estimators due to misspecification by time aggregation