Browsing All of EconStor by Author Engle, Robert F.


Showing results 1 to 15 of 15
Year of PublicationTitleAuthor(s)
2001Value at risk models in financeEngle, Robert F.; Manganelli, Simone
2003Asymmetric dynamics in the correlations of global equity and bond returnsSheppard, Kevin; Cappiello, Lorenzo; Engle, Robert F.
2009The factor-spline-GARCH model for high and low frequency correlationsRangel, Jose Gonzalo; Engle, Robert F.
2013Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock ReturnsBali, Turan G.; Engle, Robert F.; Tang, Yi
2017Copula-based vMEM specifications versus alternatives: The case of trading activityCipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M.
2017SRISK: a conditional capital shortfall measure of systemic riskBrownlees, Christian; Engle, Robert F.
2017Large dynamic covariance matricesEngle, Robert F.; Ledoit, Olivier; Wolf, Michael
2020Large dynamic covariance matrices: Enhancements based on intraday dataDe Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; Wolf, Michael
2021Large dynamic covariance matrices: Enhancements based on intraday dataDe Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; Wolf, Michael
2021The risk management approach to macro-prudential policyChavleishvili, Sulkhan; Engle, Robert F.; Fahr, Stephan; Kremer, Manfred; Manganelli, Simone; Schwaab, Bernd
2021Climate stress testingJung, Hyeyoon; Engle, Robert F.; Berner, Richard B.
2022Large dynamic covariance matrices: Enhancements based on intraday dataDe Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; Wolf, Michael
2023Factor mimicking portfolios for climate riskDe Nard, Gianluca; Engle, Robert F.; Kelly, Bryan T.
2023Measuring the climate risk exposure of insurersJung, Hyeyoon; Engle, Robert F.; Ge, Shan; Zeng, Xuran
2023Climate stress testingAcharya, Viral V.; Berner, Richard B.; Engle, Robert F.; Jung, Hyeyoon; Stroebel, Johannes; Zeng, Xuran; Zhao, Yihao