Browsing All of EconStor by Author Engle, Robert F.


Showing results 1 to 13 of 13
Year of PublicationTitleAuthor(s)
2001 Value at risk models in financeEngle, Robert F.; Manganelli, Simone
2003 Asymmetric dynamics in the correlations of global equity and bond returnsSheppard, Kevin; Cappiello, Lorenzo; Engle, Robert F.
2009 The factor-spline-GARCH model for high and low frequency correlationsRangel, Jose Gonzalo; Engle, Robert F.
2013 Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock ReturnsBali, Turan G.; Engle, Robert F.; Tang, Yi
2017 Large dynamic covariance matricesEngle, Robert F.; Ledoit, Olivier; Wolf, Michael
2017 SRISK: a conditional capital shortfall measure of systemic riskBrownlees, Christian; Engle, Robert F.
2017 Copula-based vMEM specifications versus alternatives: The case of trading activityCipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M.
2020 Large dynamic covariance matrices: Enhancements based on intraday dataDe Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; Wolf, Michael
2021 Large dynamic covariance matrices: Enhancements based on intraday dataDe Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; Wolf, Michael
2021 The risk management approach to macro-prudential policyChavleishvili, Sulkhan; Engle, Robert F.; Fahr, Stephan; Kremer, Manfred; Manganelli, Simone; Schwaab, Bernd
2021 Climate stress testingJung, Hyeyoon; Engle, Robert F.; Berner, Richard B.
2022 Large dynamic covariance matrices: Enhancements based on intraday dataDe Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; Wolf, Michael
2023 Factor mimicking portfolios for climate riskDe Nard, Gianluca; Engle, Robert F.; Kelly, Bryan T.