Dynamic Conditional Correlation-A Simple Class of Multivariate GARCH Models

Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH R.F.Engle and K.Sheppard

Analysis of High Freqeuncy Data R.F.Engle and J.R.Russell

Common Volatility in International Equity Markets R.F.Engle and R.Susmel

Robert F.Engle 的curriculum vitiae

Empirical Pricing Kernels J.V.Rosenberg and R.F.Engle

A Multiple Indicators Models for Volatility Using Intra-Daily Data R.F.Engle and G.M.Gallo

Measuring,Forecasting and Explaining Time Varying Liquidity in the Market R>F.Engle and Joe Lange ucsd 9712

What Good is a Volatility Model？ R.F.Engle and Andrew J.Patton Testing the Volatility Term Stucture Using Option Hedging Criteria R.F.Engle and Joshua V.Rosenberg

The GARCH Option Pricing Model Jin-chuan Duan Mathematical Finance 5(1):13-32 Hidden Cointegration

Structurality-Induced Volatility Clustering

Common Factors in Conditional Distributions

Common Factors in Conditional Distributions

Self-generating Variables in a Cointegrated VAR Framewok

Aggregation of Space-time Processes

Properties of Nonlinear Transformations of Fractionally Integrated Processes

Occasional Structural Breaks and Long Memory

Extracting Information from Mega-panels and High-fraquency Data