<P>Dynamic Conditional Correlation-A Simple Class of Multivariate GARCH Models</P>
<P>
Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH
R.F.Engle and K.Sheppard</P>
<P>
Analysis of High Freqeuncy Data
R.F.Engle and J.R.Russell</P>
<P>
Common Volatility in International Equity Markets
R.F.Engle and R.Susmel</P>
<P>
Robert F.Engle 的curriculum vitiae</P>
<P>
Empirical Pricing Kernels
J.V.Rosenberg and R.F.Engle</P>
<P>
A Multiple Indicators Models for Volatility Using Intra-Daily Data
R.F.Engle and G.M.Gallo</P>
<P>
Measuring,Forecasting and Explaining Time Varying Liquidity in the Market
R&gt;F.Engle and Joe Lange
ucsd 9712</P>
<P>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
</P>
<P>The GARCH Option Pricing Model
Jin-chuan Duan
Mathematical Finance 5(1):13-32

Hidden Cointegration</P>
<P>Structurality-Induced Volatility Clustering</P>
<P>Common Factors in Conditional Distributions</P>
<P>Common Factors in Conditional Distributions</P>
<P>Self-generating Variables in a Cointegrated VAR Framewok</P>
<P>Aggregation of Space-time Processes</P>
<P>Properties of Nonlinear Transformations of Fractionally Integrated Processes</P>
<P>Occasional Structural Breaks and Long Memory</P>
<P>Extracting Information from Mega-panels and High-fraquency Data


</P>

[此贴子已经被作者于2004-10-9 23:03:06编辑过]