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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
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