Robert F. Engle - Concepedia

Author

Robert F. Engle

Also Known As

Andrew J. Patton, Clancy, Colacito, Riccardo, Engle R. F., Engle, R. F. (Robert F.), Engle, Robert, Engle, Robert F, Engle, Robert F., Ghysels, Eric, Maureen O'Hara

482

Publications

136.2K

Citations

110

H-Index

198

Concepts

All Affiliations

New York University National Bureau of Economic Research University of California San Diego

About

Robert F. Engle is an author at New York University specializing in business, finance, and economics.

Top Concepts

#	Concept	H-Index	Publications	Citations
1	Business	69	118	106.9K
2	Engineering	40	58	79.9K
3	Management	27	32	14.4K
4	Social Sciences	2	2	94
5	Humanities	1	1	46

Robert F. Engle

215

Publications

123.5K

Citations

H-Index

Page 1

	Year	Citations
Co-Integration and Error Correction: Representation, Estimation, and Testing Robert F. Engle, C. W. J. Granger Econometrica Error AnalysisEngineeringFinanceMeasurementUncertainty Quantification	1987	31.6K
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation Robert F. Engle Econometrica Forecasting MethodologyVolatility ModelingEngineeringMacroeconomic ForecastingEconomic Fluctuation	1982	20.3K
Dynamic Conditional Correlation Robert F. Engle Journal of Business and Economic Statistics Econometric ModelEconomicsVolatility ModelingEngineeringAsset Pricing	2002	6.9K
Multivariate Simultaneous Generalized ARCH Robert F. Engle, Kenneth F. Kroner Econometric Theory Mathematical ProgrammingParameter EstimationEngineeringSimultaneous Equation ModelingParameter Identification	1995	4.5K
Measuring and Testing the Impact of News on Volatility Robert F. Engle, Victor Ng The Journal of Finance Volatility ModelingVolatility EstimatesEngineeringAsset PricingVolatility Response	1993	3.7K
A long memory property of stock market returns and a new model Zhuanxin Ding, Clive W. J. Granger, Robert F. Engle Journal of Empirical Finance Empirical FinanceEconomicsFinancial EconomicsAsset PricingNew Model	1993	3.3K
A Capital Asset Pricing Model with Time-Varying Covariances Tim Bollerslev, Robert F. Engle, Jeffrey M. Wooldridge Journal of Political Economy	1988	3.2K
Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model Robert F. Engle, David M. Lilien, Russell P. Robins Econometrica Empirical FinanceLong BondTerm Structure ModelFinancial Risk ManagementArch-m Model	1987	2.5K
CAViaR Robert F. Engle, Simone Manganelli Journal of Business and Economic Statistics Empirical FinanceEconomicsVolatility ModelingAsset PricingMarket Risk	2004	2.1K
Modelling the persistence of conditional variances Robert F. Engle, Tim Bollerslev Econometric Reviews Building ModelsVolatility ModelingEconomicsConditional VariancesAsset Pricing	1986	2.1K

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