Concepedia

Robert Engle

RE

11

Publications

2.4K

Citations

11

H-Index

1993

Active since

Affiliations

New York University(Current)

National Bureau of Economic Research

University of Illinois Chicago

Federal Reserve Bank of New York

University of Oxford

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

Top concepts

Publications per year

1993–2025

11

Publications

11

Measuring and Testing the Impact of News on Volatility

Robert Engle, Victor Ng · The Journal of Finance · 1993 · 763 citations

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Risk and Volatility: Econometric Models and Financial Practice

Robert Engle · American Economic Review · 2004 · 561 citations

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Dynamic Equicorrelation

Robert Engle, Bryan Kelly · Journal of Business and Economic Statistics · 2012 · 394 citations

On the Economic Sources of Stock Market Volatility

Robert Engle, Éric Ghysels, Bumjean Sohn · SSRN Electronic Journal · 2008 · 167 citations · Full text

Fitting Vast Dimensional Time-Varying Covariance Models

Cavit Pakel, Neil Shephard, Kevin Sheppard et al. · Journal of Business and Economic Statistics · 2020 · 152 citations

, , +14

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