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Author
Robert F. Engle
also known as Clancy, Engle R. F., Engle, R. F. (Robert F.)
National Bureau of Economic Research · European Corporate Governance Institute · New York University · New School
About this author
Works
483
Cited by
137,127
h-index
110
i10
272
ORCID ↗
Top papers
Co-Integration and Error Correction: Representation, Estimation, and Testing
Robert F. Engle, C. W. J. Granger
·
1987
·
Econometrica
↗ 31,799
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Robert F. Engle
·
1982
·
Econometrica
↗ 20,487
Dynamic Conditional Correlation
Robert F. Engle
·
2002
·
Journal of Business and Economic Statistics
↗ 7,007
Multivariate Simultaneous Generalized ARCH
Robert F. Engle, Kenneth F. Kroner
·
1995
·
Econometric Theory
↗ 4,547
Measuring and Testing the Impact of News on Volatility
Robert F. Engle, Victor Ng
·
1993
·
The Journal of Finance
↗ 3,689
A long memory property of stock market returns and a new model
Zhuanxin Ding, Clive W. J. Granger, Robert F. Engle
·
1993
·
Journal of Empirical Finance
↗ 3,293
A Capital Asset Pricing Model with Time-Varying Covariances
Tim Bollerslev, Robert F. Engle, Jeffrey M. Wooldridge
·
1988
·
Journal of Political Economy
↗ 3,206
OA
Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
Robert F. Engle, David M. Lilien, Russell P. Robins
·
1987
·
Econometrica
↗ 2,502
CAViaR
Robert F. Engle, Simone Manganelli
·
2004
·
Journal of Business and Economic Statistics
↗ 2,185
Modelling the persistence of conditional variances
Robert F. Engle, Tim Bollerslev
·
1986
·
Econometric Reviews
↗ 2,070
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Robert F. Engle
·
1995
↗ 2,048
Forecasting and testing in co-integrated systems
Robert F. Engle, Byung Sam Yoo
·
1987
·
Journal of Econometrics
↗ 1,864
Books
ARCH
1995
·
Oxford University Press, USA
A supply function model of aggregate investment
1972
·
Massachusetts Institute of Technology, Dept. of Economics
Technical Capabilities Necessary for Regulation of Systemic Financial Risk
2010
·
National Academies Press
Technical Capabilities Necessary for Systemic Risk Regulation
2010
·
National Academies Press