R. F. Engle

Asset Pricing with a Factor Arch Covariance Structure

Estimating Sectoral Cycles Using Cointegration and Common Features

Cointegration, causality, and forecasting

Estimating sectorial cycles using cointegration and common features

Measuring, forecasting, and explaining time varying liquidity in the stock market

Volatility and time series econometrics

Meteor Showers or Heat Waves?

Volatility and time series econometrics

CAViaR

Hedging options in a GARCH environment

Time-varying volatility and the dynamic behavior of the term structure

Some finite sample properties of spectral estimators of a linear regression

Interpreting Spectral Analyses in Terms of Time-Domain Models

Common seasonal features

A general approach to the construction of model diagnostics based upon the lagrange multiplier principle

GARCH gamma

Theoretical and empirical properties of Dynamic Conditional Correlation Multivariate GARCH

A disequilibrium model of regional investment

Option Hedging Using Empirical Pricing Kernels

Autoregressive conditional heteroscedasticity with estimates of the variance of inflationary expectations

Execution risk

Measuring and testing the impact of news on volatility

The specification of the disturbance for efficient estimation

The inconsistency of distributed lag estimators due to misspecification by time aggregation

Testing For Common Features

Value at risk models in finance

Exogeneity

Forecasting transaction rates

A multiple indicators model for volatility using intra-daily data

Band spectrum regressions

Testing price equations for stability across frequencies

Where Does the Meteor Shower Come From?

Long-run economic relationships

The econometrics of ultra-high frequency data

Index-option pricing with stochastic volatility and the value of accurate variance forecasts

Valuation of variance forecasts with simulated option markets

De facto discrimination in residential assessments

Issues in the specification of an econometric model of metropolitan growth