Browsing All of EconStor by Author Engle, Robert F.
Showing results 1 to 17 of 17
| Year of Publication | Title | Author(s) |
| 2001 | Value at risk models in finance | Engle, Robert F.; Manganelli, Simone |
| 2003 | Asymmetric dynamics in the correlations of global equity and bond returns | Sheppard, Kevin; Cappiello, Lorenzo; Engle, Robert F. |
| 2009 | The factor-spline-GARCH model for high and low frequency correlations | Rangel, Jose Gonzalo; Engle, Robert F. |
| 2013 | Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns | Bali, Turan G.; Engle, Robert F.; Tang, Yi |
| 2017 | Copula-based vMEM specifications versus alternatives: The case of trading activity | Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. |
| 2017 | SRISK: a conditional capital shortfall measure of systemic risk | Brownlees, Christian; Engle, Robert F. |
| 2017 | Large dynamic covariance matrices | Engle, Robert F.; Ledoit, Olivier; Wolf, Michael |
| 2020 | Large dynamic covariance matrices: Enhancements based on intraday data | De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; Wolf, Michael |
| 2021 | Large dynamic covariance matrices: Enhancements based on intraday data | De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; Wolf, Michael |
| 2021 | The risk management approach to macro-prudential policy | Chavleishvili, Sulkhan; Engle, Robert F.; Fahr, Stephan; Kremer, Manfred; Manganelli, Simone; Schwaab, Bernd |
| 2021 | Climate stress testing | Jung, Hyeyoon; Engle, Robert F.; Berner, Richard B. |
| 2022 | Large dynamic covariance matrices: Enhancements based on intraday data | De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; Wolf, Michael |
| 2023 | Factor mimicking portfolios for climate risk | De Nard, Gianluca; Engle, Robert F.; Kelly, Bryan T. |
| 2023 | Estimating systemic risk for non-listed euro-area banks | Engle, Robert F.; Emambakhsh, Tina; Manganelli, Simone; Parisi, Laura; Pizzeghello, Riccardo |
| 2023 | Measuring the climate risk exposure of insurers | Jung, Hyeyoon; Engle, Robert F.; Ge, Shan; Zeng, Xuran |
| 2023 | Climate stress testing | Acharya, Viral V.; Berner, Richard B.; Engle, Robert F.; Jung, Hyeyoon; Stroebel, Johannes; Zeng, Xuran; Zhao, Yihao |
| 2024 | Factor mimicking portfolios for climate risk | De Nard, Gianluca; Engle, Robert F.; Kelly, Bryan T. |
