Robert Fry Engle
Affiliations: |
Website:
https://en.wikipedia.org/wiki/Robert_F._EngleGoogle:
"Robert Engle"Bio:
2003 Nobel Memorial Prize in Economics
Children
Sign in to add trainee| Mark W. Watson | grad student | ||
| Tim Bollerslev | grad student | 1986 | UCSD (MathTree) |
| Young-Hye Cho | grad student | 2000 | UCSD |
| Simone Manganelli | grad student | 2000 | UCSD |
| Allan A. Zebedee | grad student | 2001 | UCSD |
| Isao Ishida | grad student | 2004 | UCSD |
| Kevin Sheppard | grad student | 2004 | UCSD |
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Publications
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| Engle RF, Giglio S, Kelly BT, et al. (2020) Hedging Climate Change News Review of Financial Studies. 33: 1184-1216 |
| Pakel C, Shephard N, Sheppard K, et al. (2020) Fitting Vast Dimensional Time-Varying Covariance Models Journal of Business & Economic Statistics. 1-17 |
| Nguyen G, Engle RF, Fleming MJ, et al. (2020) Liquidity and Volatility in the U.S. Treasury Market Journal of Econometrics. 217: 207-229 |
| Engle RF, Ruan T. (2019) Measuring the probability of a financial crisis. Proceedings of the National Academy of Sciences of the United States of America |
| Engle RF, Ledoit O, Wolf M. (2019) Large Dynamic Covariance Matrices Journal of Business & Economic Statistics. 37: 363-375 |
| Engle R, Siriwardane EN. (2018) Structural GARCH: The Volatility-Leverage Connection Review of Financial Studies. 31: 449-492 |
| Engle R, Zazzara C. (2018) Systemic risk in the financial system: capital shortfalls under Brexit, the US elections and the Italian referendum Journal of Credit Risk. 14: 97-120 |
| Cipollini F, Engle RF, Gallo GM. (2017) Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity Econometrics. 5: 16-40 |
| Engle RF, Roussellet G, Siriwardane EN. (2017) Scenario Generation for Long-Run Interest Rate Risk Assessment Journal of Econometrics. 201: 333-347 |
| Bali TG, Engle RF, Tang Y. (2017) Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns Management Science. 63: 3760-3779 |