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Engle, Robert Fry

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Author ID: engle.robert-f Recent zbMATH articles by "Engle, Robert Fry"
Published as: Engle, R. F.; Engle, Robert; Engle, Robert F.
External Links: MGP · Wikidata · GND
Awards: Nobel Memorial Prize in Economic Sciences (2003)
Documents Indexed: 35 Publications since 1974, including 1 Book
Biographic References: 2 Publications

Publications by Year

Citations contained in zbMATH Open

31 Publications have been cited 3,173 times in 2,695 Documents Cited by Year
Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Zbl 0491.62099
Engle, Robert F.
1982
Co-integration and error correction: Representation, estimation, and testing. Zbl 0613.62140
Engle, Robert F.; Granger, C. W. J.
633
1987
Autoregressive conditional duration: a new model for irregularly spaced transaction data. Zbl 1055.62571
Engle, Robert F.; Russell, Jeffrey R.
222
1998
Seasonal integration and cointegration. Zbl 0709.62102
Hylleberg, S.; Engle, R. F.; Granger, C. W. J.; Yoo, B. S.
144
1990
Modelling the persistence of conditional variances. Zbl 0619.62105
Engle, Robert F.; Bollerslev, Tim
139
1986
Exogeneity. Zbl 0528.62093
Engle, Robert F.; Hendry, David F.; Richard, Jean-Francois
108
1983
The econometrics of ultra-high-frequency data. Zbl 1056.91535
Engle, Robert F.
90
2000
Forecasting and testing in co-integrated systems. Zbl 0649.62108
Engle, Robert F.; Yoo, Byung Sam
55
1987
Wald, likelihood ratio, and Lagrange multiplier tests in econometrics. Zbl 0581.62094
Engle, Robert F.
51
1984
Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models. Zbl 0534.62083
Watson, Mark W.; Engle, Robert F.
44
1983
A multiple indicators model for volatility using intra-daily data. Zbl 1337.62359
Engle, Robert F.; Gallo, Giampiero M.
41
2006
Seasonal cointegration. The Japanese consumption function (with discussion). Zbl 0761.62164
Engle, R. F.; Granger, C. W. J.; Hylleberg, S.; Lee, H. S.
31
1993
Common persistence in conditional variances. Zbl 0782.62102
Bollerslev, Tim; Engle, Robert F.
29
1993
Handbook of econometrics. Vol. 4. Zbl 0982.62503
Engle, Robert F. (ed.); McFadden, Daniel L. (ed.)
24
1994
A general approach to Lagrange multiplier model diagnostics. Zbl 0552.62078
Engle, Robert F.
23
1982
Band spectrum regression. Zbl 0282.62078
Engle, Robert F.
20
1974
What good is a volatility model? Zbl 1405.91612
Engle, R. F.; Patton, A. J.
18
2001
Codependent cycles. Zbl 0929.62115
Vahid, Farshid; Engle, Robert F.
15
1997
A component model for dynamic correlations. Zbl 1441.62653
Colacito, Riccardo; Engle, Robert F.; Ghysels, Eric
11
2011
Specification of the disturbance for efficient estimation. Zbl 0284.62040
Engle, Robert F.
7
1974
Exact maximum likelihood methods for dynamic regressions and band spectrum regressions. Zbl 0445.62119
Engle, Robert F.
6
1980
Financial econometrics – a new discipline with new methods. (With comments). Zbl 1099.62548
Engle, Robert
5
2001
A long-run pure variance common features model for the common volatilities of the Dow Jones. Zbl 1337.62326
Engle, Robert F.; Marcucci, Juri
4
2006
Applications of spectral analysis in econometrics. Zbl 0536.62096
Granger, C. W. J.; Engle, Robert
4
1983
Some finite sample properties of spectral estimators of a linear regression. Zbl 0321.62074
Engle, Robert F.; Gardner, Roy
3
1976
Index-option pricing with stochastic volatility and the value of accurate variance forecasts. Zbl 1274.91410
Engle, Robert F.; Kane, Alex; Noh, Jaesun
2
1996
Testing price equations for stability across spectral frequency bands. Zbl 0392.62091
Engle, Robert F.
2
1978
Scenario generation for long run interest rate risk assessment. Zbl 1377.62197
Engle, Robert; Roussellet, Guillaume; Siriwardane, Emil
1
2017
Priced risk and asymmetric volatility in the cross section of skewness. Zbl 1311.91171
Engle, Robert; Mistry, Abhishek
1
2014
High dimension dynamic correlations. Zbl 1378.62067
Engle, Robert F.
1
2009
Model selection for forecasting. Zbl 0609.62145
Engle, Robert F.; Brown, Scott J.
1
1986
Scenario generation for long run interest rate risk assessment. Zbl 1377.62197
Engle, Robert; Roussellet, Guillaume; Siriwardane, Emil
1
2017
Priced risk and asymmetric volatility in the cross section of skewness. Zbl 1311.91171
Engle, Robert; Mistry, Abhishek
1
2014
A component model for dynamic correlations. Zbl 1441.62653
Colacito, Riccardo; Engle, Robert F.; Ghysels, Eric
11
2011
High dimension dynamic correlations. Zbl 1378.62067
Engle, Robert F.
1
2009
A multiple indicators model for volatility using intra-daily data. Zbl 1337.62359
Engle, Robert F.; Gallo, Giampiero M.
41
2006
A long-run pure variance common features model for the common volatilities of the Dow Jones. Zbl 1337.62326
Engle, Robert F.; Marcucci, Juri
4
2006
What good is a volatility model? Zbl 1405.91612
Engle, R. F.; Patton, A. J.
18
2001
Financial econometrics – a new discipline with new methods. (With comments). Zbl 1099.62548
Engle, Robert
5
2001
The econometrics of ultra-high-frequency data. Zbl 1056.91535
Engle, Robert F.
90
2000
Autoregressive conditional duration: a new model for irregularly spaced transaction data. Zbl 1055.62571
Engle, Robert F.; Russell, Jeffrey R.
222
1998
Codependent cycles. Zbl 0929.62115
Vahid, Farshid; Engle, Robert F.
15
1997
Index-option pricing with stochastic volatility and the value of accurate variance forecasts. Zbl 1274.91410
Engle, Robert F.; Kane, Alex; Noh, Jaesun
2
1996
Handbook of econometrics. Vol. 4. Zbl 0982.62503
Engle, Robert F. (ed.); McFadden, Daniel L. (ed.)
24
1994
Seasonal cointegration. The Japanese consumption function (with discussion). Zbl 0761.62164
Engle, R. F.; Granger, C. W. J.; Hylleberg, S.; Lee, H. S.
31
1993
Common persistence in conditional variances. Zbl 0782.62102
Bollerslev, Tim; Engle, Robert F.
29
1993
Seasonal integration and cointegration. Zbl 0709.62102
Hylleberg, S.; Engle, R. F.; Granger, C. W. J.; Yoo, B. S.
144
1990
Co-integration and error correction: Representation, estimation, and testing. Zbl 0613.62140
Engle, Robert F.; Granger, C. W. J.
633
1987
Forecasting and testing in co-integrated systems. Zbl 0649.62108
Engle, Robert F.; Yoo, Byung Sam
55
1987
Modelling the persistence of conditional variances. Zbl 0619.62105
Engle, Robert F.; Bollerslev, Tim
139
1986
Model selection for forecasting. Zbl 0609.62145
Engle, Robert F.; Brown, Scott J.
1
1986
Wald, likelihood ratio, and Lagrange multiplier tests in econometrics. Zbl 0581.62094
Engle, Robert F.
51
1984
Exogeneity. Zbl 0528.62093
Engle, Robert F.; Hendry, David F.; Richard, Jean-Francois
108
1983
Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models. Zbl 0534.62083
Watson, Mark W.; Engle, Robert F.
44
1983
Applications of spectral analysis in econometrics. Zbl 0536.62096
Granger, C. W. J.; Engle, Robert
4
1983
Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Zbl 0491.62099
Engle, Robert F.
1982
A general approach to Lagrange multiplier model diagnostics. Zbl 0552.62078
Engle, Robert F.
23
1982
Exact maximum likelihood methods for dynamic regressions and band spectrum regressions. Zbl 0445.62119
Engle, Robert F.
6
1980
Testing price equations for stability across spectral frequency bands. Zbl 0392.62091
Engle, Robert F.
2
1978
Some finite sample properties of spectral estimators of a linear regression. Zbl 0321.62074
Engle, Robert F.; Gardner, Roy
3
1976
Band spectrum regression. Zbl 0282.62078
Engle, Robert F.
20
1974
Specification of the disturbance for efficient estimation. Zbl 0284.62040
Engle, Robert F.
7
1974
all top 5

Cited by 3,492 Authors

35 McAleer, Michael
21 Zakoïan, Jean-Michel
20 Francq, Christian
20 Thavaneswaran, Aerambamoorthy
19 Franses, Philip Hans
19 Taylor, A. M. Robert
18 Chen, Cathy W. S.
17 Hendry, David F.
16 Gerlach, Richard H.
16 Horváth, Lajos
15 Ling, Shiqing
13 Xiao, Zhijie
12 Boswijk, H. Peter
12 Engle, Robert Fry
12 Robinson, Peter Michael
12 Rodrigues, Paulo M. M.
11 Bollerslev, Tim
11 Ghysels, Eric
11 Johansen, Søren Glud
11 Koopman, Siem Jan
11 Lee, Oesook
11 Lee, Sangyeol
11 Linton, Oliver Bruce
10 Appadoo, S. S.
10 del Barrio Castro, Tomas
10 Gourieroux, Christian
10 Hong, Yongmiao
10 Ould-Saïd, Elias
10 Peiris, M. Shelton
10 Phillips, Peter Charles Bonest
10 Rachev, Svetlozar T.
10 Renault, Eric
10 Zeng, Yong
9 Chiu, Mei Choi
9 Duchesne, Pierre
9 Elliott, Robert James
9 Härdle, Wolfgang Karl
9 Hörmann, Siegfried
9 Li, Wai Keung
9 Schmid, Wolfgang
9 Shin, Dongwan
9 Siu, Tak Kuen
9 Zaffaroni, Paolo
8 Aknouche, Abdelhakim
8 Berkes, István
8 Cook, Steven C.
8 Cubadda, Gianluca
8 Gallo, Giampiero M.
8 Granger, Clive William John
8 Haldrup, Niels
8 Hassler, Uwe
8 Hecq, Alain W.
8 Herwartz, Helmut
8 Li, Guodong
8 Lu, Zudi
8 Mittnik, Stefan
8 Palm, Franz C.
8 Paruolo, Paolo
8 Rahbek, Anders
8 Serletis, Apostolos
8 Smith, Richard J.
8 Teräsvirta, Timo
8 Werker, Bas J. M.
8 Wong, Hoi Ying
8 Wu, Wei Biao
7 Aue, Alexander
7 Blasques, Francisco
7 Bodnar, Taras
7 Chan, Felix T. S.
7 Chang, Chialin
7 Gil-Alana, Luis Alberiko
7 Gonçalves, Esmeralda
7 Guégan, Dominique
7 Hafner, Christian Matthias
7 Hualde, Javier
7 Laib, Naâmane
7 Lütkepohl, Helmut
7 Medeiros, Marcelo C.
7 Mendes Lopes, Nazaré
7 Ng, Serena
7 Östermark, Ralf
7 Pan, Jiazhu
7 Pesaran, M. Hashem
7 Saikkonen, Pentti
7 Sengupta, Jati K.
7 So, Mike K. P.
7 Stanley, H. Eugene
7 Vahid, Farshid
7 White, Halbert Lynn jun.
7 Yao, Qiwei
7 Zumbach, Gilles O.
6 Ahn, Sung Ki
6 Breitung, Jorg
6 Caporin, Massimiliano
6 Castle, Jennifer L.
6 Chen, Min
6 Chen, Rong
6 Dellaportas, Petros
6 Doukhan, Paul
6 Dufour, Jean-Marie
...and 3,392 more Authors
all top 5

Cited in 241 Serials

490 Journal of Econometrics
175 Economics Letters
126 Econometric Theory
119 Quantitative Finance
117 Computational Statistics and Data Analysis
89 Journal of Time Series Analysis
75 Econometric Reviews
72 Journal of Economic Dynamics & Control
70 Statistics & Probability Letters
57 Journal of Statistical Planning and Inference
56 Mathematics and Computers in Simulation
55 Communications in Statistics. Theory and Methods
51 Journal of Applied Statistics
46 Communications in Statistics. Simulation and Computation
45 Journal of Statistical Computation and Simulation
41 European Journal of Operational Research
32 International Journal of Theoretical and Applied Finance
29 Statistical Papers
28 The Annals of Statistics
23 Stochastic Processes and their Applications
21 Computational Statistics
20 Annals of Operations Research
19 Journal of Multivariate Analysis
19 Insurance Mathematics & Economics
18 Asia-Pacific Financial Markets
17 Physica A
15 The Econometrics Journal
14 Applied Mathematics and Computation
14 Applied Stochastic Models in Business and Industry
12 The Canadian Journal of Statistics
12 International Journal of Systems Science
12 Statistics
12 Mathematical and Computer Modelling
12 The Annals of Applied Probability
11 Test
11 Open Economies Review
11 Journal of Nonparametric Statistics
11 Journal of Systems Science and Complexity
11 Journal of the Korean Statistical Society
11 Electronic Journal of Statistics
10 Scandinavian Journal of Statistics
10 Chaos, Solitons and Fractals
10 Annals of the Institute of Statistical Mathematics
10 Journal of the American Statistical Association
10 Journal of Applied Probability
10 Computational Economics
10 Mathematical Finance
10 North American Actuarial Journal
9 Bernoulli
9 Review of Derivatives Research
9 Journal of the Italian Statistical Society
9 Journal of Probability and Statistics
9 Annals of Finance
9 Journal of Time Series Econometrics
8 Computers & Mathematics with Applications
8 Journal of Computational and Applied Mathematics
8 Statistical Inference for Stochastic Processes
8 Computational Management Science
8 Statistical Methods and Applications
8 Journal of Forecasting
7 Applied Mathematics Letters
7 AStA. Advances in Statistical Analysis
7 SIAM Journal on Financial Mathematics
7 Financial Engineering and the Japanese Markets
6 Stochastic Analysis and Applications
6 Acta Mathematicae Applicatae Sinica. English Series
6 Mathematical Problems in Engineering
6 Australian & New Zealand Journal of Statistics
6 Extremes
6 AStA. Allgemeines Statistisches Archiv
6 Statistical Modelling
6 Journal of Statistical Theory and Practice
6 European Journal of Pure and Applied Mathematics
6 Statistics and Computing
5 Lithuanian Mathematical Journal
5 Psychometrika
5 Automatica
5 International Statistical Review
5 Statistical Science
5 Computers & Operations Research
5 Automation and Remote Control
5 Mathematical Methods of Statistics
5 Applied Mathematical Finance
5 Studies in Nonlinear Dynamics and Econometrics
5 Macroeconomic Dynamics
5 CEJOR. Central European Journal of Operations Research
5 Thai Journal of Mathematics
5 The European Physical Journal B. Condensed Matter and Complex Systems
5 The Annals of Applied Statistics
4 Metrika
4 Information Sciences
4 Kybernetes
4 Kybernetika
4 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering
4 Discrete Dynamics in Nature and Society
4 Comptes Rendus. Mathématique. Académie des Sciences, Paris
4 ASTIN Bulletin
4 Statistical Methodology
4 Science China. Mathematics
3 Advances in Applied Probability
...and 141 more Serials
all top 5

Cited in 35 Fields

2,165 Statistics (62-XX)
1,192 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
290 Probability theory and stochastic processes (60-XX)
280 Numerical analysis (65-XX)
51 Operations research, mathematical programming (90-XX)
48 Systems theory; control (93-XX)
27 Computer science (68-XX)
20 Dynamical systems and ergodic theory (37-XX)
13 General and overarching topics; collections (00-XX)
13 Information and communication theory, circuits (94-XX)
12 Geophysics (86-XX)
12 Biology and other natural sciences (92-XX)
9 History and biography (01-XX)
8 Linear and multilinear algebra; matrix theory (15-XX)
8 Statistical mechanics, structure of matter (82-XX)
6 Harmonic analysis on Euclidean spaces (42-XX)
6 Calculus of variations and optimal control; optimization (49-XX)
3 Approximations and expansions (41-XX)
3 Functional analysis (46-XX)
3 Operator theory (47-XX)
2 Combinatorics (05-XX)
2 Partial differential equations (35-XX)
2 Astronomy and astrophysics (85-XX)
1 Real functions (26-XX)
1 Measure and integration (28-XX)
1 Special functions (33-XX)
1 Ordinary differential equations (34-XX)
1 Difference and functional equations (39-XX)
1 Integral equations (45-XX)
1 Convex and discrete geometry (52-XX)
1 Global analysis, analysis on manifolds (58-XX)
1 Mechanics of particles and systems (70-XX)
1 Fluid mechanics (76-XX)
1 Quantum theory (81-XX)
1 Relativity and gravitational theory (83-XX)

Citations by Year

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