Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns von Sheppard, Kevin Keith, Engle, Robert F, Cappiello, Lorenzo

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A multiple indicators model for volatility using intra-daily data von Engle, Robert F., Gallo, Giampiero M.

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The Econometrics of Ultra-high-frequency Data von Engle, Robert F.

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Seasonal integration and cointegration von Hylleberg, S., Engle, R.F., Granger, C.W.J., Yoo, B.S.

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Time-Varying Arrival Rates of Informed and Uninformed Trades von Easley, David, Engle, Robert F., O'Hara, Maureen, Wu, Liuren

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Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data von Engle, Robert F., Russell, Jeffrey R.

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Empirical asset pricing: the cross section of stock returns von Bali, Turan G, Engle, Robert F, Murray, Scott

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Common Trends and Common Cycles von Vahid, F., Engle, R. F.

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The econometrics of macroeconomics, finance, and the interface von Diebold, F.X., Engle, R.F., Favero, C., Gallo, G.M., Schorfheide, F.

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A component model for dynamic correlations von Colacito, Riccardo, Engle, Robert F., Ghysels, Eric

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The intertemporal capital asset pricing model with dynamic conditional correlations von Bali, Turan G., Engle, Robert F.

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Long-Term Skewness and Systemic Risk von Engle, Robert F.

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Forecasting intraday volatility in the US equity market. Multiplicative component GARCH von Engle, Robert F., Sokalska, Magdalena E.

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CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles von Engle, Robert F, Manganelli, Simone

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Hourly volatility spillovers between international equity markets von Susmel, Raul, Engle, Robert F.

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Implied ARCH models from options prices von Engle, Robert F., Mustafa, Chowdhury

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Forecasting and testing in co-integrated systems von Engle, Robert F., Yoo, Byung Sam

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Testing superexogeneity and invariance in regression models von Engle, Robert F., Hendry, David F.

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Time and the Price Impact of a Trade von Dufour, Alfonso, Engle, Robert F.

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Common Persistence in Conditional Variances von Bollerslev, Tim, Engle, Robert F.

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