Robert F. Engle III
Department of Finance, Stern School of Business
New York University, Salomon Center
44 West 4th Street, Suite 9-160
New York, NY 10012-1126
Tel: 212/998-0710
Fax: 212/995-4220
E-Mail: 
WWW: http://pages.stern.nyu.edu/~rengle/
NBER Program Affiliations:
AP
NBER Affiliation: Research Associate
Institutional Affiliation: New York University
NBER Working Papers and Publications
| April 2019 | Hedging Climate Change News
with Stefano Giglio, Bryan T. Kelly, Heebum Lee, Johannes Stroebel: w25734
Published: Robert F Engle & Stefano Giglio & Bryan Kelly & Heebum Lee & Johannes Stroebel & Andrew Karolyi, 2020. "Hedging Climate Change News," Review of Financial Studies, Society for Financial Studies, vol. 33(3), pages 1184-1216. citation courtesy of 
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| April 2013 | Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights
with Viral V. Acharya, Diane Pierret: w18968
Published: Acharya, Viral & Engle, Robert & Pierret, Diane, 2014. "Testing macroprudential stress tests: The risk of regulatory risk weights," Journal of Monetary Economics, Elsevier, vol. 65(C), pages 36-53. citation courtesy of
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| November 2006 | Vector Multiplicative Error Models: Representation and Inference
with Fabrizio Cipollini, Giampiero M. Gallo: t0331
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| Vector Multiplicative Error Models: Representation and Inference
with Fabrizio Cipollini, Giampiero M. Gallo: w12690
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| April 2006 | Execution Risk
with Robert Ferstenberg: w12165
Published: Engle, Robert and Robert Ferstenberg. “Execution Risk.” Journal of Portfolio Management 33, 2 (Winter 2007): 34-45.
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| November 2003 | A Multiple Indicators Model for Volatility Using Intra-Daily Data
with Giampiero M. Gallo: w10117
Published: Engle, Robert F. and Gaimpiero M. Gallo. "A Multiple Indicators Model For Volatility Using Intra-Daily Data," Journal of Econometrics, 2006, v131(1-2,Mar-Apr), 3-27. citation courtesy of
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| October 2001 | Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH
with Kevin Sheppard: w8554
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| September 1999 | Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks
with Young-Hye Cho: w7330
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| Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market
with Young-Hye Cho: w7331
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| CAViaR: Conditional Value at Risk by Quantile Regression
with Simone Manganelli: w7341
Published: Robert F. Engle & Simone Manganelli, 2004. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 367-381, October.
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| October 1997 | Option Hedging Using Empirical Pricing Kernels
with Joshua V. Rosenberg: w6222
Published: Rosenberg, Joshua V. and Robert F. Engle. "Empirical Pricing Kernels," Journal of Financial Economics, 2002, v64(3,Jun), 341-372.
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| August 1997 | Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market
with Joe Lange: w6129
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| November 1996 | The Econometrics of Ultra-High Frequency Data
w5816
Published: Econometrica, Vol. 68 (2000): 1-22. citation courtesy of
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| May 1995 | GARCH Gamma
with Joshua V. Rosenberg: w5128
Published: Robert F . Engle Joshua V . Rosenberg. "GARCH Gamma" Journal of Derivatives, Summer 1995, Vol. 2, No. 4: pp. 47-59
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| December 1994 | Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models
with Joshua Rosenberg: w4958
Published: Published as "Bayesian Analysis of Stochastic Volatility Models: Comment", JBES, Vol. 12, no. 4 (1994): 395-396.
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| Forecasting Transaction Rates: The Autoregressive Conditional Duration Model
with Jeffrey R. Russell: w4966
Published: (Published as "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Tranaction Rates") Econometrica, Vol. 66 (1998): 1127-1162.
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| November 1993 | Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts
with Alex Kane, Jaesun Noh: w4519
Published: Review of Derivatives Research, Volume 1, Number 2, 1996 , pp. 139-157
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| A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts
with Jaesun Noh, Alex Kane: w4520
Published: (Published as "Forecasting Volatility and Option Prices of the S & P 500 Index") Journal of Derivatives, Vol. 2 (1994): 17-30.
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| Estimating Sectoral Cycles Using Cointegration and Common Features
with Joao Victor Issler: w4529
Published: (Published as "Estimating Common Sectoral Cycles") Journal of Monetary Economics, Vol. 35 (1995): 83-113.
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| November 1991 | Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns
with Wen-Ling Lin, Takatoshi Ito: w3911
Published: Review of Financial Studies, Volume 7, Number 3. pp 507-538. (1994)
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| April 1991 | Measuring and Testing the Impact of News on Volatility
with Victor K. Ng: w3681
Published: Journal of Finance, 1993, vol. 48, issue 5, pages 1749-78 citation courtesy of
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| Time-Varying Volatility and the Dynamic Behavior of the Term Structure
with Victor K. Ng: w3682
Published: Journal of Money, Credit and Banking, 1993, vol. 25, issue 3, pages 336-49. citation courtesy of
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| March 1991 | Measuring Risk Aversion From Excess Returns on a Stock Index
with Ray Chou, Alex Kane: w3643
Published: Journal of Econometrics, vol. 52, pp. 201-224, 1992
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| October 1990 | Testing For Common Features
with Sharon Kozicki: t0091
Published: Journal of Business & Economic Statistics, 1993, vol. 11, issue 4, pages 369-80
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| Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination
with Takatoshi Ito, Wen-Ling Lin: w3504
Published: Journal of International Economics, Vol. 32, pp. 221-240 (1992). citation courtesy of
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| May 1990 | Valuation of Variance Forecast with Simulated Option Markets
with Che-Hsiung Hong, Alex Kane: w3350
Published: Robert Engle, Che-Hsuing Hong, Alex Kane, and Jaesun Noh, "Arbitrage Valuation of Variance Forecasts with Simulated Options," Advances in Futures and Options Research, Vol. 6, 1992, pp. 393-416.
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| March 1990 | Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share
with Scott J. Brown, N. Edward Coulson: w3291
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| November 1988 | Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills
with Victor Ng, Michael Rothschild: t0065
Published: Journal of Econometrics, Vol. 45, No. 1/2, pp. 213-237, (July/August 1990).
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| June 1988 | Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market
with Takatoshi Ito, Wen-Ling Lin: w2609
Published: Econometrica 1990, Vol. 58, No. 3, pp. 525-542, (May 1990). citation courtesy of
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| 1980 | Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic
in Evaluation of Econometric Models, Jan Kmenta and James B. Ramsey, editors
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| 1976 | Interpreting Spectral Analyses in Terms of Time-Domain Models
in Annals of Economic and Social Measurement, Volume 5, number 1, Sanford V. Berg, editor
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| April 1974 | Interpreting Spectral Analyses in Terms of Time-Domain Models
w0037
Published: Engle, R., from Annals of Economic and Social Measurements, Vol. 5, 1976.
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| 1972 | Effects of Aggregation Over Time on Dynamic Characteristics of an Econometric Model
with Ta-Chung Liu
in Econometric Models of Cyclical Behavior, Volumes 1 and 2, Bert G. Hickman, editor
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