Robert F Engle
21 catalog papers. Identity-linked publications and additional name matches are distinguished below.
ORCID: 0009-0009-9491-1510
New York University, 44 West Fourth Street, 10012, NY, United States
Publications
- CRISK: Measuring the climate risk exposure of the financial system — Journal of Financial Economics 2025
- Why Did Bank Stocks Crash during COVID-19? — The Review of Financial Studies 2024
- What are the events that shake our world? Measuring and hedging global COVOL — Journal of Financial Economics 2023 (name-matched, not ORCID-linked)
- Hedging Climate Change News — The Review of Financial Studies 2020
- Structural GARCH: The Volatility-Leverage Connection — The Review of Financial Studies 2018
- SRISK: A Conditional Capital Shortfall Measure of Systemic Risk — The Review of Financial Studies 2017
- Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns — Management Science 2017
- Systemic Risk in Europe — Review of Finance 2015
- Modeling the Dynamics of Correlations among Implied Volatilities — Review of Finance 2015
- Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks — American Economic Review 2012
- The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes — The Review of Financial Studies 2008
- A GARCH Option Pricing Model with Filtered Historical Simulation — The Review of Financial Studies 2008
- Empirical pricing kernels — Journal of Financial Economics 2002 (name-matched, not ORCID-linked)
- Time and the Price Impact of a Trade — The Journal of Finance 2000
- The Econometrics of Ultra-high-frequency Data — Econometrica 2000
- Do bulls and bears move across borders? International transmission of stock returns and volatility — The Review of Financial Studies 1994
- Measuring and Testing the Impact of News on Volatility — The Journal of Finance 1993
- Discussion — The Review of Financial Studies 1990
- A Capital Asset Pricing Model with Time-Varying Covariances — Journal of Political Economy 1988
- Semiparametric Estimates of the Relation between Weather and Electricity Sales — Journal of the American Statistical Association 1986
- A One-Factor Multivariate Time Series Model of Metropolitan Wage Rates — Journal of the American Statistical Association 1981