Result Number | Material Type | Add to My Shelf Action | Record Details and Options |
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1 |
Material Type: Artigo
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Hedging Climate Change NewsEngle, Robert F. ; Giglio, Stefano ; Kelly, Bryan ; Lee, Heebum ; Stroebel, Johannes Karolyi, AndrewThe Review of financial studies, 2020-03, Vol.33 (3), p.1184-1216 [Periódico revisado por pares]Oxford University PressTexto completo disponível |
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2 |
Material Type: Artigo
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The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic CausesEngle, Robert F. ; Rangel, Jose GonzaloThe Review of financial studies, 2008-05, Vol.21 (3), p.1187-1222 [Periódico revisado por pares]Oxford: Oxford University PressTexto completo disponível |
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3 |
Material Type: Artigo
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Large dynamic covariance matrices: Enhancements based on intraday dataDe Nard, Gianluca ; Engle, Robert F. ; Ledoit, Olivier ; Wolf, MichaelJournal of banking & finance, 2022-05, Vol.138, p.106426, Article 106426 [Periódico revisado por pares]Elsevier B.VTexto completo disponível |
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4 |
Material Type: Artigo
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Time and the Price Impact of a TradeDufour, Alfonso ; Engle, Robert F.The Journal of finance (New York), 2000-12, Vol.55 (6), p.2467-2498 [Periódico revisado por pares]Boston, USA and Oxford, UK: Blackwell Publishers, IncTexto completo disponível |
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5 |
Material Type: Artigo
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What are the events that shake our world? Measuring and hedging global COVOLEngle, Robert F. ; Campos-Martins, SusanaJournal of financial economics, 2023-01, Vol.147 (1), p.221-242 [Periódico revisado por pares]Elsevier B.VTexto completo disponível |
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6 |
Material Type: Artigo
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Dynamic Conditional BetaEngle, Robert F.Journal of financial econometrics, 2016-09, Vol.14 (4), p.643-667 [Periódico revisado por pares]Oxford: Oxford Publishing Limited (England)Texto completo disponível |
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7 |
Material Type: Artigo
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The intertemporal capital asset pricing model with dynamic conditional correlationsBali, Turan G. ; Engle, Robert F.Journal of monetary economics, 2010-05, Vol.57 (4), p.377-390 [Periódico revisado por pares]Amsterdam: Elsevier B.VTexto completo disponível |
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8 |
Material Type: Artigo
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Structural GARCH: The Volatility-Leverage ConnectionEngle, Robert F. ; Siriwardane, Emil N.The Review of financial studies, 2018-02, Vol.31 (2), p.449-492 [Periódico revisado por pares]Oxford: Oxford University PressTexto completo disponível |
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9 |
Material Type: Artigo
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A GARCH Option Pricing Model with Filtered Historical SimulationBarone-Adesi, Giovanni ; Engle, Robert F. ; Mancini, LorianoThe Review of financial studies, 2008-05, Vol.21 (3), p.1223-1258 [Periódico revisado por pares]Oxford: Oxford University PressTexto completo disponível |
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10 |
Material Type: Artigo
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News and Idiosyncratic Volatility: The Public Information Processing HypothesisEngle, Robert F ; Hansen, Martin Klint ; Karagozoglu, Ahmet K ; Lunde, AsgerJournal of financial econometrics, 2021-01, Vol.19 (1), p.1-38 [Periódico revisado por pares]Texto completo disponível |