Standout Papers

Co-Integration and Error Correction: Representation, Estimation, and Testing 1982 2026 1996 2011 20.5k
  1. Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)
    Robert F. Engle et al. Econometrica
  2. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)
    Robert F. Engle Econometrica
  3. Dynamic Conditional Correlation (2002)
    Robert F. Engle Journal of Business and Economic Statistics
  4. Multivariate Simultaneous Generalized ARCH (1995)
    Robert F. Engle, Kenneth F. Kroner Econometric Theory
  5. Measuring and Testing the Impact of News on Volatility (1993)
    Robert F. Engle, Victor Ng The Journal of Finance
  6. A long memory property of stock market returns and a new model (1993)
    Zhuanxin Ding, Clive W. J. Granger et al. Journal of Empirical Finance
  7. A Capital Asset Pricing Model with Time-Varying Covariances (1988)
    Tim Bollerslev, Robert F. Engle et al. Journal of Political Economy
  8. Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)
    Robert F. Engle, David M. Lilien et al. Econometrica
  9. CAViaR (2004)
    Robert F. Engle, Simone Manganelli Journal of Business and Economic Statistics
  10. Forecasting and testing in co-integrated systems (1987)
    Robert F. Engle, Byung Sam Yoo Journal of Econometrics
  11. Modelling the persistence of conditional variances (1986)
    Robert F. Engle, Tim Bollerslev Econometric Reviews
  12. Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)
    Lorenzo Cappiello, Robert F. Engle et al. Journal of Financial Econometrics
  13. Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)
    Robert F. Engle, Jeffrey R. Russell Econometrica
  14. Seasonal integration and cointegration (1990)
    Svend Hylleberg, Robert F. Engle et al. Journal of Econometrics
  15. Exogeneity (1983)
    Robert F. Engle, David F. Hendry et al. Econometrica
  16. SRISK: A conditional capital shortfall measure of systemic risk (2017)
    Christian T. Brownlees, Robert F. Engle IRIS - Institutional Research Information System (Libera Università Internazionale degli Studi Sociali Guido Carli)
  17. Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks (2012)
    Viral V. Acharya, Robert F. Engle et al. American Economic Review
  18. Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models (2000)
    Robert F. Engle SSRN Electronic Journal
  19. Stock Market Volatility and Macroeconomic Fundamentals (2012)
    Robert F. Engle, Éric Ghysels et al. The Review of Economics and Statistics
  20. Hedging Climate Change News (2019)
    Robert F. Engle, Stefano Giglio et al. Review of Financial Studies
  21. Semiparametric Estimates of the Relation between Weather and Electricity Sales (1986)
    Robert F. Engle, Clive W. J. Granger et al. Journal of the American Statistical Association
  22. Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)
    Robert F. Engle, Takatoshi Ito et al. Econometrica
  23. Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)
    Wen-Ling Lin, Robert F. Engle et al. Review of Financial Studies
  24. GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)
    Robert F. Engle The Journal of Economic Perspectives
  25. The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)
    Robert F. Engle, José Gonzalo Rangel Review of Financial Studies
  26. Volatility, Correlation and Tails for Systemic Risk Measurement (2011)
    Christian T. Brownlees, Robert F. Engle SSRN Electronic Journal
  27. New frontiers for arch models (2002)
    Robert F. Engle Journal of Applied Econometrics
  28. What good is a volatility model? (2001)
    Robert F. Engle, Andrew J. Patton Quantitative Finance
  29. Estimates of the Variance of U. S. Inflation Based upon the ARCH Model (1983)
    Robert F. Engle Journal of money credit and banking
  30. Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models (1983)
    Mark W. Watson, Robert F. Engle Journal of Econometrics
  31. Band Spectrum Regression (1974)
    Robert F. Engle International Economic Review

Immediate Impact

18 by Nobel laureates 3 from Science/Nature 189 standout
Sub-graph 1 of 15

Citing Papers

Uncertainty in forecasts of long-run economic growth
2018 StandoutNobel
Microeconomic Origins of Macroeconomic Tail Risks
2016 StandoutNobel
1 intermediate paper

Works of Robert F. Engle being referenced

A long memory property of stock market returns and a new model
1993 StandoutNobel
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
1982 Standout

Author Peers

Author Last Decade Papers Cites
Robert F. Engle 47030 58633 31511 234 77.5k
Clive W. J. Granger 18899 34152 19590 262 54.9k
Peter C.B. Phillips 14219 33025 21758 443 43.9k
Wayne A. Fuller 11218 27366 18572 148 44.2k
James H. Stock 11186 26089 20260 182 38.9k
M. Hashem Pesaran 15515 74120 29791 438 87.4k
David A. Dickey 10724 25908 17819 94 39.3k
Pierre Perrón 12328 30236 22361 140 37.9k
Francis X. Diebold 21263 27159 14331 236 36.6k
Søren Johansen 11896 28329 23149 165 37.7k
Tim Bollerslev 37293 34346 14929 97 44.6k

All Works

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