Robert Engle

5.3k total citations · 2 hit papers
13 papers, 1.7k citations indexed

About

Robert Engle is a scholar working on Finance, Economics and Econometrics and General Economics, Econometrics and Finance. According to data from OpenAlex, Robert Engle has authored 13 papers receiving a total of 1.7k indexed citations (citations by other indexed papers that have themselves been cited), including 11 papers in Finance, 7 papers in Economics and Econometrics and 3 papers in General Economics, Econometrics and Finance. Recurrent topics in Robert Engle's work include Financial Risk and Volatility Modeling (8 papers), Financial Markets and Investment Strategies (4 papers) and Market Dynamics and Volatility (4 papers). Robert Engle is often cited by papers focused on Financial Risk and Volatility Modeling (8 papers), Financial Markets and Investment Strategies (4 papers) and Market Dynamics and Volatility (4 papers). Robert Engle collaborates with scholars based in United States, United Kingdom and South Korea. Robert Engle's co-authors include Victor Ng, Bryan Kelly, Éric Ghysels, Bumjean Sohn, Neil Shephard, Kevin Sheppard, Michael J. Fleming, Giang Nguyen and Turan G. Bali and has published in prestigious journals such as The Journal of Finance, Journal of Financial Economics and American Economic Review.

In The Last Decade

Robert Engle

13 papers receiving 1.5k citations

Hit Papers

align trajectories

What are hit papers?

Hit papers significantly outperform the citation benchmark for their cohort. A paper qualifies if it has ≥500 total citations, achieves ≥1.5× the top-1% citation threshold for papers in the same subfield and year (this is the minimum needed to enter the top 1%, not the average within it), or reaches the top citation threshold in at least one of its specific research topics.

Measuring and Testing the Impact of News on Volatility

1993 603 citations Robert Engle, Victor Ng The Journal of Finance profile →
Dynamic Equicorrelation

2012 312 citations Robert Engle, Bryan Kelly Journal of Business and Economic Statistics profile →

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name	h						Papers	Cites
Robert Engle United States	11	1.4k	1.3k	526	155	87	13	1.7k
Yiu‐Kuen Tse Singapore	13	1.1k 0.8×	1.1k 0.9×	429 0.8×	107 0.7×	163 1.9×	32	1.4k
Martin Martens Netherlands	22	1.9k 1.4×	1.6k 1.3×	702 1.3×	166 1.1×	180 2.1×	67	2.1k
John M. Maheu Canada	19	1.1k 0.8×	980 0.8×	421 0.8×	162 1.0×	49 0.6×	49	1.4k
Albert K. Tsui Singapore	14	1.1k 0.8×	1.1k 0.9×	525 1.0×	95 0.6×	77 0.9×	46	1.4k
Mico Loretan Switzerland	13	1.1k 0.8×	1.2k 1.0×	818 1.6×	74 0.5×	71 0.8×	28	1.7k
Kevin Sheppard United Kingdom	16	1.6k 1.2×	1.6k 1.3×	606 1.2×	243 1.6×	47 0.5×	28	2.1k
Ernst Schaumburg United States	14	834 0.6×	808 0.6×	491 0.9×	114 0.7×	165 1.9×	38	1.2k
Chris Kirby United States	17	2.3k 1.7×	1.8k 1.4×	765 1.5×	323 2.1×	186 2.1×	50	2.6k
Jeremy Berkowitz United States	15	1.3k 0.9×	1.2k 0.9×	800 1.5×	258 1.7×	177 2.0×	31	1.8k

Countries citing papers authored by Robert Engle

Since Specialization

Citations

This map shows the geographic impact of Robert Engle's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Robert Engle with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Robert Engle more than expected).

Fields of papers citing papers by Robert Engle

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Robert Engle. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Robert Engle. The network helps show where Robert Engle may publish in the future.

Co-authorship network of co-authors of Robert Engle

This figure shows the co-authorship network connecting the top 25 collaborators of Robert Engle. A scholar is included among the top collaborators of Robert Engle based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Robert Engle. Robert Engle is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

Sort: Min cites: Since: Top N: Style:

13 of 13 papers shown

1.

Engle, Robert, et al.. (2025). CRISK: Measuring the climate risk exposure of the financial system. Journal of Financial Economics. 171. 104076–104076. 8 indexed citations

2.

Engle, Robert, et al.. (2023). Measuring the Climate Risk Exposure of Insurers. SSRN Electronic Journal. 13 indexed citations

3.

Shephard, Neil, et al.. (2020). Fitting Vast Dimensional Time-Varying Covariance Models. Journal of Business and Economic Statistics. 39(3). 652–668. 52 indexed citations

4.

Engle, Robert, Michael J. Fleming, Éric Ghysels, & Giang Nguyen. (2012). Liquidity, Volatility, and Flights to Safety in the U.S. Treasury Market: Evidence from a New Class of Dynamic Order Book Models. SSRN Electronic Journal. 36 indexed citations

5.

Engle, Robert, et al.. (2012). Measuring and Modeling Execution Cost and Risk. The Journal of Portfolio Management. 38(2). 14–28. 70 indexed citations

6.

Engle, Robert & Bryan Kelly. (2012). Dynamic Equicorrelation. Journal of Business and Economic Statistics. 30(2). 212–228. 312 indexed citations breakdown →

7.

Bali, Turan G. & Robert Engle. (2010). Resurrecting the Conditional CAPM with Dynamic Conditional Correlations. SSRN Electronic Journal. 4 indexed citations

8.

Engle, Robert, Éric Ghysels, & Bumjean Sohn. (2008). On the Economic Sources of Stock Market Volatility. SSRN Electronic Journal. 118 indexed citations

9.

Engle, Robert, Neil Shephard, & Kevin Sheppard. (2007). Fitting and testing vast dimensional time-varying covariance models. The Faculty Digital Archive (New York University). 34 indexed citations

10.

Engle, Robert. (2004). Risk and Volatility: Econometric Models and Financial Practice. American Economic Review. 94(3). 405–420. 342 indexed citations

11.

Engle, Robert. (2001). Financial econometrics – A new discipline with new methods. Journal of Econometrics. 100(1). 53–56. 20 indexed citations

12.

Engle, Robert & Victor Ng. (1993). Time-Varying Volatility and the Dynamic Behavior of the Term Structure. Journal of money credit and banking. 25(3). 336–336. 64 indexed citations

13.

Engle, Robert & Victor Ng. (1993). Measuring and Testing the Impact of News on Volatility. The Journal of Finance. 48(5). 1749–1749. 603 indexed citations breakdown →

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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