Các công trình tiêu biểu Robert_F.

Các công trình tiêu biểu Robert_F._Engle

“Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation”. Econometrica. 50 (4): 987–1008. 1982. JSTOR 1912773.
. (with David F. Hendry and Jean-Francois Richard). “Exogeneity”. Econometrica. 51 (2): 277–304. 1983. JSTOR 1911990.Quản lý CS1: khác (liên kết)
. (with C. Granger, J. Rice and A. Weiss). “Semi-parametric Estimates of the Relation between Weather and Electricity Demand”. J. Amer. Statist. Assoc. 81 (394): 310–320. 1986. doi:10.1080/01621459.1986.10478274.Quản lý CS1: khác (liên kết)
. (with Clive Granger). “Co-Integration and Error Correction: Representation, Estimation, and Testing”. Econometrica. 55 (2): 251–276. 1987. JSTOR 1913236.Quản lý CS1: khác (liên kết)
. (with David Lilien and Russell Robins). “Estimation of Time Varying Risk Premia in the Term Structure: the ARCH-M Model”. Econometrica. 55 (2): 391–407. 1987. JSTOR 1913242.Quản lý CS1: khác (liên kết)
. (with V. Ng, and M. Rothschild). “Asset Pricing with a Factor ARCH Covariance Structure: Empirical Estimates for Treasury Bills”. Journal of Econometrics. 45 (1–2): 213–237. 1990. doi:10.1016/0304-4076(90)90099-F.Quản lý CS1: khác (liên kết)
. (with J.R. Russell). “Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data”. Econometrica. 66 (5): 1127–1162. 1998. JSTOR 2999632.Quản lý CS1: khác (liên kết)
“Dynamic Conditional Correlation – A Simple Class of Multivariate GARCH Models”. Journal of Business and Economic Statistics. 20 (3): 339–350. 2002. doi:10.1198/073500102288618487.
. (with Maureen O'Hara, David Easley and L. Wu). “Time-Varying Arrival Rates of Informed and Uninformed Traders”. Journal of Financial Econometrics. 6 (2): 171–207. 2008. doi:10.1093/jjfinec/nbn003.Quản lý CS1: khác (liên kết)

Tài liệu tham khảo

WikiPedia: Robert_F._Engle http://web.mit.edu/newsoffice/special/nobels.html http://pages.stern.nyu.edu/~rengle/ http://sofie.stern.nyu.edu/founding.members http://vlab.stern.nyu.edu http://w4.stern.nyu.edu/academic/global/riskmanage... http://www.aif.nl/ http://data.bibliotheken.nl/id/thes/p074932136 //doi.org/10.1016%2F0304-4076(90)90099-F //doi.org/10.1080%2F01621459.1986.10478274 //doi.org/10.1093%2Fjjfinec%2Fnbn003