Robert F. Engle

Journal Articles

1. Sulkhan Chavleishvili, Robert F. Engle, S. Fahr, Manfred Kremer, Frederik Lund-Thomsen, Simone Manganelli, Bernd Schwaab (2026). Macro-prudential policy under asymmetric risks: A Bayesian structural quantile VAR approach. Journal of Econometrics.DOI
2. Hyeyoon Jung, Robert F. Engle, Richard Berner (2025). CRISK: Measuring the climate risk exposure of the financial system. Journal Of Financial Economics, Vol. 1710.DOI
3. Christian Conrad, Robert F. Engle (2025). Modelling Volatility Cycles: The MF2-GARCH Model. Journal Of Applied Econometrics, Vol. 400, No. 4.DOI
4. Robert F. Engle, Tina Emambakhsh, Simone Manganelli, Laura Parisi, Riccardo Pizzeghello (2024). Estimating systemic risk for non-listed Euro-area banks. Journal Of Financial Stability, Vol. 75.DOI
5. Gianluca De Nard, Robert F. Engle, Bryan Kelly (2024). Factor-Mimicking Portfolios for Climate Risk. Financial Analysts Journal, Vol. 800, No. 30.DOI
6. Robert F. Engle, Susana Campos-Martins (2023). What are the events that shake our world? Measuring and hedging global COVOL. Journal Of Financial Economics, Vol. 1470, No. 1.DOI
7. Gianluca De Nard, Robert F. Engle, Olivier Ledoit, Michael Wolf (2022). Large dynamic covariance matrices: Enhancements based on intraday data. Journal Of Banking & Finance, Vol. 138.DOI
8. Cavit Pakel, Neil Shephard, Kevin Sheppard, Robert F. Engle (2021). Fitting Vast Dimensional Time-Varying Covariance Models. Journal Of Business & Economic Statistics, Vol. 390, No. 3.DOI
9. Robert F. Engle, Martin Klint Hansen, Ahmet K. Karagozoglu, Asger Lunde (2021). News and Idiosyncratic Volatility: The Public Information Processing Hypothesis. Journal Of Financial Econometrics, Vol. 190, No. 10.DOI
10. Sulkhan Chavleishvili, Robert F. Engle, S. Fahr, Manfred K. Kremer, S. Manganelli, B. Schwaab (2021). The Risk Management Approach to Macro-Prudential Policy. Social Science Research Network.DOI
11. Robert F. Engle, Stefano Giglio, Bryan Kelly, Heebum Lee, Johannes Stroebel (2020). Hedging Climate Change News. Review Of Financial Studies, Vol. 330, No. 3.DOI
12. Robert F. Engle, Olivier Ledoit, Michael Wolf (2019). Large Dynamic Covariance Matrices. Journal Of Business & Economic Statistics, Vol. 370, No. 2.DOI
13. Robert F. Engle, Emil N. Siriwardane (2018). Structural GARCH: The Volatility-Leverage Connection. Review Of Financial Studies, Vol. 310, No. 2.DOI
14. Orley Ashenfelter, Robert F. Engle, Daniel L. McFadden, Klaus Schmidt-Hebbel (2018). Globalization: Contents and discontents. Contemporary Economic Policy, Vol. 360, No. 10.DOI
15. Turan G. Bali, Robert F. Engle, Yi Tang (2017). Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns. Management Science, Vol. 630, No. 11.DOI
16. Christian Brownlees, Robert F. Engle (2017). SRISK: A Conditional Capital Shortfall Measure of Systemic Risk. Review Of Financial Studies, Vol. 300, No. 1.DOI
17. Robert F. Engle, Guillaume Roussellet, E. Siriwardane (2017). Scenario Generation for Long-Run Interest Rate Risk Assessment.DOI
18. Robert F. Engle (2016). Dynamic Conditional Beta. Journal Of Financial Econometrics, Vol. 140, No. 40.DOI
19. V. Acharya, Robert F. Engle, Diane Pierret (2014). Testing macroprudential stress tests: The risk of regulatory risk weights.DOI
20. Robert F. Engle, Abhishek Mistry (2014). Priced risk and asymmetric volatility in the cross section of skewness. Journal of Econometrics.DOI
21. Robert F. Engle, Fariborz Moshirian, Sidharth Sahgal, Bohui Zhang (2014). Banks non-interest income and global financial stability. Analysis & Policy Observatory.DOI
22. Robert F. Engle, Fariborz Moshirian, Bohui Zhang (2014). Aspects of regional financial stability: a policy approach. Analysis & Policy Observatory.DOI
23. Fabrizio Cipollini, Robert F. Engle, Giampiero M. Gallo (2013). SEMIPARAMETRIC VECTOR MEM. Journal Of Applied Econometrics, Vol. 280, No. 7.DOI
24. Robert F. Engle, Eric Ghysels, Bumjean Sohn (2013). STOCK MARKET VOLATILITY AND MACROECONOMIC FUNDAMENTALS. Review Of Economics And Statistics, Vol. 950, No. 3.DOI
25. Robert F. Engle, Eric Jondeau, Michael Rockinger (2013). Systemic Risk in Europe.DOI
26. Robert F. Engle, Giampiero M. Gallo, Margherita Velucchi (2012). VOLATILITY SPILLOVERS IN EAST ASIAN FINANCIAL MARKETS: A MEM-BASED APPROACH. Review Of Economics And Statistics, Vol. 940, No. 1.DOI
27. Jose Gonzalo Rangel, Robert F. Engle (2012). The Factor-Spline-GARCH Model for High and Low Frequency Correlations. Journal Of Business & Economic Statistics, Vol. 300, No. 1.DOI
28. Robert F. Engle, Magdalena E. Sokalska (2012). Forecasting intraday volatility in the US equity market. Multiplicative component GARCH. Journal Of Financial Econometrics, Vol. 100, No. 10.DOI
29. Roxana Halbleib, Valeri Voev, Luc Bauwens, Robert F. Engle, Christian Gourieroux, A. Lunde, Andrew J. Patton, J. Rombouts, Kevin Sheppard (2012). Forecasting Covariance Matrices : A Mixed Frequency Approach.
30. Riccardo Colacito, Robert F. Engle, Eric Ghysels (2011). A component model for dynamic correlations. Journal Of Econometrics, Vol. 1640, No. 1.DOI
31. Robert F. Engle (2011). Long-Term Skewness and Systemic Risk. Journal Of Financial Econometrics, Vol. 90, No. 30.DOI
32. Christian T. Brownlees, Robert F. Engle, Bryan T. Kelly (2011). A Practical Guide to Volatility Forecasting through Calm and Storm.DOI
33. Turan G. Bali, Robert F. Engle (2010). The intertemporal capital asset pricing model with dynamic conditional correlations. Journal Of Monetary Economics, Vol. 570, No. 4.DOI
34. Robert F. Engle, J. G. Rangel (2009). High and Low Frequency Correlations in Global Equity Markets.DOI
35. Robert F. Engle, Jose Gonzalo Rangel (2008). The spline-GARCH model for low-frequency volatility and its global macroeconomic causes. Review Of Financial Studies, Vol. 210, No. 3.DOI
36. Giovanni Barone-Adesi, Robert F. Engle, Loriano Mancini (2008). A GARCH option pricing model with filtered historical simulation. Review Of Financial Studies, Vol. 210, No. 3.DOI
37. David Easley, Robert F. Engle, Maureen O'Hara, Liuren Wu (2008). Time-varying arrival rates of informed and uninformed trades. Journal Of Financial Econometrics.DOI
38. Robert F. Engle (2007). High Dimension Dynamic Correlations.DOI
39. Robert F. Engle, R. Ferstenberg (2007). Execution Risk.DOI
40. Robert Engle, Neil Shephard, Kevin Keith Sheppard (2007). 2007): “Fitting and testing vast dimensional timevarying covariance models. Faculty Digital Archive (New York University Florence).
41. Robert F. Engle, Jurl Marcucci (2006). A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones. Journal Of Econometrics, Vol. 1320, No. 1.DOI
42. Fabrizio Cipollini, Robert Engle, Giampiero Maria Gallo (2006). Vector Multiplicative Error Models: Representation and Inference. National Bureau of Economic Research.DOI
43. Robert F. Engle, Zheng Sun (2005). Forecasting Volatility Using Tick by Tick Data.DOI
44. Robert F. Engle, Giampiero Maria Gallo (2005). A multiple indicators model for volatility using intra-daily data. Journal of Econometrics.DOI
45. Peter F. Christoffersen, Denis Pelletier, Frank Diebold, Jean-Marie Dufour, Robert F. Engle, Eric Ghysels, Bruce Grundy, J. MacKinnon, Nour Meddahi, Matt Pritsker (2003). Backtesting Value-at-Risk : A Duration-Based Approach 1.
46. Robert F. Engle (2002). NEW FRONTIERS FOR ARCH MODELS. Faculty Digital Archive (New York University Florence).
47. Robert F. Engle, Debojyoti Sarkar (2002). PRICING EXCHANGE TRADED FUNDS. Faculty Digital Archive (New York University Florence).
48. Robert F. Engle, Andrew J. Patton (2001). What good is a volatility model? Quantitative Finance, Vol. 10, No. 2.DOI
49. Robert F. Engle (2001). GARCH 101: An Introduction to the Use of ARCH/GARCH models in Applied Econometrics. Faculty Digital Archive (New York University Florence).
50. Zhuanxin Ding, Robert F. Engle (2001). Large Scale Conditional Covariance Matrix Modeling, Estimation and Testing. Faculty Digital Archive (New York University Florence).
51. Robert F. Engle, K. Sheppard (2001). Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH.DOI
52. Robert F. Engle, Joshua V. Rosenberg (2000). Testing the Volatility Term Structure Using Option Hedging Criteria. The Journal of Derivatives.DOI
53. Robert F. Engle, Simone Manganelli, Moshe Buchinsky, W. D. den Haan, J. Horowitz, Jim Powell (1999). CAViaR : Conditional Autoregressive Value at Risk by Regression Quantiles.
54. cho young-hye, Robert F. Engle (1999). Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks. National Bureau of Economic Research.DOI
55. cho young-hye, Robert Engle (1999). Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market. National Bureau of Economic Research.DOI
56. Robert Engle, Simone Manganelli (1999). CAViaR: Conditional Value at Risk by Quantile Regression. National Bureau of Economic Research.DOI
57. Robert Engle (1996). The Econometrics of Ultra-High Frequency Data. National Bureau of Economic Research.DOI
58. Robert F. Engle, Jeffrey R. Russell (1994). Forecasting Transaction Rates: The Autoregressive Conditional Duration Model. National Bureau of Economic Research.DOI
59. Robert Engle, Joshua V. Rosenberg (1994). Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models. National Bureau of Economic Research.DOI
60. Robert F. Engle, Victor K. Ng (1993). Measuring and Testing the Impact of News on Volatility.DOI
61. Robert F. Engle, Alex Kane, Jaesun Noh (1993). Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts. National Bureau of Economic Research.DOI
62. Robert Engle, Victor K. Ng (1993). Time-Varying Volatility and the Dynamic Behavior of the Term Structure. Journal of money credit and banking.DOI
63. Takatoshi Ito, Robert F. Engle, Wen-Ling Lin (1992). Where Does the Meteor Shower Come from? the Role of Stochastic Policy Coordination.DOI
64. Wen-Ling Lin, Robert F. Engle, Takatoshi Ito (1991). Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns.DOI
65. Ray Yeutien Chou, Robert Engle, Alex Kane (1991). Measuring Risk Aversion From Excess Returns on a Stock Index. National Bureau of Economic Research.DOI
66. Robert F. Engle, Takatoshi Ito, Wen-Ling Lin (1990). Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market.DOI
67. Robert Engle, Che-Hsiung Hong, Alex Kane (1990). Valuation of Variance Forecast with Simulated Option Markets. National Bureau of Economic Research.DOI
68. Robert F. Engle (1974). Interpreting Spectral Analyses in Terms of Time-Domain Models.DOI
69. G. Barone-Adesi, Robert F. Engle, L. Mancini. Center for Economic Institutions Working Paper Series "garch Options in Incomplete Markets" Garch Options in Incomplete Markets * Garch Options in Incomplete Markets.

Preprints

1. Marcos López de Prado, Emilio Porcu, Vincent Zoonekynd, Robert F. Engle (2026). A Closed-Form Solution for Sharpe Ratio Inference under GARCH Returns. SSRN Electronic Journal.DOI
2. Yi Ding, Robert Engle, Yingying Li, Xinghua Zheng (2024). Factor Modeling for Volatility. SSRN Electronic Journal.DOI
3. Robert F. Engle (2023). Termination Risk and Sustainability. SSRN Electronic Journal.DOI
4. Robert F. Engle, Hyeyoon Jung (2023). Estimating SRISK for Latin America. SSRN Electronic Journal.DOI
5. Robert F. Engle (2023). Compound Tail Risk. SSRN Electronic Journal.DOI
6. Hyeyoon Jung, Robert Engle, Shan Ge, Xuran Zeng (2023). Physical Climate Risk Factors and an Application to Measuring Insurers’ Climate Risk Exposure. SSRN Electronic Journal.DOI
7. Yi Ding, Robert F. Engle, Yingying Li, Xinghua Zheng (2022). Multiplicative Factor Model for Volatility. SSRN Electronic Journal.DOI
8. Viral V. Acharya, Robert F. Engle, Sascha Steffen (2021). Why Did Bank Stocks Crash during COVID-19? SSRN Electronic Journal.DOI
9. Robert F. Engle, Susana Martins (2020). Measuring and Hedging Geopolitical Risk. SSRN Electronic Journal.DOI
10. Nazli Sila Alan, Robert F. Engle, Ahmet K. Karagozoglu (2020). Multi-regime Forecasting Model for the Impact of COVID-19 Pandemic on Volatility in Global Equity Markets. SSRN Electronic Journal.DOI
11. Robert F. Engle (2020). Stress Testing with Market Data. SSRN Electronic Journal.DOI
12. Robert F. Engle, Tianyue Ruan (2018). How Much SRISK is Too Much? SSRN Electronic Journal.DOI
13. Fabrizio Cipollini, Robert F. Engle, Giampiero Maria Gallo (2016). Copula-Based Specification of Vector MEMs. SSRN Electronic Journal.DOI
14. Robert F. Engle, Fariborz Moshirian, Christopher Wong (2015). Global Systemic Risk: What's Driving the Shadow Banking System? SSRN Electronic Journal.DOI
15. Giang Nguyen, Robert F. Engle, Michael J. Fleming, Éric Ghysels (2013). Liquidity and Volatility in the U.S. Treasury Market. SSRN Electronic Journal.DOI
16. Robert F. Engle, Stephen Figlewski (2012). Modeling the Dynamics of Correlations Among Implied Volatilities. SSRN Electronic Journal.DOI
17. Turan G. Bali, Robert F. Engle (2012). The Conditional CAPM Explains the Value Premium. SSRN Electronic Journal.DOI
18. Robert F. Engle, Robert Ferstenberg, Jeffrey R. Russell (2011). Measuring and Modeling Execution Cost and Risk. SSRN Electronic Journal.DOI
19. Turan G. Bali, Robert Engle (2010). Resurrecting the Conditional CAPM with Dynamic Conditional Correlations. SSRN Electronic Journal.DOI
20. Robert F. Engle, Bryan T. Kelly (2009). Dynamic Equicorrelation. SSRN Electronic Journal.DOI
21. Fabrizio Cipollini, Robert F. Engle, Giampiero Maria Gallo (2009). A Model for Multivariate Non-Negative Valued Processes in Financial Econometrics. SSRN Electronic Journal.DOI
22. Viral V. Acharya, Robert F. Engle (2009). Anatomy of Trading and Liquidity in the Credit Default Swaps Market. SSRN Electronic Journal.DOI
23. Turan G. Bali, Robert F. Engle (2008). Investigating ICAPM with Dynamic Conditional Correlations. SSRN Electronic Journal.DOI
24. Arthur M. Berd, Robert F. Engle, Artem Voronov (2007). The Underlying Dynamics of Credit Correlations. SSRN Electronic Journal.DOI
25. Robert Engle, Éric Ghysels, Bumjean Sohn (2007). On the Economic Sources of Stock Market Volatility. SSRN Electronic Journal.DOI
26. Robert F. Engle, Ananda Chanda, Magdalena Sokalska (2005). High Frequency Multiplicative Compenent GARCH. SSRN Electronic Journal.DOI
27. Simone Manganelli, Robert F. Engle (2003). Value at Risk Models in Finance. SSRN Electronic Journal.DOI
28. Lorenzo Cappiello, Robert F. Engle, Kevin Keith Sheppard (2003). Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns. SSRN Electronic Journal.DOI
29. Andrew J. Patton, Robert F. Engle (2001). Impacts of Trades in an Error-Correction Model of Quote Prices. SSRN Electronic Journal.DOI
30. Robert F. Engle (2000). Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models. SSRN Electronic Journal.DOI
31. Li Li, Robert F. Engle (1998). Macroeconomic Announcements and Volatility of Treasury Futures. RePEc: Research Papers in Economics.
32. Jeffrey R. Russell, Robert F. Engle (1998). Forecasting the Frequency of Changes in Quoted Foreign Exchange Prices with the Autoregressive Conditional Duration Model. SSRN Electronic Journal.
33. Jeffrey R. Russell, Robert F. Engle (1998). Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data. SSRN Electronic Journal.
34. Jeffrey R. Russell, Robert F. Engle (1998). Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model. SSRN Electronic Journal.DOI
35. Aaron Douglas Smith, Robert F. Engle (1998). Stochastic Permanent Breaks. SSRN Electronic Journal.
36. Joe Lange, Robert F. Engle (1998). Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market. SSRN Electronic Journal.DOI
37. Joshua V. Rosenberg, Robert F. Engle (1997). Option Hedging Using Empirical Pricing Kernels. SSRN Electronic Journal.DOI
38. Robert F. Engle, Yin Feng Gau (1997). Conditional Volatility of Exchange Rates Under A Target Zone. SSRN Electronic Journal.DOI
39. Gary G. J. Lee, Robert F. Engle (1993). A Permanent and Transitory Component Model of Stock Return Volatility. SSRN Electronic Journal.

Book Chapters

1. Riccardo Colacito, Robert F. Engle (2010). 4. The Term Structure of Risk, the Role of Known and Unknown Risks, and Nonstationary Distributions. Princeton University Press eBooks.DOI
2. Robert F. Engle, Victor K Ng,, Michael Rothschild (1995). Asset Pricing with a FACTOR-ARCH Covariance Structure: Empirical Estimates for Treasury Bills.DOI