| Co-integration and error correction: representation, estimation, and testing RF Engle, CWJ Granger Econometrica: journal of the Econometric Society, 251-276, 1987 | 52785 | 1987 |
| Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation RF Engle Econometrica: Journal of the econometric society, 987-1007, 1982 | 34114 | 1982 |
| Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models R Engle Journal of business & economic statistics 20 (3), 339-350, 2002 | 9600 | 2002 |
| Multivariate simultaneous generalized ARCH RF Engle, KF Kroner Econometric theory 11 (1), 122-150, 1995 | 6233 | 1995 |
| Measuring and testing the impact of news on volatility RF Engle, VK Ng The journal of finance 48 (5), 1749-1778, 1993 | 5971 | 1993 |
| A long memory property of stock market returns and a new model Z Ding, CWJ Granger, RF Engle Journal of empirical finance 1 (1), 83-106, 1993 | 5191 | 1993 |
| A capital asset pricing model with time-varying covariances T Bollerslev, RF Engle, JM Wooldridge Journal of political Economy 96 (1), 116-131, 1988 | 4890 | 1988 |
| Estimating time varying risk premia in the term structure: The ARCH-M model RF Engle, DM Lilien, RP Robins Econometrica: journal of the Econometric Society, 391-407, 1987 | 4152 | 1987 |
| Modelling the persistence of conditional variances RF Engle, T Bollerslev Econometric reviews 5 (1), 1-50, 1986 | 3694 | 1986 |
| Forecasting and testing in co-integrated systems RF Engle, BS Yoo Journal of econometrics 35 (1), 143-159, 1987 | 3463 | 1987 |
| ARCH models T Bollerslev, RF Engle, DB Nelson Handbook of econometrics 4, 2959-3038, 1994 | 2964 | 1994 |
| CAViaR: Conditional autoregressive value at risk by regression quantiles RF Engle, S Manganelli Journal of business & economic statistics 22 (4), 367-381, 2004 | 2754 | 2004 |
| Exogeneity RF Engle, DF Hendry, JF Richard Econometrica: Journal of the Econometric Society, 277-304, 1983 | 2729 | 1983 |
| Autoregressive conditional duration: a new model for irregularly spaced transaction data RF Engle, JR Russell Econometrica, 1127-1162, 1998 | 2379 | 1998 |
| Seasonal integration and cointegration S Hylleberg, RF Engle, CWJ Granger, BS Yoo Journal of econometrics 44 (1-2), 215-238, 1990 | 2330 | 1990 |
| Asymmetric dynamics in the correlations of global equity and bond returns L Cappiello, RF Engle, K Sheppard Journal of Financial econometrics 4 (4), 537-572, 2006 | 2316 | 2006 |
| GARCH 101: The use of ARCH/GARCH models in applied econometrics R Engle Journal of economic perspectives 15 (4), 157-168, 2001 | 2157 | 2001 |
| Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH RF Engle III, K Sheppard National Bureau of Economic Research, 2001 | 2084 | 2001 |
| Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market RF Engle III, T Ito, WL Lin National Bureau of Economic Research, 1988 | 1616 | 1988 |
| Semiparametric estimates of the relation between weather and electricity sales RF Engle, CWJ Granger, J Rice, A Weiss Journal of the American statistical Association 81 (394), 310-320, 1986 | 1474 | 1986 |
Torben G. AndersenProfessor of Finance, Kellogg School, Northwestern University在 northwestern.edu 的电子邮件经过验证
Torben G. AndersenProfessor of Finance, Kellogg School, Northwestern University在 northwestern.edu 的电子邮件经过验证