R. F. Engle
30 works on record
Works
The inconsistency of distributed lag estimators due to misspecification by time aggregation
Issues in the specification of an econometric model of metropolitan growth
A disequilibrium model of regional investment
De facto discrimination in residential assessments
Band spectrum regressions
Some finite sample properties of spectral estimators of a linear regression
The specification of the disturbance for efficient estimation
Testing price equations for stability across frequencies
Cointegration, causality, and forecasting
Long-run economic relationships
Value at risk models in finance
2001
Measuring, forecasting, and explaining time varying liquidity in the stock market
Theoretical and empirical properties of Dynamic Conditional Correlation Multivariate GARCH
Forecasting transaction rates
Measuring and testing the impact of news on volatility
The econometrics of ultra-high frequency data
Execution risk
Time-varying volatility and the dynamic behavior of the term structure
Autoregressive conditional heteroscedasticity with estimates of the variance of inflationary expectations
GARCH gamma
Valuation of variance forecasts with simulated option markets
Index-option pricing with stochastic volatility and the value of accurate variance forecasts
A multiple indicators model for volatility using intra-daily data
A general approach to the construction of model diagnostics based upon the lagrange multiplier principle
Estimating sectorial cycles using cointegration and common features
CAViaR
Exogeneity
Hedging options in a GARCH environment
Volatility and time series econometrics
Common seasonal features