Search Results - "Engle, Robert F."

Hedging Climate Change News by Engle, Robert F., Giglio, Stefano, Kelly, Bryan, Lee, Heebum, Stroebel, Johannes

“…We propose and implement a procedure to dynamically hedge climate change risk. We extract innovations from climate news series that we construct through…”
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The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes by Engle, Robert F., Rangel, Jose Gonzalo

“…Twenty-five years of volatility research has left the macroeconomic environment playing a minor role. This paper proposes modeling equity volatilities as a…”
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Large dynamic covariance matrices: Enhancements based on intraday data by De Nard, Gianluca, Engle, Robert F., Ledoit, Olivier, Wolf, Michael

“…Multivariate GARCH models do not perform well in large dimensions due to the so-called curse of dimensionality. The recent DCC-NL model of Engle et al. (2019)…”
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SRISK: A Conditional Capital Shortfall Measure of Systemic Risk by Brownlees, Christian, Engle, Robert F.

“…We introduce SRISK to measure the systemic risk contribution of a financial firm. SRISK measures the capital shortfall of a firm conditional on a severe market…”
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Large Dynamic Covariance Matrices by Engle, Robert F., Ledoit, Olivier, Wolf, Michael

“…Second moments of asset returns are important for risk management and portfolio selection. The problem of estimating second moments can be approached from two…”
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The Econometrics of Ultra-high-frequency Data by Engle, Robert F.

“…Ultra-high-frequency data is defined to be a full record of transactions and their associated characteristics. The transaction arrival times and accompanying…”
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STOCK MARKET VOLATILITY AND MACROECONOMIC FUNDAMENTALS by Engle, Robert F., Ghysels, Eric, Sohn, Bumjean

“…We revisit the relation between stock market volatility and macroeconomic activity using a new class of component models that distinguish short-run from…”
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Time and the Price Impact of a Trade by Dufour, Alfonso, Engle, Robert F.

“…We use Hasbrouck's (1991) vector autoregressive model for prices and trades to empirically test and assess the role played by the waiting time between…”
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What are the events that shake our world? Measuring and hedging global COVOL by Engle, Robert F., Campos-Martins, Susana

“…Some events impact volatilities of most assets, asset classes, sectors and countries, causing serious damage to investment portfolios. The magnitude of such…”
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Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data by Engle, Robert F., Russell, Jeffrey R.

“…This paper proposes a new statistical model for the analysis of data which arrive at irregular intervals. The model treats the time between events as a…”
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Dynamic Conditional Beta by Engle, Robert F.

“…Dynamic conditional beta is an approach to estimating regressions with time varying parameters. The conditional covariance matrices of the exogenous and…”
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Measuring and Testing the Impact of News on Volatility by ENGLE, ROBERT F., NG, VICTOR K.

“…This paper defines the news impact curve which measures how new information is incorporated into volatility estimates. Various new and existing ARCH models…”
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Measuring the probability of a financial crisis by Engle, Robert F., Ruan, Tianyue

“…When financial firms are undercapitalized, they are vulnerable to external shocks. The natural response to such vulnerability is to reduce leverage, and this…”
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Fitting Vast Dimensional Time-Varying Covariance Models by Pakel, Cavit, Shephard, Neil, Sheppard, Kevin, Engle, Robert F.

“…Estimation of time-varying covariances is a key input in risk management and asset allocation. ARCH-type multivariate models are used widely for this purpose…”
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Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns by Bali, Turan G., Engle, Robert F., Tang, Yi

“…This paper presents evidence for a significantly positive link between the dynamic conditional beta and the cross section of daily stock returns. An investment…”
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Compound Tail Risk by Engle, Robert F.

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Multivariate Simultaneous Generalized ARCH by Engle, Robert F., Kroner, Kenneth F.

“…This paper presents theoretical results on the formulation and estimation of multivariate generalized ARCH models within simultaneous equations systems. A new…”
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A component model for dynamic correlations by Colacito, Riccardo, Engle, Robert F., Ghysels, Eric

“…We propose a model of dynamic correlations with a short- and long-run component specification, by extending the idea of component models for volatility. We…”
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Factor-Mimicking Portfolios for Climate Risk by De Nard, Gianluca, Engle, Robert F., Kelly, Bryan

“…We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices through textual analysis of newspapers…”
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CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles by Engle, Robert F, Manganelli, Simone

“…Value at risk (VaR) is the standard measure of market risk used by financial institutions. Interpreting the VaR as the quantile of future portfolio values…”
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