Robert F. Engle - Publications, H-index & Citations

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Robert F. Engle

new york university

110H-index

483Paper Count

13.7WCitation Count

Published Papers 64

Publication Date

Macro-prudential policy under asymmetric risks: A Bayesian structural quantile VAR approach

Journal of Econometrics

IF4

2026-04-13

PREAI

Sulkhan Chavleishvili; Robert F. Engle; Stephan Fahr; Manfred Kremer; Frederik Lund-Thomsen; Simone Manganelli; Bernd Schwaab

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Multiplicative factor model for volatility

JOURNAL OF ECONOMETRICS

IF4

2025-05-01

PREAI

Ding, Yi; Engle, Robert; Li, Yingying; Zheng, Xinghua

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Estimating systemic risk for non-listed Euro-area banks

JOURNAL OF FINANCIAL STABILITY

IF4.2

2024-12-01

PREAI

Engle, Robert F.; Emambakhsh, Tina; Manganelli, Simone; Parisi, Laura; Pizzeghello, Riccardo

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Why Did Bank Stocks Crash during COVID-19?

REVIEW OF FINANCIAL STUDIES

IF5.4

2024-07-05

PREAI

Acharya, Viral V.; Engle, Robert; Jager, Maximilian; Steffen, Sascha

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Factor-Mimicking Portfolios for Climate Risk

FINANCIAL ANALYSTS JOURNAL

IF2.2

2024-05-10

OAAI

De Nard, Gianluca; Engle, Robert F.; Kelly, Bryan

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Climate Stress Testing

financial economics

IF5.2

2023-11-01

OAAI

Acharya, Viral V.; Berner, Richard; Engle, Robert; Jung, Hyeyoon; Stroebel, Johannes; Zeng, Xuran; Zhao, Yihao

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Large dynamic covariance matrices: Enhancements based on intraday data

JOURNAL OF BANKING & FINANCE

IF3.8

2022-05-01

OAAI

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; Wolf, Michael

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Liquidity and volatility in the US Treasury market

JOURNAL OF ECONOMETRICS

IF4

2020-08-01

PREAI

Giang Nguyen; Engle, Robert; Fleming, Michael; Ghysels, Eric

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Hedging Climate Change News

REVIEW OF FINANCIAL STUDIES

IF5.4

2020-02-14

425

OAAI

Engle, Robert F.; Giglio, Stefano; Kelly, Bryan; Lee, Heebum; Stroebel, Johannes

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Measuring the probability of a financial crisis

PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA

IF9.1

2019-08-27

OAAI

Engle, Robert F.; Ruan, Tianyue

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Systemic Risk 10 Years Later

ANNUAL REVIEW OF FINANCIAL ECONOMICS

IF0

2018-11-01

OAAI

Engle, Robert

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Scenario generation for long run interest rate risk assessment

JOURNAL OF ECONOMETRICS

IF4

2017-12-01

PREAI

Engle, Robert; Roussellet, Guillaume; Siriwardane, Emil

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Structural GARCH: The Volatility-Leverage Connection

REVIEW OF FINANCIAL STUDIES

IF5.4

2017-09-12

OAAI

Engle, Robert F.; Siriwardane, Emil N.

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SRISK: A Conditional Capital Shortfall Measure of Systemic Risk

REVIEW OF FINANCIAL STUDIES

IF5.4

2016-08-06

762

OAAI

Brownlees, Christian; Engle, Robert F.

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Priced risk and asymmetric volatility in the cross section of skewness

JOURNAL OF ECONOMETRICS

IF4

2014-09-01

OAAI

Engle, Robert; Mistry, Abhishek

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Testing macroprudential stress tests: The risk of regulatory risk weights

JOURNAL OF MONETARY ECONOMICS

IF4.1

2014-07-01

137

OAAI

Acharya, Viral; Engle, Robert; Pierret, Diane

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Modeling the Dynamics of Correlations among Implied Volatilities

REVIEW OF FINANCE

IF8.4

2014-05-30

OAAI

Engle, Robert; Figlewski, Stephen

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Systemic Risk in Europe*

REVIEW OF FINANCE

IF8.4

2014-03-29

139

OAAI

Engle, Robert; Jondeau, Eric; Rockinger, Michael

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STOCK MARKET VOLATILITY AND MACROECONOMIC FUNDAMENTALS

REVIEW OF ECONOMICS AND STATISTICS

IF6.8

2013-07-01

705

PREAI

Engle, Robert F.; Ghysels, Eric; Sohn, Bumjean

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VOLATILITY SPILLOVERS IN EAST ASIAN FINANCIAL MARKETS: A MEM-BASED APPROACH

REVIEW OF ECONOMICS AND STATISTICS

IF6.8

2012-02-01

PREAI

Engle, Robert F.; Gallo, Giampiero M.; Velucchi, Margherita

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Research Directions