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

Robert F. Engle

new york university

110H指数

483论文数

13.7W被引数

收录论文 64

发表时间

Macro-prudential policy under asymmetric risks: A Bayesian structural quantile VAR approach 宏观审慎政策下的非对称风险：贝叶斯结构分位数VAR方法

Journal of Econometrics

IF4

2026-04-13

PREAI

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

Multiplicative factor model for volatility 波动率的乘法因子模型

JOURNAL OF ECONOMETRICS

IF4

2025-05-01

PREAI

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

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

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

Factor-Mimicking Portfolios for Climate Risk

FINANCIAL ANALYSTS JOURNAL

IF2.2

2024-05-10

OAAI

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

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

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

Liquidity and volatility in the US Treasury market

JOURNAL OF ECONOMETRICS

IF4

2020-08-01

PREAI

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

Hedging Climate Change News 对冲气候变化新闻

REVIEW OF FINANCIAL STUDIES

IF5.4

2020-02-14

425

OAAI

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

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

Systemic Risk 10 Years Later

ANNUAL REVIEW OF FINANCIAL ECONOMICS

IF0

2018-11-01

OAAI

Engle, Robert

Scenario generation for long run interest rate risk assessment

JOURNAL OF ECONOMETRICS

IF4

2017-12-01

PREAI

Engle, Robert; Roussellet, Guillaume; Siriwardane, Emil

Structural GARCH: The Volatility-Leverage Connection

REVIEW OF FINANCIAL STUDIES

IF5.4

2017-09-12

OAAI

Engle, Robert F.; Siriwardane, Emil N.

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.

Priced risk and asymmetric volatility in the cross section of skewness

JOURNAL OF ECONOMETRICS

IF4

2014-09-01

OAAI

Engle, Robert; Mistry, Abhishek

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

Modeling the Dynamics of Correlations among Implied Volatilities

REVIEW OF FINANCE

IF8.4

2014-05-30

OAAI

Engle, Robert; Figlewski, Stephen

Systemic Risk in Europe*

REVIEW OF FINANCE

IF8.4

2014-03-29

139

OAAI

Engle, Robert; Jondeau, Eric; Rockinger, Michael

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

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

研究方向