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Meteor showers or heat waves?: Heteroskedastic intra-daily volatility in the foreign exchange market (NBER working paper series ; working paper) - R. F Engle
Dynamic conditional correlation: A simple class of multivariate GARCH models (Discussion paper) - R. F Engle
Where does the meteor shower come from?: The role of stochastic policy coordination (SSRI workshop series) - R. F Engle
Estimating diffusion models of stochastic volatility (Discussion paper) - R. F Engle
Stochastic permanent breaks (Discussion paper) - R. F Engle
Forecasting transaction rates: The autoregressive conditional duration model (NBER working paper series) - R. F Engle
Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model (Discussion paper) - R. F Engle
Measuring, forecasting, and explaining time varying liquidity in the stock market (NBER working paper series) - R. F Engle
Trades and quotes: A bivariate point process (Discussion paper) - R. F Engle
Impacts of trades in an error-correction model of quote prices (Discussion paper) - R. F Engle
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