Robert F. Engle

Research topics

• Monetary Policy and Economic Impact · 3 papers
• Economic theories and models · 1 paper
• Economic Growth and Productivity · 1 paper
• Financial Risk and Volatility Modeling · 1 paper
• Market Dynamics and Volatility · 1 paper

Frequent co-authors

• C.W.J. Granger · 1 paper

Papers

1. Co-Integration and Error Correction: Representation, Estimation, and TestingEconometrica · 1987 · 32,225 citations

   The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples. If each element of a vector of time series x first achieves stationarity after…

2. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom InflationEconometrica · 1982 · 20,957 citations

   Traditional econometric models assume a constant one-period forecast variance. To generalize this implausible assumption, a new class of stochastic processes called autoregressive conditional heteroscedastic (ARCH) processes are introduced in this paper. These are mean zero, serially uncorrelated processes with nonconstant…

3. Dynamic Conditional CorrelationJournal of Business and Economic Statistics · 2002 · 7,268 citations

   Time varying correlations are often estimated with multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models that are linear in squares and cross products of the data. A new class of multivariate models called dynamic conditional correlation models is proposed. These have…