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A long memory property of stock market returns and a new model
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Time and the price impact of a trade
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Estimating structural models of seasonality
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A. Zellner (ed.), US Department of Commerce, Bureau of Census, Washington, DC
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Engle, R. F. (1978), Estimating Structural Models of Seasonality, in A. Zellner (ed.), Seasonal Analysis of Economic Time Series, US Department of Commerce, Bureau of Census, Washington, DC.
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Seasonal Analysis of Economic Time Series
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Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation
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Estimates of the variance of US inflation based on the ARCH model
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Journal of Money, Credit and Banking
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Wald, likelihood ratio and lagrange multiplier tests in econometrics
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Z. Griliches and M. Intrilligator (eds.) North Holland, Amsterdam
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Engle, R. F. (1984), Wald, Likelihood Ratio and Lagrange Multiplier Tests in Econometrics, in Z. Griliches and M. Intrilligator (eds.), Handbook of Econometrics, Volume 2, North Holland, Amsterdam, 775-826.
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Engle, R. F., (ed.) (1995), ARCH: Selected Readings, Oxford University Press, Oxford.
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Econometrica
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Dynamic conditional correlation: A simple class of generalized autoregressive conditional heteroskedasticity models
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Co-integration and error correction: Representation, estimation and testing
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Wholesale and retail prices: Bivariate modeling with forecastable variances
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D. Belsley and E. Kuh (eds.), MIT Press, Cambridge, MA
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Engle, R. F., Granger, C. W. J. and Robins, R. (1986), Wholesale and Retail Prices: Bivariate Modeling with Forecastable Variances, in D. Belsley and E. Kuh (eds.), Model Reliability, MIT Press, Cambridge, MA.
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Canadian Journal of Economics
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Arbitrage valuation of variance forecasts with simulated options
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D. Chance and R. Tripp (eds.), JIA Press, Greenwich, CT
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Engle, R. F., Hong, C.-H., Kane, A. and Noh, J. (1993), Arbitrage Valuation of Variance Forecasts with Simulated Options, in D. Chance and R. Tripp (eds.), Advances in Futures and Options Research, JIA Press, Greenwich, CT.
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Meteor showers or heat waves? Hetroskedastic intradaily volatility in the foreign exchange market
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Engle, R. F., Ito, T. and Lin, W. (1990), Meteor Showers or Heat Waves? Hetroskedastic Intradaily Volatility in the Foreign Exchange Market, Econometrica 58, 525-542.
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Econometrica
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Where does the meteor shower come from? The role of stochastic policy and coordination
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Engle, R. F., Ito, T. and Lin, W. (1992), Where Does the Meteor Shower Come From? The Role of Stochastic Policy and Coordination, Journal of International Economics 32, 221-240.
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Journal of International Economics
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Forecasting volatility and option prices of the S and P 500 Index
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Engle, R. F., Kane, A. and Noh, J. (1994), Forecasting Volatility and Option Prices of the S&P 500 Index, Journal of Derivatives 2, 17-30.
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Journal of Derivatives
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Estimating time-varying risk premia in the term structure: The ARCH-M model
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A DYMIMIC model of housing price determination
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Implied ARCH models from options prices
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Asset pricing with a factor ARCH covariance structure: Empirical estimates for treasury bills
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Engle, R. F., Ng, V. K. and Rothschild, M. (1990), Asset Pricing with a Factor ARCH Covariance Structure: Empirical Estimates for Treasury Bills, Journal of Econometrics 45, 213-237.
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Impacts of trades in an error-correction model of quote prices
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Testing the volatility term structure using option hedging criteria
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Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
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Autoregressive conditional duration: A new model for irregularly spaced transaction data
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Hourly volatility spillovers between international equity markets
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The kalman filter: Applications to forecasting and rational expectations models
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Engle, R. F. and Watson, M. W. (1985), The Kalman Filter: Applications to Forecasting and Rational Expectations Models, in T. Bewley (ed.), Advances in Econometrics: The Fifth World Congress of the Econometric Society, Volume 1, Cambridge University Press, Cambridge, 245-283.
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