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Browsing Duke Faculty Scholarship by Author "Engle, Robert F."

DukeSpace

Browsing Duke Faculty Scholarship by Author "Engle, Robert F."

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  • ARCH Models
    Bollerslev, Tim; Engle, Robert F.; Nelson, Daniel B. (Handbook of Econometrics, 1994)
    This chapter evaluates the most important theoretical developments in ARCH type modeling of time-varying conditional variances. The coverage include the specification of univerate parametric ARCH models, general inference ...
  • A Capital Asset Pricing Model with Time Varying Covariances
    Bollerslev, Tim; Engle, Robert F.; Wooldridge, Jeffrey M. (Journal of Political Economy, 1988)
    The capital asset pricing model provides a theoretical structure for the pricing of assets with uncertain returns. The premium to induce risk-averse investors to bear risk is proportional to the nondiversifiable risk, which ...
  • Common Persistence in Conditional Variances
    Bollerslev, Tim; Engle, Robert F. (Econometrica, 1994)
    Since the introduction of the autoregressive conditional heteroskedastic (ARCH) model in Engle (1982), numerous applications of this modeling strategy have already appeared. A common finding in many of these studies with ...