This chapter evaluates the most important theoretical developments in ARCH type modeling
of time-varying conditional variances. The coverage include the specification of univariate …

… Engle [10] compares these with the ARCH estimates for US … For a comparison of several
measures for US data, see Engle … [9] ENGLE, RF: "A General Approach to the Construction of …

… In fact, an early version of this paper was written by Baba, Engle, Kraft, and Kroner, which
led to the acronym BEKK, which is used in this paper for the new parameterization presented. …

… of ARCH and GARQ{ models are formulated following Engle(l982) arid Bollerslev(l985). …
process as described in Engle and Bollerslev (1986). The twenty—four hour innovation in …

We propose and implement a procedure to dynamically hedge climate change risk. We
extract innovations from climate news series that we construct through textual analysis of …

… In this paper the notions of weak and strong exogeneity as formulated by Engle et al. (1983)
will be used in the context of linear simultaneous equation systems. In this case weak …

… variable may be weakly exogenous in the sense of Engle, Hendry, and Richard (1983) may
be investigated in such a system as briefly discussed below. A second notable difference is …

… The ACD point process developed by Engle and Ž . … Such a picture is broadly consistent
with a Weilbull density with parameter less than unity as was found in Engle and Russell. The …

… Engle's (1982a) ARCH model is extended to allow the conditional variance to be a determinant
of the mean and is called ARCH-M. Estimation and inference procedures are proposed …

… two-step estimator proposed by Engle and Granger. It will finally … As this was proposed by
Engle and Granger we call this the … Engle and Granger introduce the two-step estimator and …