| Co-integration and error correction: representation, estimation, and testing RF Engle, CWJ Granger Econometrica: journal of the Econometric Society, 251-276, 1987 | 54101 | 1987 |
| Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation RF Engle Econometrica: Journal of the econometric society, 987-1007, 1982 | 35015 | 1982 |
| Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models R Engle Journal of business & economic statistics 20 (3), 339-350, 2002 | 9988 | 2002 |
| Multivariate simultaneous generalized ARCH RF Engle, KF Kroner Econometric theory 11 (1), 122-150, 1995 | 6403 | 1995 |
| Measuring and testing the impact of news on volatility RF Engle, VK Ng The journal of finance 48 (5), 1749-1778, 1993 | 6116 | 1993 |
| A long memory property of stock market returns and a new model Z Ding, CWJ Granger, RF Engle Journal of empirical finance 1 (1), 83-106, 1993 | 5322 | 1993 |
| A capital asset pricing model with time-varying covariances T Bollerslev, RF Engle, JM Wooldridge Journal of political Economy 96 (1), 116-131, 1988 | 5013 | 1988 |
| Estimating time varying risk premia in the term structure: The ARCH-M model RF Engle, DM Lilien, RP Robins Econometrica: journal of the Econometric Society, 391-407, 1987 | 4223 | 1987 |
| Modelling the persistence of conditional variances RF Engle, T Bollerslev Econometric reviews 5 (1), 1-50, 1986 | 3766 | 1986 |
| Forecasting and testing in co-integrated systems RF Engle, BS Yoo Journal of econometrics 35 (1), 143-159, 1987 | 3515 | 1987 |
| ARCH Models T Bollerslev Handbook of Econometrics 4, 1994 | 3019 | 1994 |
| CAViaR: Conditional autoregressive value at risk by regression quantiles RF Engle, S Manganelli Journal of business & economic statistics 22 (4), 367-381, 2004 | 2868 | 2004 |
| Exogeneity RF Engle, DF Hendry, JF Richard Econometrica: Journal of the Econometric Society, 277-304, 1983 | 2757 | 1983 |
| Autoregressive conditional duration: a new model for irregularly spaced transaction data RF Engle, JR Russell Econometrica, 1127-1162, 1998 | 2421 | 1998 |
| Asymmetric dynamics in the correlations of global equity and bond returns L Cappiello, RF Engle, K Sheppard Journal of Financial econometrics 4 (4), 537-572, 2006 | 2385 | 2006 |
| Seasonal integration and cointegration S Hylleberg, RF Engle, CWJ Granger, BS Yoo Journal of econometrics 44 (1-2), 215-238, 1990 | 2374 | 1990 |
| GARCH 101: The use of ARCH/GARCH models in applied econometrics R Engle Journal of economic perspectives 15 (4), 157-168, 2001 | 2240 | 2001 |
| Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH R Engle | 2144 | 2001 |
| Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market RF Engle III, T Ito, WL Lin National Bureau of Economic Research, 1988 | 1657 | 1988 |
| SRISK: A conditional capital shortfall measure of systemic risk C Brownlees, RF Engle The Review of Financial Studies 30 (1), 48-79, 2017 | 1571 | 2017 |
Torben G. AndersenProfessor of Finance, Kellogg School, Northwestern UniversityVerified email at northwestern.edu
