Robert F. Engle

Robert Fry Engle III (lahir 10 November 1942) ialah seorang ahli statistik Amerika Syarikat dan pemenang Hadiah Peringatan Nobel dalam Sains Ekonomi, berkongsi anugerah dengan Clive Granger, "untuk kaedah menganalisis siri masa ekonomi dengan turun naik yang berbeza-beza (ARCH)".^[1]

Kerja terpilih

• Engle, Robert F. (1982). "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation". Econometrica. 50 (4): 987–1008. doi:10.2307/1912773. JSTOR 1912773.
• Engle, Robert F.; Hendry, David F.; Richard, Jean-Francois (1983). (with David F. Hendry and Jean-Francois Richard). "Exogeneity". Econometrica. 51 (2): 277–304. doi:10.2307/1911990. JSTOR 1911990.
• . (with C. Granger, J. Rice and A. Weiss). "Semi-parametric Estimates of the Relation between Weather and Electricity Demand". Journal of the American Statistical Association. 81 (394): 310–320. 1986. doi:10.1080/01621459.1986.10478274.CS1 maint: others (link)
• Engle, Robert F.; Granger, C. W. J. (1987). (with Clive Granger). "Co-Integration and Error Correction: Representation, Estimation, and Testing". Econometrica. 55 (2): 251–276. doi:10.2307/1913236. JSTOR 1913236.
• Engle, Robert F.; Lilien, David M.; Robins, Russell P. (1987). (with David Lilien and Russell Robins). "Estimation of Time Varying Risk Premia in the Term Structure: the ARCH-M Model". Econometrica. 55 (2): 391–407. doi:10.2307/1913242. JSTOR 1913242.
• . (with V. Ng, and M. Rothschild). "Asset Pricing with a Factor ARCH Covariance Structure: Empirical Estimates for Treasury Bills". Journal of Econometrics. 45 (1–2): 213–237. 1990. doi:10.1016/0304-4076(90)90099-F.CS1 maint: others (link)
• Engle, Robert F.; Russell, Jeffrey R. (1998). (with J.R. Russell). "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data". Econometrica. 66 (5): 1127–1162. doi:10.2307/2999632. JSTOR 2999632.
• "Dynamic Conditional Correlation – A Simple Class of Multivariate GARCH Models". Journal of Business and Economic Statistics. 20 (3): 339–350. 2002. doi:10.1198/073500102288618487.
• Easley, D.; Engle, R. F.; O'Hara, M.; Wu, L. (2008). (with Maureen O'Hara, David Easley and L. Wu). "Time-Varying Arrival Rates of Informed and Uninformed Traders". Journal of Financial Econometrics. 6 (2): 171–207. doi:10.1093/jjfinec/nbn003.

Rujukan

Pautan luar

• V-Lab: real time financial volatility and correlation measurements, modeling and forecasting
• The Society for Financial Econometrics (SoFiE)
• Robert F. Engle (1942– ). The Concise Encyclopedia of Economics. Library of Economics and Liberty (ed. 2nd). Liberty Fund. 2008.
• Robert F. Engle di Mathematics Genealogy Project
• Penampilan Robert Engle di C-SPAN