Daripada Wikipedia, ensiklopedia bebas.
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]
- 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
.
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