Browsing by Author "Engle, R. F."

Now showing items 1-4 of 4

    • Estimating common sectoral cycles 

      Engle, R. F.; Issler, João Victor
      1995-02
      We investigate in this paper the degree of short-run and long-run comovement in U.S. sectoral output data by estimating sectoral trends and cycles. A theoretical model based on Long and Plosser (1983) is used to derive a ...

    • Estimating sectoral cycles using cointegration and common features 

      Engle, R. F.; Issler, João Victor
      1994-03
      This paper investigates the degree of short run and long run co-movement in U.S. sectoral output data by estimating sectoraI trends and cycles. A theoretical model based on Long and Plosser (1983) is used to derive a reduced ...

    • Hedging options in a garch environment: testing the term structure of stochastic volatility models 

      Engle, R. F.; Rosenberg, Joshua
      1994-12-12
      This paper develops a methodology for testing the term structure of volatility forecasts derived from stochastic volatility models, and implements it to analyze models of S&P500 index volatility. U sing measurements of the ...

    • The volatility outlook for commodities prices 

      Engle, R. F.
      2012-08
      Apresentação do palestrante Robert Engle - New York University no contexto do evento "The Economics and Econometrics of Commodity Prices". Mais informações em: <http://epge.fgv.br/conferencias/commodity-prices/index.php>.