D-Index & Metrics Best Publications

D-Index & Metrics

Discipline name D-index D-index (Discipline H-index) only includes papers and citation values for an examined discipline in contrast to General H-index which accounts for publications across all disciplines. Citations Publications World Ranking National Ranking
Economics and Finance D-index 109 Citations 124,564 256 World Ranking 26 National Ranking 21

Research.com Recognitions

Awards & Achievements

2005 - Fellow of the American Finance Association (AFA)

2005 - Member of the National Academy of Sciences

2003 - Nobel Memorial Prize laureates in Economics for methods of analyzing economic time series with time-varying volatility (ARCH)

1995 - Fellow of the American Academy of Arts and Sciences

Fellow of the Financial Institutions Center (FIC)

Fellow of the Financial Management Association

Overview

What is he best known for?

The fields of study he is best known for:

  • Statistics
  • Econometrics
  • Finance

His scientific interests lie mostly in Econometrics, Volatility, Statistics, Autoregressive conditional heteroskedasticity and Financial economics. In the subject of general Econometrics, his work in Heteroscedasticity and Conditional variance is often linked to Arch, thereby combining diverse domains of study. The study incorporates disciplines such as Covariance and Multivariate statistics in addition to Conditional variance.

His study looks at the intersection of Volatility and topics like Market microstructure with Point process and Statistical model. His research in Statistics intersects with topics in Value at risk and Autoregressive conditional duration. His biological study spans a wide range of topics, including Leverage, Standard error, Realized variance and Measure.

His most cited work include:

  • Co-integration and error correction: representation, estimation and testing (22764 citations)
  • Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation (14259 citations)
  • Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models (4101 citations)

What are the main themes of his work throughout his whole career to date?

His primary areas of investigation include Econometrics, Volatility, Autoregressive conditional heteroskedasticity, Financial economics and Statistics. Econometrics is a component of his Stochastic volatility and Autoregressive model studies. His research on Volatility often connects related topics like Stock market index.

He works in the field of Autoregressive conditional heteroskedasticity, namely Conditional variance. His Financial economics research integrates issues from Market liquidity, Market microstructure, Equity and Market depth. His is doing research in Statistical hypothesis testing, Heteroscedasticity and Estimator, both of which are found in Statistics.

He most often published in these fields:

  • Econometrics (85.17%)
  • Volatility (49.79%)
  • Autoregressive conditional heteroskedasticity (37.71%)

What were the highlights of his more recent work (between 2012-2021)?

  • Econometrics (85.17%)
  • Autoregressive conditional heteroskedasticity (37.71%)
  • Systemic risk (7.84%)

In recent papers he was focusing on the following fields of study:

Robert F. Engle mainly focuses on Econometrics, Autoregressive conditional heteroskedasticity, Systemic risk, Volatility and Financial economics. He is studying Realized variance, which is a component of Econometrics. His study connects Forward volatility and Autoregressive conditional heteroskedasticity.

In general Volatility study, his work on Implied volatility often relates to the realm of Function, thereby connecting several areas of interest. The concepts of his Financial economics study are interwoven with issues in Dividend, Value and Solvency. His Multivariate statistics study combines topics from a wide range of disciplines, such as Copula and Autoregressive model.

Between 2012 and 2021, his most popular works were:

  • Stock Market Volatility and Macroeconomic Fundamentals (341 citations)
  • SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (308 citations)
  • Testing macroprudential stress tests: The risk of regulatory risk weights (119 citations)

In his most recent research, the most cited papers focused on:

  • Statistics
  • Finance
  • Econometrics

His primary areas of study are Econometrics, Systemic risk, Financial economics, Volatility and Financial system. His work deals with themes such as Covariance, Beta, Multivariate statistics, Position and Portfolio, which intersect with Econometrics. His Multivariate statistics study integrates concerns from other disciplines, such as Estimation and Autoregressive model.

His work deals with themes such as Leverage, Capital, Autoregressive conditional heteroskedasticity and Monetary economics, which intersect with Systemic risk. His work on Consumption-based capital asset pricing model, Investment theory, Rational pricing and Arbitrage pricing theory as part of general Financial economics study is frequently connected to Returns-based style analysis, therefore bridging the gap between diverse disciplines of science and establishing a new relationship between them. His Volatility research focuses on Implied volatility in particular.

This overview was generated by a machine learning system which analysed the scientist’s body of work. If you have any feedback, you can contact us here.

Best Publications

Co-integration and error correction: representation, estimation and testing

Robert F. Engle;C. W. J. Granger.
Econometrica (1987)

47788 Citations

Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation

Robert F. Engle.
Econometrica (1982)

29571 Citations

Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models

Robert Engle.
Journal of Business & Economic Statistics (2002)

7371 Citations

Multivariate Simultaneous Generalized ARCH

Robert F. Engle;Kenneth F. Kroner.
Econometric Theory (1995)

5300 Citations

Measuring and Testing the Impact of News on Volatility

Robert F. Engle;Victor K. Ng.
Journal of Finance (1993)

5272 Citations

A long memory property of stock market returns and a new model

Zhuanxin Ding;Clive W. J. Granger;Robert F. Engle.
Journal of Empirical Finance (1993)

4432 Citations

A Capital Asset Pricing Model with Time-varying Covariances

Tim Bollerslev;Robert F. Engle;Jeffrey M. Wooldridge.
Journal of Political Economy (1988)

4405 Citations

Estimation of Time Varying Risk Premia in the Term Structure: the ARCH-M Model

Robert F. Engle;David M. Lilien;Russell P. Robins.
Econometrica (1987)

3718 Citations

Forecasting and testing in co-integrated systems

Robert F. Engle;Byung Sam Yoo.
Journal of Econometrics (1987)

3173 Citations

COINTEGRATION AND ERROR CORRECTION: REPRESENTATION

R F Engle;Granger C.W.J..
(1987)

2181 Citations

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Profile was last updated on December 6th, 2021.
Research.com Ranking is based on data retrieved from the Microsoft Academic Graph (MAG).
The ranking d-index is inferred from publications deemed to belong to the considered discipline.

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