2001
Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH
Robert Engle, Kevin Keith Sheppard
National Bureau of Economic Research OA
1.4k
cites
Faculty
Robert Engle is a Finance scholar at New York University. Research spans Financial Risk and Volatility Modeling, Stochastic processes and financial applications. 32 works, 5.8k citations (h-index 21).
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Affiliation on publications · New York University
Robert Engle, Kevin Keith Sheppard
National Bureau of Economic Research OA
Robert Engle, Takatoshi Ito, Wen-Ling Lin
National Bureau of Economic Research OA
Robert Engle, Victor K. Ng
The Journal of FinanceTop-listed