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Robert F. Engle

Active 1974–2019

77
Papers
118,089
Citations
76
h-index
76
i10-index

Citations

Citations per year for Robert F. Engle1930: 1 citations1937: 2 citations1965: 1 citations1978: 7 citations1980: 7 citations1982: 4 citations1983: 11 citations1984: 10 citations1985: 13 citations1986: 29 citations1987: 29 citations1988: 59 citations1989: 66 citations1990: 88 citations1991: 84 citations1992: 155 citations1993: 142 citations1994: 140 citations1995: 122 citations1996: 158 citations1997: 106 citations1998: 111 citations1999: 100 citations2000: 136 citations2001: 173 citations2002: 183 citations2003: 204 citations2004: 189 citations2005: 251 citations2006: 304 citations2007: 256 citations2008: 331 citations2009: 361 citations2010: 331 citations2011: 366 citations2012: 355 citations2013: 328 citations2014: 343 citations2015: 328 citations2016: 298 citations2017: 342 citations2018: 363 citations2019: 459 citations2020: 515 citations2021: 509 citations2022: 468 citations2023: 358 citations2024: 340 citations2025: 262 citations2026: 78 citations1931–1936: no citations, so these years are not shown1938–1964: no citations, so these years are not shown1966–1977: no citations, so these years are not shown1979: no citations, so this year is not shown1981: no citations, so this year is not shown

Citation sources

Countries

World map of the countries and regions citing this authorUnited States: 1,850 citing papers, 19.1% of this breakdownChina: 1,085 citing papers, 11.2% of this breakdownUnited Kingdom: 716 citing papers, 7.4% of this breakdownAustralia: 395 citing papers, 4.1% of this breakdownGermany: 342 citing papers, 3.5% of this breakdownFrance: 334 citing papers, 3.5% of this breakdownCanada: 321 citing papers, 3.3% of this breakdownItaly: 310 citing papers, 3.2% of this breakdownIndia: 234 citing papers, 2.4% of this breakdownTaiwan: 227 citing papers, 2.4% of this breakdownSpain: 219 citing papers, 2.3% of this breakdownTürkiye: 208 citing papers, 2.2% of this breakdown
0%19.1%Other 35.4%

Institutions

Fields

  • Economics, Econometrics and Finance58.1%
  • Computer Science11.6%
  • Decision Sciences9.1%
  • Engineering5.6%
  • Mathematics4.9%
  • Business, Management and Accounting2.4%
  • Other8.3%

Topics

  • Financial Risk and Volatility Modeling10.6%
  • Market Dynamics and Volatility10%
  • Complex Systems and Time Series Analysis6.8%
  • Monetary Policy and Economic Impact6.4%
  • Stock Market Forecasting Methods4.2%
  • Financial Markets and Investment Strategies3.7%
  • Other58.3%

Coauthors

All papers

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  1. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

    Authors: Robert F. Engle - Arch 1982 cited by 20,637

  2. Co-Integration and Error Correction: Representation, Estimation, and Testing

    Authors: Robert F. Engle, Clive W. J. Granger - Cambridge University Press eBooks 1987 cited by 31,933

  3. Dynamic Conditional Correlation

    Authors: Robert F. Engle - Journal of Business and Economic Statistics 2002 cited by 7,066

  4. CAViaR

    Authors: Robert F. Engle, Simone Manganelli - Journal of Business and Economic Statistics 2004 cited by 2,212

  5. Multivariate Simultaneous Generalized ARCH

    Authors: Robert F. Engle, Kenneth F. Kroner - Econometric Theory 1995 cited by 4,564

  6. Modelling the persistence of conditional variances

    Authors: Robert F. Engle, Tim Bollerslev - Econometric Reviews 1986 cited by 2,080

  7. Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH

    Authors: Robert F. Engle, Kevin Sheppard - 2001 cited by 990

  8. Hedging Climate Change News

    Authors: Robert F. Engle, Stefano Giglio, Bryan Kelly, Heebum Lee, Johannes Stroebel - Review of Financial Studies 2019 cited by 1,334

  9. Stock Market Volatility and Macroeconomic Fundamentals

    Authors: Robert F. Engle, Éric Ghysels, Bumjean Sohn - The Review of Economics and Statistics 2012 cited by 1,108

  10. Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

    Authors: Jeffrey R. Russell, Robert F. Engle - Econometrica 1998 cited by 1,868

  11. Large Dynamic Covariance Matrices

    Authors: Robert F. Engle, Olivier Ledoit, Michael Wolf - Journal of Business and Economic Statistics 2017 cited by 268

  12. Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

    Authors: Lorenzo Cappiello, Robert F. Engle, Keith Sheppard - Journal of Financial Econometrics 2006 cited by 1,733

  13. GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics

    Authors: Robert F. Engle - The Journal of Economic Perspectives 2001 cited by 1,207

  14. A Capital Asset Pricing Model with Time-Varying Covariances

    Authors: Tim Bollerslev, Robert F. Engle, Jeffrey M. Wooldridge - Journal of Political Economy 1988 cited by 3,214

  15. Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks

    Authors: Viral V. Acharya, Robert F. Engle, Matthew Richardson - American Economic Review 2012 cited by 1,183

  16. Semiparametric Estimates of the Relation Between Weather and Electricity Sales

    Authors: Robert F. Engle, Clive W. J. Granger, John Rice, Andrew Weiss - Journal of the American Statistical Association 1986 cited by 994

  17. Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

    Authors: Robert F. Engle, David M. Lilien, Russell P. Robins - Econometrica 1987 cited by 2,508

  18. New frontiers for arch models

    Authors: Robert F. Engle - Journal of Applied Econometrics 2002 cited by 750

  19. Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models

    Authors: Mark W. Watson, Robert F. Engle - Journal of Econometrics 1983 cited by 476

  20. What good is a volatility model?

    Authors: Robert F. Engle, Andrew J. Patton - Quantitative Finance 2001 cited by 708

  21. Chapter 13 Wald, likelihood ratio, and Lagrange multiplier tests in econometrics

    Authors: Robert F. Engle - Handbook of econometrics 1984 cited by 340

  22. The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes

    Authors: Robert F. Engle, José Gonzalo Rangel - Review of Financial Studies 2008 cited by 897

  23. Chapter 49 Arch models

    Authors: Tim Bollerslev, Robert F. Engle, Daniel B. Nelson - Handbook of econometrics 1994 cited by 888

  24. Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

    Authors: Robert F. Engle, Takatoshi Ito, Wenling Lin - Econometrica 1988 cited by 863