Research
Engle has published well over 100 academic research papers, four books and many other scholarly works. These are mostly in the broad area of time series econometrics with the most important applications to financial markets. Over the years, Engle’s authored influential papers analyzing macro economics, energy markets, urban economies and emerging markets as well as the main financial asset classes: equities, currencies, fixed income and derivatives. Two of his papers have reached milestones in citations: the paper introducing the ARCH model in 1982 and the paper coauthored with Clive Granger introducing Cointegration, in 1987. These two papers were honored in "Citation Classics" as two of the most cited of all papers in economics. They were also the two papers forming the basis for the 2003 Nobel Prize.
The most heavily cited papers are listed below. For more listings, see sections Working Papers, Expository Papers, Books & Book Chapters and a Complete Listing of Chronological Publications.
- "Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models", Journal of Business and Economic Statistics (July 2002), V20N3 (cited by 2,898 as of 9/14)
- "Multivariate Simultaneous Generalized ARCH", (with Kenneth F. Kroner), Econometric Theory, Vol. 11, No. 1 (1995) (cited by 2,988 as of 9/14)
- "Measuring and Testing the Impact of News on Volatility", The Journal of Finance, Vol. 48, No. 5 (Dec, 1993) (cited by 3,088 as of 9/14)
- "A Long Memory Property of Stock Market Returns and a New Model" (with Zhuanxin Ding and Clive W.J. Granger), Journal of Empirical Finance, Vol. 1, Issue 1 (June 1993): 83-106. (cited by 2,455 as of 9/14)
- "A Capital Asset Pricing Model with Time-Varying Covariances" (with Tim Bollerslev and Jeffrey M. Wooldridge), The Journal of Political Economy, Vol. 96, 1988 (cited by 2,468 as of 9/14)
- "Forecasting and Testing in Co-integrated Systems", (with Byung Sam Yoo), Journal of Econometrics, Vol. 35 (1987): 143-159. (cited by 2,153 as of 9/14)
- "Estimating Time Varying Risk Premia in the Term Structure: the ARCH-M Model", (with David M. Lilien and Russell P. Robins), Econometrica, Vol. 55 (1987): 391-407. (cited by 2,373 as of 9/14)
- "Co-integration and Error Correction: Representation, Estimation and Testing", (with C.W.J. Granger), Econometrica 55 (1987): 251-276. (cited by 23,581 as of 9/14)
- "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation", Econometrica, Vol. 50, No. 4 (July 1982): 987-1007. (cited by 16,470 as of 9/14)