Books and Book Chapters

  • Robert Engle, “Modeling Commodity Prices with Dynamic Conditional Beta,” in Essays in Nonlinear Time Series Econometrics (Oxford University Press, 2014), Chapter 11, pg 269-287.
  • Robert Engle, “What is Happening with Financial Market Volatility and Why?,” in Volatility – Risk and Uncertainty in Financial Markets (Zicklin School of Business Financial Markets Series, Springer Science + Business Media, 2011), chapter 3.
  • Viral V. Acharya, Christian Brownlees, Farhang Farazmand and Matthew Richardson, "Measuring Systemic Risk,” in Regulating Wall Street: The Dodd-Frank Act and the New Architecture of Global Finance (Wiley Publishers, 2010), chapter 4.
  • Robert F. Engle and Jeffrey Russell, "Analysis of High Frequency and Transaction Data," in Handbook of Financial Econometrics , eds. Yacine Ait-Sahalia and Lars Hansen (North Holland, 2010)
  • Robert Engle and Riccardo Colacito, “The Term Structure of Risk: the Role of Known and Unknown Risks, and Nonstationary Distributions,” in The Known, the Unknown and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice (Princeton University Press, 2010), chapter 4.
  • Robert Engle, Viral V. Acharya, Stephen Figlewski, Anthony Lynch and Marti Subrahmanyam, “Centralized Clearing for Credit Derivatives,” in Restoring Financial Stability: How to Repair a Failed System (Wiley Publishers, 2009), chapter 11.
  • Robert Engle, “High Dimension Dynamic Correlations,” in The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry, eds. Jennifer L. Castle and Neil Shephard (Oxford University Press, 2009), chapter 5.
  • Robert Engle, Viral V. Acharya, Menachem Brenner, Anthony W. Lynch, and Matthew Richardson, “Derivatives: The Ultimate Financial Innovation,” in Restoring Financial Stability: How to Repair a Failed System (Wiley Publishers, 2009), chapter 10.
  • Robert Engle, Anticipating Correlations (Princeton University Press, 2008)
  • Robert Engle, Foreward in Handbook of Financial Time Series (Springer, 2008)
  • Robert Engle, Sergio M. Focardi and Frank J. Fabozzi, “ARCH/GARCH Models in Applied Financial Econometrics,” in Chapter in Handbook Series in Finance by Frank J. Fabozzi (John Wiley & Sons, 2008)
  • Robert Engle,“Good Ideas,”in Econometric Analysis of Financial and Economic Time Series: Vol. 20, Parts A/B, dedicated to Robert Engle and C.W.J. Granger (Elsevier, Ltd., 2006)
  • Cointegration, Causality, and Forecasting: A Festschrift in Honor of Clive W. J. Granger, eds. Halbert White and Robert F. Engle (Oxford University Press, 1999)
  • Robert F. Engle, ARCH: Selected Readings (Oxford University Press, 1995)
  • Handbook of Econometrics, Volume IV, eds. Robert F. Engle and Dan McFadden (Amsterdam: North Holland, 1994)
  • Long Run Economic Relations: Readings in Cointegration, eds. Robert F. Engle and C.W.J. Granger (Oxford: Oxford University Press, 1991)