Full Publications List
- "News and Idiosyncratic Volatility: The Public Information Processing Hypothesis" (with Ahmet K. Karagozoglu, Asger Lunde, and Martin Klint Hansen), Journal of Financial Econometrics (2020).
- "Fitting Vast Dimensional Time-Varying Covariance Models," (with Cavit Pakel, Neil Shephard, Kevin Sheppard), Journal of Business & Economic Statistics (2020), 1-17.
- "Hedging Climate Change News," (with Stefano Giglio, Heebum Lee, Bryan Kelly, Johannes Stroebel), Review of Financial Studies (2020), Vol. 10:125-152.
- "Liquidity and Volatility in the U.S. Treasury Market," (with Giang Nguyen, Michael Fleming, Eric Ghysels), Journal of Econometrics (2020), Vol. 217(2): 207-229.
- "Measuring the probability of a financial crisis" (with Tianyue Ruan), Proceedings of the National Academy of Sciences (2019), 116 (37) 18341-18346.
- "Systemic Risk 10 Years Later," Annual Review of Financial Economics (2018), Vol. 10:125-152.
- "Systemic Risk in the Financial System: Capital Shortfalls under Brexit, the US Elections and the Italian Referendum," (with Cristiano Zazzara), The Journal of Credit Risk (2018), 14(4):97-120.
- “Large Dynamic Covariance Matrices” (with Michael Wolf and Olivier Ledoit), Journal of Business & Economic Statistics (2017).
- “Globalization: Contents and Discontents” (with Orley Ashenfelter, Daniel L. McFadden, and
Klaus Schmidt-Hebbel), forthcoming in Contemporary Economic Policy (2017).
- “Structural GARCH: The Volatility-Leverage Connection,” (with Emil Siriwardane),
forthcoming in Review of Financial Studies (2017).
- “Scenario Generation for Long-Run Interest Rate Risk Assessment,” (with Guillaume Roussellet
and Emil Siriwardane), forthcoming in Journal of Econometrics (2017).
- “SRISK: A Conditional Capital Shortfall Index for Systemic Risk Measurement,” (with Christian
Brownlees), Review of Financial Studies (2017), Volume 30, Issue 1, Pages 48-79.
- “Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment
Management” (with Sergio Focardi and Frank Fabozzi), Journal of Portfolio Management (2016),
Vol. 42(5): pp. 79–93.
- “Dynamic Conditional Beta,” Journal of Financial Econometrics (2016), 14(4): 643-667.
- “Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns,”
(with Turan G. Bali and Yi Tang), Management Science (2016), Articles in Advance, pp. 1-20.
- “Systemic Risk in Europe,” (with Eric Jondeau and Michael Rockinger) Review of Finance (2015), 19 (1), pp. 145-190.
- “Priced Risk and Asymmetric Volatility in the Cross-Section of Skewness” (with Abhishek Mistry) Journal of Econometrics (September 2014), Volume 182, pages 135-144.
- “Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights,” (with Viral Acharya and Diane Pierret) Journal of Monetary Economics (2014), Volume 65, pages 36-53, July 2014.
- "Semiparametric Vector Mem," (with Fabrizio Cipollini and Giampiero M. Gallo) Journal of Applied Econometrics (2013), Volume 28, Issue 7, pages 1067–1086, November/December 2013.
- "Modeling Commodity Prices with Dynamic Conditional Beta" (a contribution to the Festschrift for Timo Terasvirta) forthcoming in Journal of Financial Econometrics, 2013.
- “Stock Market Volatility and Macroeconomic Fundamentals,” (with Eric Ghysels and Bumjean Sohn) The Review of Economics and Statistics (July 2013), vol. 95, No. 3, pp. 776-797.
- "Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks" (with Viral Acharya and Matthew Richardson,) American Economic Review (2012), vol. 102, issue 3, pp. 59-64.
- "Dynamic Equicorrelation" (with Bryan Kelly), Journal of Business and Economic Statistics (May 2012): pp. 212-228, V30, No. 2
- "Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach," (with Giampiero M. Gallo and Margherita Velucchi), Review of Economics and Statistics (2012), 94(1), February, pp. 222-223.
- "The Factor-Spline-GARCH Model for High and Low Frequency Correlations," (with Jose Gonzalo Rangel), Journal of Business and Economic Statistics (2012), 30, No 1 January, pp. 109-124.
- "Measuring and Modeling Execution Cost and Risk" (with Jeffrey Russell and Robert Ferstenberg), Journal of Portfolio Management (winter 2012), Vol. 38, No. 2: pp. 14-28.
- "Forecasting intraday volatility in the US equity market. Multiplicative Component GARCH," (with Magdalena E. Sokalska), Journal of Financial Econometrics (2012) 10(1): 54-83.
- "A Practical Guide to Volatility Forecasting Through Calm and Storm" (with Christian T. Brownlees and Bryan T. Kelly), The Journal of Risk (winter 2011/12), Vol. 14/Number 2
- "A Component Model for Dynamic Correlations" (with Riccardo Colacito and Eric Ghysels), Journal of Econometrics (2011) 164: 45–59
- "Long-Term Skewness and Systemic Risk" Journal of Financial Econometrics (2011) 9(3): 437-468
- 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
- "The Intertemporal Capital Asset Pricing Model with Dynamic Conditional Correlations" (with Turan Bali), Journal of Monetary Economics (May 2010) 57(4), 377-390 [previously titled Investigating ICAPM with Dynamic Conditional Correlations].
- 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, 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, "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.
- "The Risk That Risk Will Change" Journal of Investment Management (2009), Vol. 7, No.4, pp. 24-28
- Robert Engle, Anticipating Correlations (Princeton University Press, 2008)
- "Time-Varying Arrival Rates of Informed and Uninformed Trades" with David Easley, Maureen O‟Hara, Liuren Wu. Journal of Financial Econometrics (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)
- "A GARCH Option Pricing Model with Filtered Historical Simulation" Review of Financial Studies, Vol. 21 Issue 3 May, pp. 1223-1258, 36p: Barone-Adesi, Giovanni; Engle, Robert F.; Mancini, Loriano (2008)
- "The Spline GARCH Model for Low Frequency Volatility and Its Global Macroeconomic Causes," in Review of Financial Studies, Engle, Robert & J. Gonzalo Rangel (2008)
- "Underlying Dynamics of Credit Correlations," Journal of Credit Risk (2007); (with Artem Voronov and Arthur Berd), Vol. 3, N2: 27-62
- "Execution Risk", (with Robert Ferstenberg), Journal of Portfolio Management, Winter (2007), V33, I2, pp.34-45
- "Testing and Valuing Dynamic Correlations for Asset Allocation," (with Riccardo Colacito), Journal of Business and Economic Statistics, Vol.24, N.2 (April 2006)
- "A Long Run Pure Variance Common Features Model for the Common Volatilities of the Dow Jones, (with Juri Marcucci), Journal of Econometrics, V132 (2006), pp. 7-42
- 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)
- "Premiums-Discounts and Exchange Traded Funds" (with Debo Sarkar), Journal of Derivatives. Summer (2006) pp. 27-45
- "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," (with Lorenzo Cappiello and Kevin Sheppard). Journal of Financial Econometrics, (2006) Oxford University Press, vol. 4(4), pages 537-572
- "A Multiple Indicators Model for Volatility Using Intra-Daily Data," (with Giampierro Gallo) Journal of Econometrics, 131 (2006) pp. 3-27
- "The Econometrics of Macroeconomics, Finance and the Interface." (with Francis Diebold, Carlo Favero, Giampiero M. Gallo, and Frank Schorfhiede), Journal of Econometrics, (2006): pp.1-2, V131
- "A comment on `The Econometric Analysis of Economic Time Series,'" International Statistical Review (2005) 51: 149-150
- "A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive conditional Multinomial-Autoregressive Conditional Duration Model (with Jeffrey Russell)," Journal of Business and Economic Statistics, (April 2005): 166-180, V23, No. 2
- "Risk and Volatility: Econometric Models and Financial Practice," Nobel Lecture, American Economic Review, (June 2004) V94, No. 3
- "Impacts of Trades in an Error-Correction Model of Quote Prices," (with Andrew Patton), Journal of Financial Markets, (January 2004), Vol. 7, No. 1.
- "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," (with Simone Manganelli), Journal of Business and Economic Statistics, (October 2004): 367-381, V22, No.4
- Robert F. Engle and Simone Manganelli, "A Comparison of Value-at-Risk Models in Finance," in Risk Measures for the 21st Century, ed. Giorgio Szego (Wiley, 2004)
- "The ET Interview: Robert F. Engle," (interviewed by Francis X. Diebold) Econometric Theory (December 2003) V19N6, pp. 1159-1193
- "Trades and Quotes: A Bivariate Point Process," (with Asger Lunde), Journal of Financial Econometrics, (Summer 2003) V1N2, pp. 159-188
- "New Frontiers in ARCH Models," Journal of Applied Econometrics, (2002): 425-446, V17N2
- "Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models", Journal of Business and Economic Statistics, (July 2002): 339-350, V20N3
- "Empirical Pricing Kernels," (with Joshua Rosenberg), Journal of Financial Economics, (June 2002): 341-372, V64N3
- "Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market", (with Joe Lange), Journal of Financial Markets, (2001), Vol. 4 No. 2, pp 113-142.
- "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics", Journal of Economic Perspectives (Fall 2001): 157-168, V15N4
- "Large Scale Conditional Covariance Matrix Modeling, Estimation and Testing," (with Zhuanxin Ding), Academia Economic Papers (June 2001) V29N2
- "What Good is a Volatility Model?," (with Andrew Patton), Quantitative Finance (March 2001) V1N2, pp237-245
- "Predicting VNET: A Model of the Dynamics of Market Depth," (with Joe Lange), Journal of Financial Markets (2001), V4N2, pp113-142.
- "Financial Econometrics - A New Discipline With New Methods," Journal of Econometrics (Jan. 2001), V100 pp.53-56
- "Testing the Volatility Term Structure Using Option Hedging Criteria" (with Joshua Rosenberg), Journal of Derivatives, (2000), V8N1, pp 10-28
- "Time and the Price Impact of a Trade," (with Alfonso Dufour), The Journal of Finance (2000), V55N6, pp2467-2498
- "The Econometrics of Ultra High Frequency Data," Econometrica (2000) 68: 1-22.
- "Cointegration, Causality, and Forecasting: A Festschrift in Honor of Clive W.J. Granger," ed. with Halbert White. Oxford University Press, 1999.
- "A Permanent and Transitory Component Model of Stock Return Volatility", (with G.J. Lee) in ed. R.F. Engle and H. White, Cointegration, Causality, and Forecasting: A Festschrift in Honor of Clive W.J. Granger, (Oxford University Press, 1999) 475-497.
- "Stochastic Permanent Breaks," (with Aaron Smith), The Review of Economics and Statistics (1999) 81: 553-574.
- "The Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model," (with Jeffrey Russell) Discussion paper no. 98-10; University of California San Diego Dept. of Economics, (1998).
- "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica (1998) 66: 1127-1162.
- "Correlations and Volatilities of Asynchronous Data," (with Pat Burns and Joe Mezrich), Journal of Derivatives (1998) Summer: 1-12.
- "Short-Run Forecasts of Electricity Loads and Peaks," (with C.W.J. Granger, R. Ramanathan, F. Vahid-Araghi, and C. Brace), International Journal of Forecasting (1997) 13, 161-174.
- "Forecasting the Frequency of Changes in Quoted Foreign Exchange Prices with the ACD Model," (with Jeffrey R. Russell), Journal of Empirical Finance (1997) 12:187-212.
- "Policy", ed. A. Banerjee and D. Hendry, Blackwell Publishers, 1997.
- "Index-Option Pricing With Stochastic Volatility and the Value of Accurate Variance Forecasts," (with Alex Kan and Jaeson Noh), Review of Derivatives Research 1 (1997): 139-157.
- "Nonsynchronous Common Cycles," (with Farshid Vahid), Journal of Econometrics 80 (1997): 199-221.
- "Estimating Diffusion Models of Stochastic Volatility," (with G.J. Lee) in Modeling Stock Market Volatility, ed. Peter Rossi, Academic Press, 1996.
- "Seasonal Common Features: Global Unemployment," (with Svend Hylleberg), Oxford Bulletin of Economics and Statistics 58 (1996): 615-630. Reprinted in "The Econometrics of Economics
- "GARCH for Groups," with (Joseph Mezrich), Risk (1996): 36-40.
- "Grappling with GARCH," (with Joseph Mezrich), Risk (1995): 112-117.
- "ARCH: Selected Readings," Oxford University Press, 1995: 1-424
- "Estimating Common Sectoral Cycles," (with J. Issler), Journal of Monetary Economics 35 (1995): 83-113.
- "GARCH Gammas," (with Joshua Rosenberg), Journal of Derivatives 2 (1995): 47-59.
- "Multivariate Simultaneous GARCH," (with K. Kroner), Econometric Theory 11 (1995): 122-150.
- Handbook of Econometrics, Volume IV, ed. with D. McFadden, (Amsterdam: North Holland, 1994).
- "Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility," (with W.-L. Lin, Takatoshi Ito), Review of Financial Studies 7 (1994): 507-538.
- "ARCH Models," (with D. Nelson and T. Bollerslev) in Handbook of Econometrics, Volume IV, ed. R. Engle and D. McFadden (Amsterdam: North Holland, 1994), 2959-3038.
- "Forecasting Volatility and Option Prices of the S&P 500 Index," (with Jaesun Noh and Alex Kane), Journal of Derivatives 2 (1994): 17-30.
- "Hourly Volatility Spillovers Between International Equity Markets," (with R. Susmel) Journal of International Money and Finance 13 (1994): 3-25.
- "Cointegration - The Early Days" (with C.W.J. Granger), Citation Classics 25 (1993).
- "Testing Super Exogeneity and Invariance," (with D. Hendry), Journal of Econometrics, 56 (1993): 119-139.
- "Arbitrage Valuation of Variance Forecasts Using Simulated Options," (with C. Hong, Kane and J. Noh) Advances in Futures and Options Research 6 (1993): 393-415. Excerpt reprinted in Financial Forecasting - 2002.
- "Common Trends and Common Cycles," (with Farshid Vahid), Journal of Applied Econometrics 8 (1993): 341-360.
- "A Long Memory Property of Stock Market Returns and a New Model," (with Zhuanxin Ding and Clive W.J. Granger), Journal of Empirical Finance 1 (1993): 83-106.
- "Measuring and Testing the Impact of News On Volatility," (with Victor Ng) Journal of Finance 48 (1993): 1749-1778.
- "Common Trends and Common Cycles in Latin America," (with J. Issler), Revista Brasileira de Economia 47 (1993): 149-176.
- "Common Persistence in Conditional Variances," (with T. Bollerslev), Econometrica 61 (1993): 167-186.
- "Statistical Models for Financial Volatility," Financial Analysts Journal (Jan/Feb 1993): 72 - 78.
- "A Comment on Hendry and Clements on The Limitations of Comparing Mean Square Forecast Errors," Journal of Forecasting 12 (1993): 642-644.
- "Testing for Common Features," (with S. Kozicki), Journal of Business and Economic Statistics 11 (1993): 369 - 380.
- "Common Volatility in International Equity Markets," (with R. Susmel), Journal of Business and Economic Statistics 11 (1993): 167 - 176.
- "Time Varying Volatility and the Dynamic Behavior of the Term Structure," (with V. Ng), Journal of Money, Credit and Banking 25 (1993): 336-349.
- "Seasonal Cointegration: The Japanese Consumption Function," (with C.W.J. Granger, S. Hylleberg, H.S. Lee), Journal of Econometrics 55 (1993): 275-298.
- "ARCH Models in Finance," (eds. R. Engle and M. Rothschild), Journal of Econometrics 52 (1992): 245-266.
- "On the Theory of Growth Controls," (with R. Carson and P. Navarro), Journal of Urban Economics 32 (1992): 269-283.
- "On The Determination of Regional Base and Regional Base Multipliers," (with S. Brown and E. Coulson), Regional Science and Urban Economics 22 (1992): 619-635.
- "Editors Introduction" (with M. Rothschild), ARCH Models in Finance, eds. R. Engle and M. Rothschild, Journal of Econometrics 52 (1992): 1.
- "Measuring Risk Aversion From Excess Returns on a Stock Index," (with R. Chou and
Kane), Journal of Econometrics 52 (1992): 201-224.
- "Where Does the Meteor Shower Come From? The Role of Stochastic Policy," (with T. Ito and W.L. Lin), Journal of International Economics 32 (1992): 221-240.
- "Implied ARCH Models from Options Prices," (with C. Mustafa), Journal of Econometrics 52 (1992): 289-311.
- "A Multi-Dynamic Factor Model for Stock Returns," (with V. Ng and M. Rothschild), Journal of Econometrics 52 (1992): 245-266.
- "Modeling Peak Electricity Demand," (with C. Mustafa and J. Rice), Journal of Forecasting 11(1992): 241-251.
- "Semi-Parametric ARCH Models," (with G. Gonzalez), Journal of Business and Economic Statistics 9 (1991): 345-359.
- "Editor's Introduction," (with C.W.J. Granger) in Long Run Economic Relations: Readings in Cointegration," (eds. R. Engle and C.W.J. Granger), (Oxford: Oxford University Press, (1991), 1-16
- Long Run Economic Relations: Readings in Cointegration, (eds. R. Engle and C.W.J. Granger (Oxford: Oxford University Press, 1991).
- "Cointegrated Economic Time Series: A Survey with New Results," (with B.S. Yoo) in Long Run Economic Relations: Readings in Cointegration, ed. by R. Engle and C.W.J. Granger, (Oxford: Oxford University Press, 1991), 237-266.
- "Meteor Showers or Heat Waves? Hetroskedastic Intra-daily Volatility in the Foreign Exchange market," (with T. Ito, W.L. Lin) Econometrica 58 (1990): 525-542.
- "Asset Pricing with a Factor ARCH Covariance Structure: Empirical Estimates for Treasury Bills," (with V. Ng, M. Rothschild) Journal of Econometrics 45 (1990): 213-237.
- "Seasonal Integration and Cointegration," (with S. Hylleberg, C.W.J. Granger, B.S. Yoo) Journal of Econometrics 44 (1990): 215-238.
- "Merging Short and Long Run Forecasts: An Application of Seasonal Cointegration to Monthly Electricity Sales Forecasting," (with Granger and Hallman), Journal of Econometrics 40 (1989): 45-62.
- "A Comparison of Adaptive Structural Forecasting Methods for Electricity Sales," Journal of Forecasting 7 (1988): 149-172.
- "A Capital Asset Pricing Model with Time Varying Covariances," (with T.P. Bollerslev and J.M. Wooldridge), Journal of Political Economy 96 (1988): 116-131.
- "Estimation of Time Varying Risk Premia in the Term Structure: the ARCH-M Model," (with David Lilien and Russell Robins), Econometrica 55 (1987): 391-407.
- "Transportation Costs and the Rent Gradient," (with N. Edward Coulson), Journal of Urban Economics 21 (1987): 287-297.
- "Co-integration and Error Correction: Representation, Estimation and Testing," (with C.W.J. Granger), Econometrica 55 (1987): 251-276.
- "Forecasting and Testing in Co-integrated Systems," (with Sam Yoo), Journal of Econometrics 35 (1987): 143-159.
- "Econometric Forecasting - A Brief Survey of Current and Future Techniques," (C.W. J. Granger), in Forecasting in the Social and Natural Sciences, ed. K.C. Land and S.H. Schneider, (Reidel Publishing Co., 1987), 117-140.
- "Semi-parametric estimates of the relation between weather and electricity demand," (with C.W.J. Granger, J. Rice and A. Weiss), Journal of American Statistical Association 81 (1986): 310-320.
- "Forecasting Electricity Sales Over the Short Term: A Comparison of New Methodologies," EPRI, 1986, (with Robert Goodrich): Report No. EM – 4772
- "Modeling the Persistence of Conditional Variances," (with Tim Bollerslev), Econometric Reviews 5 (1986): 1-50.
- "Wholesale and Retail Prices: Bivariate Modeling with Forecastable Variances," (with C.W.J. Granger and Russell Robins), in Model Reliability, ed. David Belsley and Edwin Kuh, (Cambridge, MA: MIT Press, 1986), 1-17.
- "Small-Sample Properties of ARCH Estimators and Tests," (with David Hendry and David Trumble), Canadian Journal of Economics 18 (1985): 66-93.
- "Testing for Coefficient Stability with a Stationary AR(1) Alternative," (with Mark Watson), Review of Economics and Statistics 67 (1985): 341-346.
- "The Kalman Filter: Applications to Forecasting and Rational Expectations Models," (with Mark Watson), Invited Paper to the World Congress of the Econometric Society, Cambridge, 1985, in Advances in Econometrics Fifth World Congress, Volume I, ed. Truman Bewley), pp. 245-283.
- "Model Selection for Forecasting," (with S. Brown), Journal of Computation in Statistics, (1985): 20
- "A Dynamic Model of Housing Price Determination," (with Mark Watson and David Lilien), Journal of Econometrics, 28 (1985): 307-326.
- "Short-Term Forecasting of Electricity Sales: A Comparison of New Methodologies," (with Granger, Brown, Joiner, Stern and Wolin), in Forecasting in an Era of Technological Change: Proceeding of Fifth Forecasting Symposium, EPRI EA-4031, 1985, pp. 19-1 to 19-18.
- "Combining Competing Forecasts of Inflation Based on a Multivariate ARCH Model," (with Dennis Kraft and C.W.J. Granger), Journal of Economic Dynamics and Control 8 (1984): 151-165.
- "The Billing Cycle and Weather Variables in Models of Electricity Sales," (with Kenneth Train, Patrice Ignelzi, Clive Granger, Ramu Ramanathan), Energy 9 (1984): 1041-1047.
- "Wald, Likelihood Ratio and Lagrange Multiplier Tests in Econometrics," in Handbook of Econometrics, vol II, ed. Griliches and Intrilligator (Amsterdam: North Holland, 1984), 775-826.
- "Alternative Algorithms for the Estimation of Dynamic Factor, MIMIC, and Varying Coefficient Regression Models," (with Mark Watson), Journal of Econometrics 23 (1983): 385-400.
- "Discussion of `Diagnostic Tests as Residual Analysis' by Pagan and Hall," Econometric Reviews 2 (1983): 223-228.
- "Weather Normalization of Electricity Sales," (with Granger, Ramanathan, Train and Ignelzi), EPRI, 1983.
- "A Microeconometric Analysis of Vacant Housing Units," (with R. Marshall), in The Urban Economy and Housing, ed. Grieson (Lexington, 1983), 105-123.
- "Estimates of the Variance of U.S. Inflation Based on the ARCH Model," Journal of Money, Credit and Banking 15 (1983): 286-301.
- "Applications of spectral analysis in econometrics," (with C.W.J. Granger), The Handbook of Statistics, Vol. III, Time Series and the Frequency Domain, ed. Krishniah and Brillinger (Amsterdam: North Holland, 1983), 93-109.
- "Exogeneity," (with David F. Hendry and Jean-Francois Richard), Econometrica 51 (1983): 277-304.
- "Multiperiod forecast error variances of inflation estimated from ARCH models," (with Dennis Kraft), in Applied Time Series Analysis of Economic Data, ed. A. Zellner (Washington, D.C.: Bureau of the Census, 1983), 293-302.
- "Two-step modeling for short term forecasting," (with Ramu Ramanathan, C.W.J. Granger) in Studies in the Development and Implementation of Forecasting and State Estimation Procedures in the Electric Power Industry, ed. D.W. Bunn and E.D. Farmer (New York: Wiley and Sons, 1983): 131-158
- "A General Approach to Lagrange Multiplier Model Diagnostics," Journal of Econometrics 20 (1982): 83-104.
- "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation," Econometrica 50 (1982): 987-1008.
- "A Note on Robust Methods for ARIMA Models," in Applied Time Series Analysis of Economic Data, ed. A. Zellner (Washington, D.C.: Bureau of the Census, 1981), pp. 176-177.
- "A One-Factor Multivariate Time Series Model of Metropolitan Wage Rates," (with Mark Watson), Journal of the American Statistical Association 76 (1981): 774-781.
- "A Time Domain Approach to Dynamic Factor Analysis and Mimic Models," (with Mark Watson), Les Cahiers de Seminaire d'Econometrie No. 22, 1980.
- Regional Load Curve Models, Volumes 2, 4, (with Granger and Ramanathan), EPRI EA-1672, Final Report of RP-1008.
- "Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions," International Economic Review 21 (1980):391-407.
- "An Exploratory Policy Oriented Econometric Model of a Metropolitan Area: Boston," in Essays in Quantitative Economics and Development in Memory of T.C. Liu, ed. L.R. Klein, M. Nerlove, S.C. Tsiang ( Academic Press, 1980).
- "Hypothesis Testing in Spectral Regression; The Lagrange Multiplier Test as a Regression Diagnostic," in Evaluation of Econometric Models, ed. Jan Kmenta and James Ramsey, (Academic Press, 1980).
- "Estimation of the Price Elasticity of Demand Facing Metropolitan Producers," Journal of Urban Economics 6 (1979): 42-64.
- "Testing some propositions about Proposition 13," (with Richard Attiyeh), National Tax Journal 32 (1979): 131-146.
- "Some problems in the estimation of daily load shapes and peaks," (with C.W.J. Granger, Allen Mitchem, Ramu Ramanathan), in Modeling and Analysis of Electricity Demand by Time-of-Day, EPRI, EA-1304, December 1979.
- "The Regional Response to Factor Supplies: Estimates for the Boston SMSA," in Interregional Movements and Regional Growth; Coupe Papers on Public Economics, ed. William Wheaton (Urban Institute, 1979).
- "Review of `The Econometrics of Panel Data'," ed. Pascal Mazodier, Economic Journal 89 (1979): 999-1001.
- "Residential Load Curves and Time-Of-Day Pricing: An Econometric Analysis," (with C.W.J. Granger, Ramu Ramanathan, and Allan Andersen), Journal of Econometrics 9 (1979): 13-32.
- "Testing Price Equations for Stability Across Frequency Bands," Econometrica 46 (1978): 869-881.
- "Estimating structural models of seasonality," in Seasonal Analysis Of Economic Time Series, ed. A. Zellner (U.S. Department of Commerce, Bureau of Census, 1978).
- "Long Term Residential Load Forecasting," (with C.W.J. Granger, Allan Andersen, and Ramu Ramanathan) in Forecasting and Modeling Time of Day and Seasonal Electricity Demands (Electric Power Research Institute, Aspen, Colorado, 1977).
- "Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area," (with Katharine Bradbury, Owen Irvine, and Jerome Rothenberg), in Residential Location and Housing Markets (Gregory K. Ingram, ed.), (Ballinger 1977): 51-86.
- "Policy Pills for a Metropolitan Economy," Papers and Proceedings of the Regional Science Association 35 (1976): 191-205.
- "Interpreting Spectral Analysis in Terms of Time Domain Models," Annals of Economic and Social Measurement 5 (1976): 89-109.
- "Constraints Often Overlooked in Analysis of Simultaneous Equation Models: Comment," Econometrica 44 (1976): 617-819.
- "Some Finite Sample Properties of Spectral Estimators of a Linear Regression," (with Roy Gardner), Econometrica 44 (1976): 149-165.
- "Equilibrium in Regional Investment: A Reply," Journal of Regional Science 15 (1975): 235-238.
- "An Asset Price Model of Aggregate Investment," (with Duncan Foley), International Economic Review 16 (1975): 625-647.
- "De Facto Discrimination in Residential Assessments: Boston," National Tax Journal 28 (1975): 445-451.
- "A Disequilibrium Model of Regional Investment," Journal of Regional Science 14 (1974): 367-376.
- "Specification of the Disturbance for Efficient Estimation," Econometrica 42 (1974): 135-146.
- "Issues in the Specification of an Econometric Model of Metropolitan Growth," Journal of Urban Economics 1 (1974): 250-267.
- "Band Spectrum Regression," International Economic Review 15 (1973): 1-11.
- "An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government," (with Franklin M. Fisher, John R. Harris and Jerome Rothenberg), The American Economic Review 62 (1972): 87-97.
- "Effects of aggregation over time on dynamic characteristics of an economic model," (with T.C. Liu) in Burt G. Hickman, ed., Econometric Models of Cyclical Behavior, Studies in Income and Wealth, v. 2, no. 36, National Bureau of Economic Research, New York, 1972.