1: Volatility

Robert Engle and Jose Gonzalo Rangel (2006) “The Spline Garch Model of Low Frequency Volatility and its Global Macroeconomic Causes” forthcoming in Review of Financial Studies, 2008

2: Time Varying Volatility

Robert Engle (1982) “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of UK Inflation,” Econometrica, 50, pp987-1008

Robert Engle (2001) “GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics”, Journal of Economic Perspectives, 15, pp157-168

3: Estimating risk

Nobel prize for economics speech, 2003

Keith Kuester, Stefan Mittnik, and Marc Paolella, (2006) “Value-at-Risk Prediction: A Comparison of Alternative Strategies”, Journal of Financial Econometrics, v4n1, pp53-89

4: Long Run Risk

Robert Engle and Andrew Patton (2001) “What good is a volatility model?” Quantitative Finance, 1, pp237-245

5:Global Financial Volatility

Riccardo Colacito and Robert Engle (2008) “Term structure of risk, the role of Known and Unknown Risks and Non-stationary Distributions” forthcoming in the book entitled “The Known, the Unknown and the Unknowable in Financial Risk Management”, edited by Francis X. Diebold