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Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework
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Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework (2012)Forecasting Value-at-Risk with Time-Varyi…Forecasting Stock Market Volatility with Regime-Switching GARCH Models (2005)Forecasting Stock Market Vola…The use of GARCH models in VaR estimation (2004)The use of GARCH models in Va…Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements (2003)Conditional volatility, skewn…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…A Closed-Form GARCH Option Valuation Model (2000)A Closed-Form GARCH Option Va…The variation of certain speculative prices (1997)The variation of certain spec…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Measuring and Testing the Impact of News on Volatility (1991)Measuring and Testing the Imp…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications (1989)Seminonparametric Estimation …A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Modeling and pricing long memory in stock market volatility (1996)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)The Determinants of Credit Spread Changes (2001)Introductory Econometrics for Finance (2008)Econometric Analysis of Cross Section and Panel Data (2001)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The Cross‐Section of Volatility and Expected Returns (2006)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)A long memory property of stock market returns and a new model (1993)
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References

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  • 1993Measuring and Testing the Impact of News on Volatility3,841 cited
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  • 1989Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications440 cited
  • 1991Measuring and Testing the Impact of News on Volatility343 cited
  • 2005Forecasting Stock Market Volatility with Regime-Switching GARCH Models

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311 cited
  • 2004The use of GARCH models in VaR estimation296 cited
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