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Implications of Nonlinear Dynamics for Financial Risk Management
16 references·16 citing·28 second hopsampled
Implications of Nonlinear Dynamics for Financial Risk Management (1993)Implications of Nonlinear Dynamics for Fi…Nonlinear Dynamics, Chaos and Instability Statistical Theory and Economic Evidence. (1993)Nonlinear Dynamics, Chaos and…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Chaos and Nonlinear Dynamics:…Nonparametric exchange rate prediction? (1990)Nonparametric exchange rate p…ARCH models as diffusion approximations (1990)ARCH models as diffusion appr…Testing for Nonlinear Dependence in Daily Foreign Exchange Rates (1989)Testing for Nonlinear Depende…Nonlinear Dynamics and Stock Returns (1989)Nonlinear Dynamics and Stock …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 Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …The valuation of options for alternative stochastic processes (1976)The valuation of options for …A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)A Comparison of the Stable an…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Analyzing Crude Oil Prices under the Impact of COVID-19 by Using LSTARGARCHLSTM (2020)Analyzing Crude Oil Prices un…Crude oil price analysis and forecasting using wavelet decomposed ensemble model (2012)Crude oil price analysis and …Financial volatility forecasting with range-based autoregressive volatility model (2010)Financial volatility forecast…Nonlinearity, data-snooping, and stock index ETF return predictability (2009)Nonlinearity, data-snooping, …Nonlinearity and intraday efficiency tests on energy futures markets (2009)Nonlinearity and intraday eff…Do Euro exchange rates follow a martingale? Some out-of-sample evidence (2007)Do Euro exchange rates follow…A comparison of extreme value theory approaches for determining value at risk (2005)A comparison of extreme value…Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models (2003)Inference on Predictability o…Nonlinear Features of Realized FX Volatility (2002)Nonlinear Features of Realize…Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos (2002)Imitation and contrarian beha…Modelling the volatility in East European emerging stock markets: evidence on Hungary and Poland (2001)Modelling the volatility in E…A Double-threshold GARCH Model for the French Franc/Deutschmark exchange rate (2001)A Double-threshold GARCH Mode…Why do regime-switching models forecast so badly? (1999)Why do regime-switching model…The relationship between spot and futures prices: Evidence from the crude oil market (1999)The relationship between spot…Charting: Chaos theory in disguise? (1997)Charting: Chaos theory in dis…An assessment of the economic value of non‐linear foreign exchange rate forecasts (1995)An assessment of the economic…The Pricing of Options and Corporate Liabilities (1973)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)The variation of certain speculative prices (1997)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)Econometric Analysis of Cross Section and Panel Data (2001)Bayesian Analysis of Stochastic Volatility Models (1994)Parametric and Nonparametric Volatility Measurement (2010)Does realized skewness predict the cross-section of equity returns? (2015)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 1991Chaos and Nonlinear Dynamics: Application to Financial Markets1,046 cited
  • 1990ARCH models as diffusion approximations943 cited
  • 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices903 cited
  • 1989Nonlinear Dynamics and Stock Returns778 cited
  • 1989Testing for Nonlinear Dependence in Daily Foreign Exchange Rates665 cited
  • 1993Nonlinear Dynamics, Chaos and Instability Statistical Theory and Economic Evidence.

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487 cited
  • 1990Nonparametric exchange rate prediction?484 cited
  • Cited by

    • 1999The relationship between spot and futures prices: Evidence from the crude oil market290 cited
    • 1999Why do regime-switching models forecast so badly?216 cited
    • 2003Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models171 cited
    • 2005A comparison of extreme value theory approaches for determining value at risk147 cited
    • 2012Crude oil price analysis and forecasting using wavelet decomposed ensemble model146 cited
    • 2001A Double-threshold GARCH Model for the French Franc/Deutschmark exchange rate123 cited
    • 2009Nonlinearity and intraday efficiency tests on energy futures markets115 cited
    • 2002Nonlinear Features of Realized FX Volatility112 cited
    • 2007Do Euro exchange rates follow a martingale? Some out-of-sample evidence109 cited
    • 2009Nonlinearity, data-snooping, and stock index ETF return predictability104 cited
    • 1997Charting: Chaos theory in disguise?83 cited
    • 1995An assessment of the economic value of non‐linear foreign exchange rate forecasts80 cited
    • 2001Modelling the volatility in East European emerging stock markets: evidence on Hungary and Poland79 cited
    • 2020Analyzing Crude Oil Prices under the Impact of COVID-19 by Using LSTARGARCHLSTM77 cited
    • 2002Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos75 cited
    • 2010Financial volatility forecasting with range-based autoregressive volatility model72 cited