References

• 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
• 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
• 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
• 1985A Theory of the Term Structure of Interest Rates8,333 cited
• 1977An equilibrium characterization of the term structure6,104 cited
• 1983Empirical exchange rate models of the seventies4,115 cited
• 2000Value At Risk: The New Benchmark for Managing Financial Risk2,478 cited
• 2000Specification Analysis of Affine Term Structure Models1,708 cited
• 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
• 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
• 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
• 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
• 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
• 1997An Overview of Value at Risk1,320 cited
• 1990Data-Snooping Biases in Tests of Financial Asset Pricing Models