References

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• 2000Value At Risk: The New Benchmark for Managing Financial Risk2,494 cited
• 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
• 1997An Overview of Value at Risk1,320 cited
• 1999State-Space Models with Regime Switching1,304 cited
• 1990Alternative models for conditional stock volatility1,272 cited
• 2000State-Space Models with Regime-Switching: Classical and Gibbs Sampling Approaches with Applications1,188 cited
• 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?984 cited
• 1997Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis766 cited
• 2005Volatility Spillover Effects in European Equity Markets665 cited
• 1997Markov-Switching Vector Autoregressions583 cited
• 2002How Accurate Are Value‐at‐Risk Models at Commercial Banks?531 cited
• 2002Term Structure of Interest Rates with Regime Shifts456 cited
• 2001A Regime-Switching Model of Long-Term Stock Returns436 cited
• 2006Regime switching for dynamic correlations414 cited