References

• 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
• 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
• 1993A long memory property of stock market returns and a new model3,282 cited
• 1998Evaluating Interval Forecasts2,689 cited
• 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,576 cited
• 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,489 cited
• 1996Value at risk: the new benchmark for controlling market risk1,018 cited
• 1995All in the family Nesting symmetric and asymmetric GARCH models723 cited
• 2005Value-at-Risk Prediction: A Comparison of Alternative Strategies635 cited
• 2003Value‐at‐risk for long and short trading positions375 cited
• 2002The emperor has no clothes: Limits to risk modelling331 cited
• 1984Risk and return325 cited
• 2002How Informative Are Value-at-Risk Disclosures?260 cited
• 2002Forecasting exchange rate volatility121 cited
• 2003The Effect of Asymmetries on Stock Index Return Value‐at‐Risk Estimates80 cited