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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
1986Generalized autoregressive conditional heteroscedasticity1,810 cited
1996An evaluation of volatility forecasting techniques479 cited
1995The predictive ability of several models of exchange rate volatility371 cited
1990Volatility forecasting without data-snooping155 cited

1998Using value-at-risk to control risk taking: how wrong can you be?108 cited
2003The Effect of Asymmetries on Stock Index Return Value‐at‐Risk Estimates80 cited
2013The analysis of bank business performance and market risk—Applying Fuzzy DEA75 cited
2003Robust estimation of the optimal hedge ratio57 cited
1999Evaluating volatility and interval forecasts56 cited
2005Evaluating Interest Rate Covariance Models Within a Value-at-Risk Framework43 cited
2005Modeling risk for long and short trading positions40 cited
2016The dynamic Black–Litterman approach to asset allocation40 cited
2009Incorporating higher moments into value‐at‐risk forecasting

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38 cited