References

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• 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,489 cited
• 1989Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts856 cited
• 1996An evaluation of volatility forecasting techniques479 cited
• 1996Forecasting stock market volatility using (non-linear) Garch models394 cited
• 1995The predictive ability of several models of exchange rate volatility371 cited
• 2013Emendamento dell'Accordo sui Requisiti Patrimoniali per tener conto dei rischi di mercato (The amendment to the capital accord to incorporate market risk)283 cited
• 1992Prediction in dynamic models with time-dependent conditional variances280 cited
• 1989Alternative Models For Conditional Stock Volatility256 cited
• 2007Evaluation of Value-at-Risk Models Using Historical Data249 cited
• 1998Predicting stock index volatility: can market volume help?231 cited
• 2007Methods for Evaluating Value-at-Risk Estimates186 cited
• 1997Bank Capital and Value at Risk124 cited
• 1997Evaluation of Value-at-Risk Models Using Historical Data116 cited
• 1997Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts