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Cited by

• 2004Deviance Information Criterion for Comparing Stochastic Volatility Models292 cited
• 2003Univariate and multivariate stochastic volatility models: estimation and diagnostics259 cited
• 1998A Stochastic Volatility Model With Markov Switching208 cited
• 2020Machine Learning for Financial Risk Management: A Survey203 cited
• 2013A comprehensive review of Value at Risk methodologies177 cited
• 2007Testing Forecast Optimality Under Unknown Loss169 cited
• 2016Dealing with Stochastic Volatility in Time Series Using the R Package stochvol135 cited
• 2002Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH‐NIG model133 cited
• 2002A threshold stochastic volatility model117 cited
• 2009Stochastic Volatility: Origins and Overview113 cited
• 2011Stochastic Volatility in General Equilibrium113 cited
• 2000Non-Gaussian OU based models and some of their uses in financial economics112 cited
• 2010Volatility forecasting and microstructure noise101 cited
• 2005Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes92 cited