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On double hysteretic heteroskedastic model
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On double hysteretic heteroskedastic model (2015)On double hysteretic heteroskedastic modelOn a threshold heteroscedastic model (2005)On a threshold heteroscedasti…Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model (2003)Asymmetrical reaction to US s…A Double-threshold GARCH Model for the French Franc/Deutschmark exchange rate (2001)A Double-threshold GARCH Mode…Nonlinear Time Series Models in Empirical Finance (2000)Nonlinear Time Series Models …Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsValue at risk: the new benchmark for controlling market risk (1996)Value at risk: the new benchm…On a double-threshold autoregressive heteroscedastic time series model (1996)On a double-threshold autoreg…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…Threshold arch models and asymmetries in volatility (1993)Threshold arch models and asy…ARCH modeling in finance (1992)ARCH modeling in financeGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence (1983)The relationship between spot…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Threshold autoregression, limit cycles and cyclical data- with discussion (1980)Threshold autoregression, lim…The Pricing of Options and Corporate Liabilities (1973)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Dynamic Conditional Correlation (2002)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)CoVaR (2016)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Multivariate GARCH models: a survey (2006)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Modeling and pricing long memory in stock market volatility (1996)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Testing Density Forecasts, With Applications to Risk Management (2001)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Econometric Analysis of Cross Section and Panel Data (2001)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)Is the correlation in international equity returns constant: 1960–1990? (1995)Analysis of Financial Time Series (2006)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS (2002)Introductory Econometrics for Finance (2008)
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References

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  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 1992ARCH modeling in finance4,343 cited
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  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,489 cited
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  • 2000Nonlinear Time Series Models in Empirical Finance1,111 cited
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  • 1983The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence174 cited
  • 2001A Double-threshold GARCH Model for the French Franc/Deutschmark exchange rate123 cited

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  • 2003Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model110 cited
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