References

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• 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
• 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
• 1994Threshold heteroskedastic models2,294 cited
• 2004CAViaR2,210 cited
• 1986Generalized autoregressive conditional heteroscedasticity1,810 cited
• 1997An Overview of Value at Risk1,320 cited
• 2000Nonparametric risk management and implied risk aversion740 cited
• 1998Beyond Value at Risk: The New Science of Risk Management489 cited
• 2000Sensitivity analysis of Values at Risk400 cited
• 2003Inference in Arch and Garch Models with Heavy-Tailed Errors362 cited
• 2000Value-at-Risk and Extreme Returns320 cited
• 2003Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall274 cited
• 1998Value at Risk When Daily Changes in Market Variables are not Normally Distributed257 cited
• 2002VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights183 cited