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Long range dependence in an emerging stock market’s sectors: volatility modelling and VaR forecasting
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis3,283 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,478 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 2004CAViaR2,210 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1995Log-Periodogram Regression of Time Series with Long Range Dependence1,224 cited
  • 1992LM TESTS FOR A UNIT ROOT IN THE PRESENCE OF DETERMINISTIC TRENDS*832 cited
  • 2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns

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784 cited
  • 2004Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model437 cited
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