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Score-driven Markov-switching EGARCH models: an application to systematic risk analysis
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this work references cited by second hop

References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,478 cited
  • 2016Measuring Systemic Risk1,846 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 1999State-Space Models with Regime Switching1,304 cited
  • 2012Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks1,157 cited
  • 2002Improving GARCH volatility forecasts with regime-switching GARCH487 cited
  • 2013Dynamic Models for Volatility and Heavy Tails430 cited
  • 2014Time‐series models with an EGB2 conditional distribution107 cited
  • 2016Volatility Modeling with a Generalized t Distribution65 cited
  • 2004Clustering in the futures market: Evidence from S&P 500 futures contracts55 cited

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