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Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
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Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution (2018)Bayesian realized-GARCH models for financ…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesCAViaR (2004)CAViaRModeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…Coherent Measures of Risk (1999)Coherent Measures of RiskEvaluating Interval Forecasts (1998)Evaluating Interval ForecastsAutoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Comparing Predictive Accuracy (1994)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)CoVaR (2016)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)An Overview of Value at Risk (1997)Modelling Extremal Events (1997)Conditional value-at-risk for general loss distributions (2002)Theory of rational option pricing (2005)Lectures on Stochastic Programming (2009)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Behavior of Stock-Market Prices (1965)Introductory Econometrics for Finance (2008)Econometric Analysis of Cross Section and Panel Data (2001)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The Cross‐Section of Volatility and Expected Returns (2006)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,394 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,063 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2003Modeling and Forecasting Realized Volatility3,920 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,576 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,489 cited
  • 2004CAViaR2,210 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 2005

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A Tale of Two Time Scales
1,312 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
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