this work references cited by second hopReferences
- 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
- 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
- 1993A long memory property of stock market returns and a new model3,257 cited
- 1998Evaluating Interval Forecasts2,689 cited
- 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
- 2006Analysis of Financial Time Series2,348 cited
- 2005Analysis of Financial Time Series1,350 cited
- 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes878 cited
- 2004Backtesting Value-at-Risk: A Duration-Based Approach403 cited
- 2019Soft consensus cost models for group decision making and economic interpretations387 cited
- 2003Inference in Arch and Garch Models with Heavy-Tailed Errors362 cited
- 2019MACHINE LEARNING METHODS FOR SYSTEMIC RISK ANALYSIS IN FINANCIAL SECTORS321 cited
- 2008Option valuation with long-run and short-run volatility components☆307 cited
- 2004Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood224 cited
- 2001Testing and comparing Value-at-Risk measures
Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work