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Bayesian Semi-Parametric Realized Conditional Autoregressive Expectile Models for Tail Risk Forecasting
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Bayesian Semi-Parametric Realized Conditional Autoregressive Expectile Models for Tail Risk Forecasting (2020)Bayesian Semi-Parametric Realized Conditi…Realized GARCH: a joint model for returns and realized measures of volatility (2011)Realized GARCH: a joint model…Making and Evaluating Point Forecasts (2011)Making and Evaluating Point F…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 ForecastsAnswering 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…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Comparing Predictive Accuracy (1994)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)CoVaR (2016)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)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Impact of News on Volatility (1993)Dynamic Conditional Correlation (2002)ARCH modeling in finance (1992)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The Cross‐Section of Volatility and Expected Returns (2006)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)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
  • 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
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,489 cited
  • 2004CAViaR2,210 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 2005A Tale of Two Time Scales1,312 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • 2011Making and Evaluating Point Forecasts1,159 cited

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  • 2011Realized GARCH: a joint model for returns and realized measures of volatility670 cited
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