References

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• 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
• 1952PORTFOLIO SELECTION*18,429 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
• 1998Evaluating Interval Forecasts2,689 cited
• 1952Safety First and the Holding of Assets2,555 cited
• 2001Testing Density Forecasts, With Applications to Risk Management859 cited
• 2006An Application of Extreme Value Theory for Measuring Financial Risk438 cited
• 2008Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization430 cited
• 2000Credit Risk Assessment Using Statistical and Machine Learning: Basic Methodology and Risk Modeling Applications257 cited
• 2014Backtesting Expected Shortfall154 cited
• 2017Stock return prediction under GARCH — An empirical assessment78 cited
• 2019Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation75 cited
• 2010