References

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• 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
• 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
• 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,763 cited
• 1997An Overview of Value at Risk1,320 cited
• 2001Value at Risk853 cited
• 2005Measuring Market Risk489 cited
• 1998Beyond Value at Risk: The New Science of Risk Management489 cited
• 1996Risk 2 : Measuring the Risk in Value at Risk358 cited
• 1998Incorporating volatility updating into the historical simulation method for value-at-risk352 cited
• 1999VaR without correlations for portfolios of derivative securities344 cited
• 2003Value at Risk Models in Finance210 cited
• 2000Full Bayesian Inference for GARCH and EGARCH Models141 cited
• 1996The handbook of risk management and analysis70 cited
• 2005