SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
GFC-Robust Risk Management Under the Basel Accord
16 references·0 citing·26 second hop
GFC-Robust Risk Management Under the Basel Accord (2013)GFC-Robust Risk Management Under the Base…On the Modeling of Financial Time Series (2014)On the Modeling of Financial …ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL (2003)ASYMPTOTIC THEORY FOR A VECTO…How Accurate Are Value‐at‐Risk Models at Commercial Banks? (2002)How Accurate Are Value‐at‐Ris…Value At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…Nonlinear Time Series Models in Empirical Finance (2000)Nonlinear Time Series Models …Statistical aspects of ARCH and stochastic volatility (1996)Statistical aspects of ARCH a…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyOn the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Stock Volatility and the Crash of '87 (1989)Stock Volatility and the Cras…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Generalized autoregressive conditional heteroscedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Studies of stock market volatility changes (1976)Studies of stock market volat…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)Backtesting Value-at-Risk: A Duration-Based Approach (2004)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Machine Learning in Banking Risk Management: A Literature Review (2019)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Modeling the price dynamics of CO2 emission allowances (2008)CISS - A Composite Indicator of Systemic Stress in the Financial System (2010)Forecasting Stock Returns (2013)Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Using artificial neural network models in stock market index prediction (2011)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,478 cited
  • 1986Generalized autoregressive conditional heteroscedasticity1,810 cited
  • 2000Nonlinear Time Series Models in Empirical Finance1,111 cited
  • 1989Stock Volatility and the Crash of '871,045 cited
  • 2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL887 cited
  • 1976Studies of stock market volatility changes885 cited
  • 1996Statistical aspects of ARCH and stochastic volatility749 cited
  • 2002How Accurate Are Value‐at‐Risk Models at Commercial Banks?531 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2014
On the Modeling of Financial Time Series
387 cited

Cited by

No citing works inside the corpus for this window.