this work references cited by second hopReferences
- 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
- 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
- 1997The variation of certain speculative prices4,468 cited
- 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
- 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
- 1998Evaluating Interval Forecasts2,689 cited
- 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
- 2004CAViaR2,210 cited
- 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
- 1983DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS1,124 cited
- 2004Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes568 cited
- 2005Measuring Market Risk489 cited
- 1994MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT391 cited
- 2003Inference in Arch and Garch Models with Heavy-Tailed Errors362 cited
- 1996Risk 2 : Measuring the Risk in Value at Risk
Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work