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Score-Driven Time Series Models
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Score-Driven Time Series Models (2021)Score-Driven Time Series ModelsDynamic semiparametric models for expected shortfall (and Value-at-Risk) (2019)Dynamic semiparametric models…Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads (2016)Time-Varying Systemic Risk: E…Handbook of Economic Forecasting (2013)Handbook of Economic Forecast…Dynamic Models for Volatility and Heavy Tails (2013)Dynamic Models for Volatility…Quantitative Risk Management (2012)Quantitative Risk ManagementGENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)GENERALIZED AUTOREGRESSIVE SC…Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk (2008)Stock Returns and Volatility:…CAViaR (2004)CAViaRStatistical Size Distributions in Economics and Actuarial Sciences (2003)Statistical Size Distribution…Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…Modelling Extremal Events (1997)Modelling Extremal EventsOn the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Human behavior and the principle of least effort (1949)Investment in Human Capital: A Theoretical Analysis (1962)Human Capital (1983)Power Laws in Economics and Finance (2009)The Economics of Climate Change (2010)Log-Transform Kernel Density Estimation of Income Distribution (2016)Book Review: Time Series Analysis: Forecasting and Control (1977)Macroeconomics and Reality (1980)Statistical analysis of cointegration vectors (1988)25 years of time series forecasting (2006)Probabilistic Forecasts, Calibration and Sharpness (2007)Empirical Asset Pricing via Machine Learning (2020)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)The variation of certain speculative prices (1997)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)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)Introductory Econometrics for Finance (2008)Coherent Measures of Risk (1999)Empirical properties of asset returns: stylized facts and statistical issues (2001)Conditional value-at-risk for general loss distributions (2002)Maximum-Likelihood Estimation (2017)The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The Cross‐Section of Volatility and Expected Returns (2006)
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References

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  • 2013Handbook of Economic Forecasting1,290 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
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  • 2013Dynamic Models for Volatility and Heavy Tails540 cited
  • 2008Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk473 cited
  • 2012Quantitative Risk Management399 cited
  • 2016Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads321 cited

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  • 2019Dynamic semiparametric models for expected shortfall (and Value-at-Risk)305 cited
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