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Cited by

• 2014Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets268 cited
• 2000Economic fluctuations and anomalous diffusion265 cited
• 2003Market risk in commodity markets: a VaR approach263 cited
• 2004A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour239 cited
• 2002A microsimulation of traders activity in the stock market: The role of heterogeneity, agents' interactions and trade frictions193 cited
• 2002Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes180 cited
• 2009On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements175 cited
• 2009An Introduction to Univariate GARCH Models174 cited
• 2008Glossary to ARCH (GARCH)172 cited
• 2001The Risk Management Process: Business Strategy and Tactics143 cited
• 2009Estimating value at risk of portfolio by conditional copula-GARCH method143 cited
• 2000Full Bayesian Inference for GARCH and EGARCH Models141 cited
• 2005A Selective Overview of Nonparametric Methods in Financial Econometrics135 cited
• 2005Portfolio management with heuristic optimization