Garch-Based Risk Modeling is a risk modeling framework that belongs to the class of volatility forecasting models and is distinguished by its use of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) process to capture time-varying volatility and conditional variance dynamics in financial return series.
487
Publications
27K
Citations
940
Authors
594
Institutions
Publications per year
2017–2026
175
Parents
Publications
487
Richard T. Baillie, Ramon P. DeGennaro · Journal of Financial and Quantitative Analysis · 1990 · 738 citations
Enrique Sentana · The Review of Economic Studies · 1995 · 555 citations
1–5 of 487
Authors
940
- MS
9
h-index
- RW
7
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- RF
5
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- FW
5
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- GB
4
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1–5 of 940
Institutions
594
Swiss Finance Institute
Zurich, Switzerland
9 h-index
12 publications
1.9K citations
University of Zurich
Zurich, Switzerland
9 h-index
12 publications
572 citations
University of Hong Kong
Pok Fu Lam, Hong Kong
8 h-index
10 publications
1.1K citations
University of International Business and Economics
Beijing, China
7 h-index
12 publications
252 citations
Erasmus University Rotterdam
Rotterdam, The Netherlands
7 h-index
10 publications
609 citations
Hong Kong University of Science and Technology
Hong Kong, Hong Kong
7 h-index
7 publications
938 citations
Central South University
Changsha, China
6 h-index
16 publications
695 citations
IPAG Business School
Paris, France
6 h-index
6 publications
292 citations
1–8 of 594
Venues
- SSRN Electronic Journal
Repository · 30 publications · 694 citations
17
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- Finance research letters
16 publications · 739 citations
16
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- The North American Journal of Economics and Finance
12 publications · 458 citations
12
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- Journal of Econometrics
12 publications · 1.3K citations
12
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- Journal of Empirical Finance
11 publications · 571 citations
11
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