Computing value at risk with high frequency data

Forecasting, Structural Time Series Models and the Kalman Filter

Robert Fildes, Andrew Harvey, Mike West et al. · Journal of the Operational Research Society · 1991 · 4.8K citations

Computing, Mathematics, Forecasting +13

Fractionally integrated generalized autoregressive conditional heteroskedasticity

Richard T. Baillie, Tim Bollerslev, Hans Ole Mikkelsen · Journal of Econometrics · 1996 · 2.3K citations

Business, Finance, Econometrics +8

Modelling the persistence of conditional variances

Robert F. Engle, Tim Bollerslev · Econometric Reviews · 1986 · 2.1K citations

Business, Economics, Finance +15

Bayesian Analysis of Stochastic Volatility Models

Éric Jacquier, Nicholas G. Polson, Peter E. Rossi · Journal of Business and Economic Statistics · 2002 · 1.4K citations

Business, Economics, Finance +17

Multivariate Stochastic Variance Models

Andrew Harvey, Esther Ruiz, Neil Shephard · The Review of Economic Studies · 1994 · 1.4K citations · Full text

Business, Business Economics, Economics +11