The hidden dangers of historical simulation

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text

Business, Finance, Econometrics +11

Coherent Measures of Risk

Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber et al. · Mathematical Finance · 1999 · 9K citations · Full text

Business, Finance, Risk Management +14

Conditional value-at-risk for general loss distributions

R. T. Rockafellar, Stan Uryasev · Journal of Banking & Finance · 2002 · 3.7K citations

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Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

Tim Bollerslev, Jeffrey M. Wooldridge · Econometric Reviews · 1992 · 3.3K citations

Social Sciences, Economics, Econometrics +16

Evaluating Interval Forecasts

Peter Christoffersen · International Economic Review · 1998 · 2.7K citations

Business, Economics, Risk Management +17