Annals of Operations Research · 2006 · 144 citations · 52 references
Volatility ModelingConditional-sgt-var ApproachBusinessGarch ModelsStatistical InferenceMathematical StatisticStatistics
52
Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev · Journal of Econometrics · 1986 · 21.9K citations
Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber et al. · Mathematical Finance · 1999 · 8.9K citations
Empirical Finance, Financial Risk Management, Risk Metric +22