Journal of Banking & Finance · 2013 · 82 citations · 69 references
Social SciencesEconomicsFinanceBankingFinancial EconomicsMacroeconomicsBank Risk ManagementFinancial RiskMacroprudential PolicyMonetary PolicySystemic RiskSystemically Important BanksBanking Crisis RiskMacroeconomic ConditionsMonetary Policy ShocksSystemic Banking DistressSystemic Risk EffectsSystemic Risk IdentificationSystemic Risk In Banking
69
Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text
Business, Finance, Econometrics +11
Conditional Heteroskedasticity in Asset Returns: A New Approach
Daniel B. Nelson · Econometrica · 1991 · 10.4K citations
The Impact of Uncertainty Shocks
Nicholas Bloom · Econometrica · 2009 · 5.7K citations
Nobuhiro Kiyotaki, John Moore · Journal of Political Economy · 1997 · 4.7K citations