Evaluating the accuracy of value-at-risk forecasts: New multilevel tests

Coherent Measures of Risk

Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber et al. · Mathematical Finance · 1999 · 8.9K citations

Empirical Finance, Financial Risk Management, Risk Metric +22

Bayesian Inference in Statistical Analysis.

Joseph B. Kadane, George E. P. Box, George C. Tiao · Journal of the American Statistical Association · 1975 · 3.9K citations

Bayesian Statistic, Bayesian Statistics, Generalizations Bayesian Assessment +10

Evaluating Interval Forecasts

Peter Christoffersen · International Economic Review · 1998 · 2.6K citations

Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

George E. P. Box, David A. Pierce · Journal of the American Statistical Association · 1970 · 2.2K citations

CAViaR

Robert F. Engle, Simone Manganelli · Journal of Business and Economic Statistics · 2004 · 2.1K citations

Empirical Finance, Economics, Volatility Modeling +11