Journal of Banking & Finance · 2010 · 92 citations · 26 references
BusinessEconomicsFinanceFinancial EconomicsFinancial MarketsTime Series AnalysisCapital MarketsFinancial Time Series AnalysisTime Series AnalyticsTime Series EconometricsTime Series ForecastingTrend AnalysisCorrelation DynamicsCrisis PeriodsFinancial Time Series ForecastingMean Reversion AnalysisTime Series Trend Analysis
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Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text
Business, Finance, Econometrics +11
Optimization of conditional value-at-risk
R. T. Rockafellar, Stan Uryasev · The Journal of Risk · 2000 · 6.5K citations
Business, Finance, Risk Management +17
Conditional value-at-risk for general loss distributions
R. T. Rockafellar, Stan Uryasev · Journal of Banking & Finance · 2002 · 3.7K citations
Business, Finance, Risk Management +14
Peter Christoffersen · International Economic Review · 1998 · 2.7K citations
Business, Economics, Risk Management +17