Concepedia

Market risk model selection and medium-term risk with limited data: Application to ocean tanker freight markets

Manolis G. Kavussanos, Dimitris Dimitrakopoulos

International Review of Financial Analysis · 2011 · 35 citations · 23 references

DOI

Concepts

References

23

Generalized autoregressive conditional heteroskedasticity

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

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.6K citations

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Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

David A. Dickey, Wayne A. Fuller · Econometrica · 1981 · 14.6K citations

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Continuous Univariate Distributions.

Yasuhiro Omori, Norman L. Johnson, S. Kotz et al. · Journal of the American Statistical Association · 1995 · 9.3K citations

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Coherent Measures of Risk

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

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