Financial Analysts Journal · 2010 · 217 citations · 14 references
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Based on a methodology introduced in 1927 to analyze human skulls and later applied to turbulence in financial markets, this study shows how to use a statistically derived measure of financial turbulence to measure and manage risk and to improve investment performance. View a webinar based on this article.
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Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text
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