Frontiers in VaR forecasting and backtesting

Generalized autoregressive conditional heteroskedasticity

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

Business, Finance, Econometrics +11

Regression Quantiles

Roger Koenker, Gilbert W. Bassett · Econometrica · 1978 · 12.9K citations

Natural Sciences, Biostatistics, Statistics +4

Conditional Heteroskedasticity in Asset Returns: A New Approach

Daniel B. Nelson · Econometrica · 1991 · 10.4K citations

Business, Economics, Finance +17

Comparing Predictive Accuracy

Francis X. Diebold, Roberto S. Mariano · Journal of Business and Economic Statistics · 1995 · 4.8K citations

Public Health, Economics, Causal Inference +15

A long memory property of stock market returns and a new model

Zhuanxin Ding, Clive W. J. Granger, Robert F. Engle · Journal of Empirical Finance · 1993 · 3.3K citations

Business, Economics, Finance +16