Conditional Value-at-Risk: Semiparametric estimation and inference

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 21.9K citations

Economics, Volatility Modeling, Asset Pricing +4

Conditional Heteroskedasticity in Asset Returns: A New Approach

Daniel B. Nelson · Econometrica · 1991 · 10.3K citations

Empirical Finance, Volatility Innovations, Volatility Modeling +15

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

Lawrence R. Glosten, Ravi Jagannathan, David E. Runkle · The Journal of Finance · 1993 · 8.6K citations · Full text

Empirical Finance, Volatility Modeling, Monthly Conditional Volatility +18

Threshold heteroskedastic models

Jean‐Michel Zakoïan · Journal of Economic Dynamics and Control · 1994 · 2.3K citations

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CAViaR

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Empirical Finance, Economics, Volatility Modeling +11