Stochastic tail index model for high frequency financial data with Bayesian analysis

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

Robert F. Engle · Econometrica · 1982 · 20.6K 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

Business, Finance, Risk Management +14

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

Sang‐Joon Kim, Siddhartha Chib · The Review of Economic Studies · 1998 · 2.3K citations · Full text

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M. Pitt, Neil Shephard · Journal of the American Statistical Association · 1999 · 2.3K citations · Full text

Computing, Physics, Statistics +13

Marginal Likelihood from the Gibbs Output

Siddhartha Chib · Journal of the American Statistical Association · 1995 · 1.8K citations

Business, Biostatistics, Bayesian Data Analysis +16