Measuring systemic risk of the banking industry in China: A DCC-MIDAS-t approach

Dynamic Conditional Correlation

Robert F. Engle · Journal of Business and Economic Statistics · 2002 · 6.9K citations

Econometric Model, Economics, Volatility Modeling +15

The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

John Y. Campbell, Robert J. Shiller · Review of Financial Studies · 1988 · 3.9K citations

Empirical Finance, Expectation Formation, Economics +12

Why Does Stock Market Volatility Change Over Time?

G. William Schwert · The Journal of Finance · 1989 · 3.5K citations

Volatility Modeling, Multivariate Stochastic Volatility, Financial Economics +13

Autoregressive Conditional Density Estimation

Bruce E. Hansen · International Economic Review · 1994 · 1.6K citations

Volatility Modeling, Term Structure Model, Engineering +17

Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks

Viral V. Acharya, Robert F. Engle, Matthew Richardson · American Economic Review · 2012 · 1.1K citations

Financial Risk Management, Financial Risk, International Financial Crisis +22