How informative are variance risk premium and implied volatility for Value-at-Risk prediction? International evidence

The Pricing of Options and Corporate Liabilities

Fischer Black, Myron S. Scholes · Journal of Political Economy · 1973 · 29.4K citations

Business, Economics, Finance +13

Generalized autoregressive conditional heteroskedasticity

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

Business, Finance, Econometrics +11

The pricing of commodity contracts

Fischer Black · Journal of Financial Economics · 1976 · 2.9K citations

Social Sciences, Contract Law, Economics +8

Evaluating Interval Forecasts

Peter Christoffersen · International Economic Review · 1998 · 2.7K citations

Business, Economics, Risk Management +17

A Simple Approximate Long-Memory Model of Realized Volatility

Fulvio Corsi · Journal of Financial Econometrics · 2008 · 2.5K citations

Business, Economics, Finance +17