International Journal of Forecasting · 2022 · 16 citations · 62 references
BusinessFinanceRisk ManagementFinancial EconomicsForecastingPredictive AnalyticsFinancial ForecastingFinancial RiskMarket RiskRisk ForecastingRisk MeasurementRisk-return AnalysisExtreme Value EstimationFinancial Risk AssessmentForecasting RiskPredictive Scoring ModelsTail Risk Modeling
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Francis X. Diebold, Roberto S. Mariano · Journal of Business and Economic Statistics · 1995 · 4.8K citations
Statistical Inference Using Extreme Order Statistics
James Pickands · The Annals of Statistics · 1975 · 3.6K citations
Peter Christoffersen · International Economic Review · 1998 · 2.7K citations
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A Simple Approximate Long-Memory Model of Realized Volatility
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