Energy Economics · 2022 · 48 citations · 87 references
BusinessEconomicsFinanceEconometricsFinancial EconometricsFinancial EconomicsAsset Return ModelingDependence ModelingEquity RiskFinancial RiskMarket RiskVolatility ModelingCopula EstimationCopula ModelsCopula-based Risk ModelingGarch-based Risk ModelingGarch-based Value At RiskGeneralized Autoregressive Conditional Heteroskedasticity ModelsOil Price ShocksTime-varying Volatility Models
87
Roger Koenker, Gilbert W. Bassett · Econometrica · 1978 · 12.9K citations
Conditional Heteroskedasticity in Asset Returns: A New Approach
Daniel B. Nelson · Econometrica · 1991 · 10.4K citations
Economic Forces and the Stock Market
Nai‐Fu Chen, Richard Roll, Stephen A. Ross · The Journal of Business · 1986 · 5.4K citations
Oil and the Macroeconomy since World War II
James D. Hamilton · Journal of Political Economy · 1983 · 3.8K citations
Tobias Adrian, Markus K. Brunnermeier · American Economic Review · 2016 · 2.3K citations