GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets

CoVaR

Tobias Adrian, Markus K. Brunnermeier · American Economic Review · 2016 · 2.3K citations

Computing, Visualization, Human-computer Interaction +16

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

Viral V. Acharya, Robert F. Engle, Matthew Richardson · American Economic Review · 2012 · 1.2K citations

Business, Finance, Risk Management +17

There is a risk-return trade-off after all

Éric Ghysels, Pedro Santa‐Clara, Rossen Valkanov · Journal of Financial Economics · 2005 · 1.1K citations

Business, Economics, Finance +12

GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS

Drew Creal, Siem Jan Koopman, André Lucas · Journal of Applied Econometrics · 2012 · 1K citations · Full text

Social Sciences, Economics, Econometrics +16

MIDAS Regressions: Further Results and New Directions

Éric Ghysels, Arthur Sinko, Rossen Valkanov · Econometric Reviews · 2007 · 1K citations

Business, Economics, Finance +17