Financial Risk and Volatility Modeling
Topics
Description: This cluster of papers focuses on modeling and forecasting financial volatility, including topics such as GARCH models, copula modeling, stochastic volatility, contagion, dependence, realized volatili... more
Related topics (siblings) Banking stability, regulation, efficiency, Capital Investment and Risk Analysis, Community Development and Social Impact, Credit Risk and Financial Regulations, European Monetary and Fiscal Policies +10 more
Subfield (parent): Finance
Domain: Social Sciences
Works count: 40,290
Citations count: 976,100
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
1979 · David A. Dickey, Wayne A. Fuller · Journal of the American Statistical Association
Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
1981 · David A. Dickey, Wayne A. Fuller · Econometrica
Large Sample Properties of Generalized Method of Moments Estimators
1982 · Lars Peter Hansen · Econometrica