An Overview of Value at Risk

The Pricing of Options and Corporate Liabilities

1973 • 29,036 citations

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

1993 • 8,830 citations

Time Series: Theory and Methods

1992 • 5,310 citations

ARCH modeling in finance

1992 • 4,478 citations

The Pricing of Options on Assets with Stochastic Volatilities

1987 • 3,897 citations

Martingales and arbitrage in multiperiod securities markets

1979 • 3,734 citations

Probability: Theory and Examples.

1992 • 3,554 citations

Dynamic Asset Pricing Theory.

1993 • 3,202 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

Analysis of time series subject to changes in regime

1990 • 1,948 citations

The Extreme Value Method for Estimating the Variance of the Rate of Return

1980 • 1,853 citations

Implied Binomial Trees

1994 • 1,767 citations

Multivariate Stochastic Variance Models

1994 • 1,417 citations

The overvaluation of purchasing power parity

1998 • 1,243 citations

The Pricing of Options on Assets with Stochastic Volatilities

1987 • 1,217 citations

Stochastic flows and stochastic differential equations

1990 • 1,127 citations

Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application

1987 • 987 citations

ARCH models as diffusion approximations

1990 • 974 citations

Option values under stochastic volatility: Theory and empirical estimates

1987 • 928 citations

A Review of Financial Studies (1)

1994 • 707 citations

Stock market volatility and the information content of stock index options

1992 • 704 citations

Bond and Option Pricing when Short Rates are Lognormal

1991 • 694 citations

The Informational Content of Implied Volatility

1993 • 691 citations

On Jump Processes in the Foreign Exchange and Stock Markets

1988 • 657 citations

Estimating Variance From High, Low and Closing Prices

1991 • 590 citations

Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities

1993 • 588 citations

The Variability of the Market Factor of the New York Stock Exchange

1973 • 481 citations

Option Pricing when the Variance is Changing

1987 • 398 citations

Standard deviations implied in option prices as predictors of future stock price variability

1981 • 388 citations

THEORY OF RISK CAPITAL IN FINANCIAL FIRMS

1993 • 371 citations

The informational content of implied volatility

1993 • 334 citations

Evaluation of Value-at-Risk Models Using Historical Data

1996 • 179 citations

Scenario Simulation: Theory and methodology

1996 • 164 citations

High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility

1998 • 156 citations

Bank Capital and Value at Risk

1997 • 127 citations

The forecasting ability of correlations implied in foreign exchange options

1998 • 109 citations

Value at Risk

1997 • 105 citations

Volatility Prediction

1994 • 94 citations

Currency Hedging over Long Horizons

1993 • 70 citations

The Information Content of Prices in Derivative Security Markets

1992 • 46 citations

Untitled

1997 • 40 citations

Small noise expansion and importance sampling

1997 • 37 citations

Fast valuation of financial derivatives

1997 • 22 citations

The price risk of options positions: measurement and capital requirements

1994 • 18 citations

Improving Value-at-Risk Estimates by Combining Kernel Estimation with Historical Simulation

1996 • 16 citations

Taylor, Black and Scholes: series approximations and risk management pitfalls

1995 • 16 citations

The Analysis of VAR, Deltas and State Prices: A New Approach

1996 • 12 citations

Calculation of value at risk and risk,return simulation

1996 • 10 citations

Risk Management, Capital Budgeting and Capital Structure Policy for Financial Institutions: An Integrated Approach

1996 • 8 citations

Systemic risk facing the world's financial institutions

1996 • 2 citations