The DOI matches its Crossref record; 26 of the 26 references it cites were found in a registry or an index.
Systemic risk measurement: Multivariate GARCH estimation of CoVaR
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Citations
Cites
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Engle, R. (2002) · Journal of Business & Economic Statistics · doi:10.1198/073500102288618487 · Cited by 7,133
Christoffersen, P. F. (1998) · International Economic Review · doi:10.2307/2527341 · Cited by 2,669
Econometric measures of connectedness and systemic risk in the finance and insurance sectors
Billio, M., Getmansky, M., Lo, A. W., & Pelizzon, L. (2012) · Journal of Financial Economics · doi:10.1016/j.jfineco.2011.12.010 · Cited by 2,511
Techniques for Verifying the Accuracy of Risk Measurement Models
Kupiec, P. H. (1995) · The Journal of Derivatives · doi:10.3905/jod.1995.407942 · Cited by 2,427
Multivariate GARCH models: a survey
Bauwens, L., Laurent, S., & Rombouts, J. V. K. (2006) · Journal of Applied Econometrics · doi:10.1002/jae.842 · Cited by 2,045
Correlations in price changes and volatility across international stock markets
Hamao, Y., Masulis, R. W., & Ng, V. (1990) · Review of Financial Studies · doi:10.1093/rfs/3.2.281 · Cited by 1,926
Autoregressive Conditional Density Estimation
Hansen, B. E. (1994) · International Economic Review · doi:10.2307/2527081 · Cited by 1,575
Duffie, D., & Pan, J. (1997) · The Journal of Derivatives · doi:10.3905/jod.1997.407971 · Cited by 1,296
Cited by
Variational Mode Decomposition
Dragomiretskiy, K., & Zosso, D. (2014) · IEEE Transactions on Signal Processing · doi:10.1109/tsp.2013.2288675 · Cited by 9,184
Adrian, T., & Brunnermeier, M. K. (2016) · American Economic Review · doi:10.1257/aer.20120555 · Cited by 2,373
Metadata
- Authors
- Girardi, G., & Tolga Ergün, A.
- Venue
- Journal of Banking & Finance
- Publisher
- Elsevier BV
- Published
- 2013-08
- Volume
- 37
- Issue
- 8
- Pages
- 3169-3180
- ISSN
- 0378-4266 (ISSN-L)
- OpenAlex
- W3121823203
- Cited by
- 650
- References
- 26
- FWCI
- 28.12
- Type
- journal article
- Language
- en
- Open access
- green
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- Girardi, G., & Tolga Ergün, A. (2013). Systemic risk measurement: Multivariate GARCH estimation of CoVaR. Journal of Banking & Finance. https://doi.org/10.1016/j.jbankfin.2013.02.027
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
