P. Vlaar

Economics and Econometrics · 2000–2005

A researcher in the Science corpus: 2 papers; trusts 3 researchers and is trusted by 9 researchers here, as inferred from the citation graph.

Subfields

Whom P. Vlaar trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

  1. Robert F. Engle
  2. Tim Bollerslev
  3. Eugene F. Fama
  4. Y. Tse

Who trusts P. Vlaar overall

  1. Esther Ruiz
  2. P. Giot
  3. José A. López
  4. Timotheos Angelidis
  5. Alfred Lehar
  6. Kevin Dowd

Papers from P. Vlaar's perspective

Ordered by how strongly the researchers P. Vlaar trusts endorse each paper. Same corpus, a different order for every researcher.

  1. Generalized autoregressive conditional heteroskedasticity
  2. A test for constant correlations in a multivariate GARCH model
  3. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
  4. Extreme Correlation of International Equity Markets
  5. No Contagion, Only Interdependence: Measuring Stock Market Comovements
  6. Time-Varying Smooth Transition Autoregressive Models
  7. The jump-risk premia implicit in options: evidence from an integrated time-series study $
  8. A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
  9. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
  10. Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach

Their papers