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Handbook of heavy tailed distributions in finance
0 references·16 citing·45 second hopsampled
Handbook of heavy tailed distributions in finance (2003)Handbook of heavy tailed distributions in…Ricci curvature: An economic indicator for market fragility and systemic risk (2016)Ricci curvature: An economic …Do food and oil prices co-move? (2012)Do food and oil prices co-mov…The complete mixability and convex minimization problems with monotone marginal densities (2011)The complete mixability and c…Modelling oil price and exchange rate co-movements (2011)Modelling oil price and excha…How do crude oil prices co-move? (2011)How do crude oil prices co-mo…Pair-Copula Constructions of Multivariate Copulas (2010)Pair-Copula Constructions of …Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence (2010)Modeling Longitudinal Data Us…Tail dependence functions and vine copulas (2009)Tail dependence functions and…On the simplified pair-copula construction — Simply useful or too simplistic? (2009)On the simplified pair-copula…New Evidence of Asymmetric Dependence Structures in International Equity Markets (2008)New Evidence of Asymmetric De…Models for construction of multivariate dependence – a comparison study (2008)Models for construction of mu…Copula-based multivariate GARCH model with uncorrelated dependent errors (2008)Copula-based multivariate GAR…Coupled continuous time random walks in finance (2006)Coupled continuous time rando…Bayesian copula selection (2005)Bayesian copula selectionThe simple economics of bank fragility (2004)The simple economics of bank …Different Approaches to Risk Estimation in Portfolio Theory (2004)Different Approaches to Risk …Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)An Introduction to Copulas (1999)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)A time-varying copula approach to oil and stock market dependence: The case of transition economies (2013)A wavelet decomposition approach to crude oil price and exchange rate dependence (2013)The impact of energy prices on clean energy stock prices. 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  • 2011Modelling oil price and exchange rate co-movements378 cited
  • 2008Models for construction of multivariate dependence – a comparison study291 cited
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  • 2012Do food and oil prices co-move?263 cited
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  • 2004Different Approaches to Risk Estimation in Portfolio Theory253 cited
  • 2008New Evidence of Asymmetric Dependence Structures in International Equity Markets251 cited
  • 2005Bayesian copula selection243 cited
  • 2009On the simplified pair-copula construction — Simply useful or too simplistic?224 cited
  • 2006Coupled continuous time random walks in finance206 cited
  • 2010Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence172 cited
  • 2008Copula-based multivariate GARCH model with uncorrelated dependent errors163 cited
  • 2004The simple economics of bank fragility149 cited
  • 2011The complete mixability and convex minimization problems with monotone marginal densities

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141 cited
  • 2016Ricci curvature: An economic indicator for market fragility and systemic risk134 cited