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Revisiting the Dependence between Financial Markets with Copulas
16 references·8 citing·25 second hop
Revisiting the Dependence between Financial Markets with Copulas (2007)Revisiting the Dependence between Financi…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…A Rational Expectations Model of Financial Contagion (2002)A Rational Expectations Model…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…On crises, contagion, and confusion (2000)On crises, contagion, and con…An Introduction to Copulas (1999)An Introduction to CopulasUnderstanding Relationships Using Copulas (1998)Understanding Relationships U…Leading Indicators of Currency Crises (1998)Leading Indicators of Currenc…Modelling Extremal Events (1997)Modelling Extremal EventsCurrency crashes in emerging markets: An empirical treatment (1996)Currency crashes in emerging …Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…The Asymptotic Theory of Extreme Order Statistics (1990)The Asymptotic Theory of Extr…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…A Model of Balance-of-Payments Crises (1979)A Model of Balance-of-Payment…Leverage versus volatility: Evidence from the capital structure of European firms (2017)Leverage versus volatility: E…Contagion effects in selected European capital markets during the financial crisis of 2007–2009 (2016)Contagion effects in selected…The role of Chinese stock market in global stock markets: A safe haven or a hedge? (2009)The role of Chinese stock mar…Is global diversification rational? Evidence from emerging equity markets through mixed copula approach (2008)Is global diversification rat…Dynamic Copula Quantile Regressions and Tail Area Dynamic Dependence in Forex Markets (2008)Dynamic Copula Quantile Regre…How long memory in volatility affects true dependence structure (2007)How long memory in volatility…Credit Risk Models I: Default Correlation in Intensity Models (2006)Credit Risk Models I: Default…The Euro and European Financial Market Dependence (2005)The Euro and European Financi…Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Top Incomes in the Long Run of History (2011)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)The Modern History of Exchange Rate Arrangements: A Reinterpretation (2004)From Financial Crash to Debt Crisis (2011)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)Empirical properties of asset returns: stylized facts and statistical issues (2001)Economic Crises: Evidence and Insights from East Asia (1998)What caused the Asian currency and financial crisis? (1999)MACROPRUDENTIAL POLICY – A LITERATURE REVIEW (2010)
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References

  • 1999An Introduction to Copulas7,743 cited
  • 1997Modelling Extremal Events4,397 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1979A Model of Balance-of-Payments Crises2,927 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1996Currency crashes in emerging markets: An empirical treatment1,940 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1998Leading Indicators of Currency Crises1,857 cited
  • 1990The Asymptotic Theory of Extreme Order Statistics1,830 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 2000On crises, contagion, and confusion1,270 cited
  • 1998Understanding Relationships Using Copulas1,258 cited
  • 2002A Rational Expectations Model of Financial Contagion

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1,080 cited

Cited by

  • 2006Credit Risk Models I: Default Correlation in Intensity Models40 cited
  • 2009The role of Chinese stock market in global stock markets: A safe haven or a hedge?36 cited
  • 2005The Euro and European Financial Market Dependence33 cited
  • 2016Contagion effects in selected European capital markets during the financial crisis of 2007–200928 cited
  • 2007How long memory in volatility affects true dependence structure28 cited
  • 2008Is global diversification rational? Evidence from emerging equity markets through mixed copula approach26 cited
  • 2008Dynamic Copula Quantile Regressions and Tail Area Dynamic Dependence in Forex Markets23 cited
  • 2017Leverage versus volatility: Evidence from the capital structure of European firms22 cited