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Multivariate extremes for models with constant conditional correlations
7 references·16 citing·42 second hop
Multivariate extremes for models with constant conditional correlations (1999)Multivariate extremes for models with con…Sea and Wind: Multivariate Extremes at Work (1998)Sea and Wind: Multivariate Ex…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …Stationarity of Garch processes and of some nonnegative time series (1992)Stationarity of Garch process…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…On the exceedance point process for a stationary sequence (1988)On the exceedance point proce…Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…Extremes and related properties of random sequences and processes (1984)Extremes and related properti…Tail dependence and indicators of systemic risk for large US depositories (2014)Tail dependence and indicator…IDENTIFYING CONTAGION RISK IN THE INTERNATIONAL BANKING SYSTEM: AN EXTREME VALUE THEORY APPROACH (2012)IDENTIFYING CONTAGION RISK IN…ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA (2010)ON TAIL INDEX ESTIMATION FOR …Multivariate extremes and the aggregation of dependent risks: examples and counter-examples (2008)Multivariate extremes and the…Models for Dependent Extremes Using Stable Mixtures (2008)Models for Dependent Extremes…Hidden regular variation and the rank transform (2005)Hidden regular variation and …The simple economics of bank fragility (2004)The simple economics of bank …The Extremal Dependence Measure and Asymptotic Independence (2004)The Extremal Dependence Measu…On the foundations of multivariate heavy-tail analysis (2004)On the foundations of multiva…Extreme Contagion in Equity Markets (2004)Extreme Contagion in Equity M…Characterizations and Examples of Hidden Regular Variation (2004)Characterizations and Example…Hidden Regular Variation, Second Order Regular Variation and Asymptotic Independence (2002)Hidden Regular Variation, Sec…Extreme Contagion in Equity Markets (2002)Extreme Contagion in Equity M…Asymptotic independence and a network traffic model (2002)Asymptotic independence and a…Financial econometrics: Past developments and future challenges (2001)Financial econometrics: Past …A New Approach to Measuring Financial Contagion (2000)A New Approach to Measuring F…A Moment Estimator for the Index of an Extreme-Value Distribution (1989)Statistics for near independence in multivariate extreme values (1996)Asset Market Linkages in Crisis Periods (2004)Spatial modeling of extreme snow depth (2011)A review of quantification methodologies for multi-hazard interrelationships (2019)Dependence Measures for Extreme Value Analyses (1999)Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation (2009)Tails of multivariate Archimedean copulas (2009)Modeling Spatial Processes with Unknown Extremal Dependence Class (2018)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects (2004)Parametric and Nonparametric Volatility Measurement (2010)On extreme values in stationary sequences (1974)Extremes and local dependence in stationary sequences (1983)On a basis for ‘Peaks over Threshold’ modeling (1991)Markov chain models for threshold exceedances (1997)Regularly varying multivariate time series (2008)A Capital Asset Pricing Model with Time-Varying Covariances (1988)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Introductory Econometrics for Finance (2008)Modelling Extremal Events (1997)An Introduction to Copulas (1999)Rectangular Patchwork for Bivariate Copulas and Tail Dependence (2009)Beyond Value‐at‐Risk: GlueVaR Distortion Risk Measures (2013)What is the Best Risk Measure in Practice? A Comparison of Standard Measures (2013)The Variation of Certain Speculative Prices (1963)The arbitrage theory of capital asset pricing (1976)Bank Runs, Deposit Insurance, and Liquidity (1983)Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponents (2006)Fat tails, VaR and subadditivity (2012)Political risk and bank stability in the Middle East and North Africa region (2020)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes (1989)The tail index of exchange rate returns (1990)Extreme events: dynamics, statistics and prediction (2011)Extreme Correlation of International Equity Markets (2001)
this work references cited by second hop

References

  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1987Extreme Values, Regular Variation and Point Processes3,165 cited
  • 1992Stationarity of Garch processes and of some nonnegative time series567 cited
  • 1984Extremes and related properties of random sequences and processes485 cited
  • 1988On the exceedance point process for a stationary sequence240 cited
  • 1998Sea and Wind: Multivariate Extremes at Work219 cited

Cited by

  • 2002Hidden Regular Variation, Second Order Regular Variation and Asymptotic Independence159 cited
  • 2004The simple economics of bank fragility149 cited
  • 2008Multivariate extremes and the aggregation of dependent risks: examples and counter-examples137 cited
  • 2000A New Approach to Measuring Financial Contagion132 cited
  • 2004Extreme Contagion in Equity Markets114 cited
  • 2004Characterizations and Examples of Hidden Regular Variation104 cited
  • 2010ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA94 cited
  • 2002Asymptotic independence and a network traffic model

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79 cited
  • 2002Extreme Contagion in Equity Markets76 cited
  • 2001Financial econometrics: Past developments and future challenges75 cited
  • 2012IDENTIFYING CONTAGION RISK IN THE INTERNATIONAL BANKING SYSTEM: AN EXTREME VALUE THEORY APPROACH61 cited
  • 2004On the foundations of multivariate heavy-tail analysis59 cited
  • 2014Tail dependence and indicators of systemic risk for large US depositories56 cited
  • 2008Models for Dependent Extremes Using Stable Mixtures51 cited
  • 2005Hidden regular variation and the rank transform50 cited
  • 2004The Extremal Dependence Measure and Asymptotic Independence47 cited