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De copulis non est disputandum
16 references·1 citing·36 second hop
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References

  • 1999An Introduction to Copulas7,743 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1998Understanding Relationships Using Copulas1,258 cited
  • 1993Statistical Inference Procedures for Bivariate Archimedean Copulas1,252 cited
  • 2004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation670 cited
  • 2002Dependence Structures for Multivariate High-Frequency Data in Finance381 cited
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  • 2003Dependence structures for multivariate high-frequency data in finance320 cited
  • 1999Correlation: Pitfalls and Alternatives309 cited
  • 2003Dependent defaults in models of portfolio credit risk303 cited
  • 2008Sampling nested Archimedean copulas244 cited
  • 2003Dependent defaults in models of portfolio credit risk190 cited
  • 2012On the structure and estimation of hierarchical Archimedean copulas166 cited
  • 2004Sampling from Archimedean copulas163 cited
  • 1989A characterization of gumbel's family of extreme value distributions139 cited
  • 2006A goodness of fit test for copulas based on Rosenblatt's transformation

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  • 2013On spatial contagion and multivariate GARCH models24 cited