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Cited by

• 2014Interdependence of oil prices and stock market indices: A copula approach155 cited
• 2006On the Tail Behavior of Sums of Dependent Risks72 cited
• 2005Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations66 cited
• 2006Stable limits of martingale transforms with application to the estimation of GARCH parameters63 cited
• 2016Modeling and predicting extreme cyber attack rates via marked point processes60 cited
• 2004On the foundations of multivariate heavy-tail analysis59 cited
• 2006On the extremal dependence coefficient of multivariate distributions50 cited
• 2004The Extremal Dependence Measure and Asymptotic Independence47 cited
• 2009On the estimation and application of max-stable processes46 cited
• 2006A Note on Some Properties of STUR Processes*40 cited
• 2009Random recurrence equations and ruin in a Markov-dependent stochastic economic environment40 cited
• 2011Financial Economics, Fat-Tailed Distributions40 cited
• 2013Value at risk forecasts by extreme value models in a conditional duration framework39 cited
• 2013Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation