References

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• 1988Testing for a Unit Root in Time Series Regression19,288 cited
• 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
• 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
• 1999An Introduction to Copulas7,743 cited
• 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
• 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
• 2001Extreme Correlation of International Equity Markets2,608 cited
• 1994Threshold heteroskedastic models2,294 cited
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• 2002International Asset Allocation With Regime Shifts1,779 cited
• 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
• 2002Asymmetric correlations of equity portfolios1,530 cited
• 1998Evaluating Density Forecasts with Applications to Financial Risk Management