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Measurement of aggregate risk with copulas

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References

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1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
1993Statistical Inference Procedures for Bivariate Archimedean Copulas1,252 cited
1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions1,227 cited
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1988Bivariate Extreme Value Theory: Models and Estimation569 cited
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1985Financial Markets254 cited

2002Multivariate extremes, aggregation and dependence in elliptical distributions251 cited

Cited by

2011Statistical Tools for Finance and Insurance159 cited
2006A goodness of fit test for copulas based on Rosenblatt's transformation131 cited
2004Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates120 cited
2007Fully Nested 3-Copula: Procedure and Application on Hydrological Data114 cited
2013Copula Modelling of Dependence in Multivariate Time Series104 cited
2009A copula-based closed-form binary logit choice model for accommodating spatial correlation across observational units98 cited
2005Nonlinear term structure dependence: Copula functions, empirics, and risk implications90 cited
2008Scoring on the stock exchange? The effect of football matches on stock market returns: an event study89 cited
2012Diversification evidence from international equity markets using extreme values and stochastic copulas86 cited
2014Hierarchical Archimedean Copulae: The HAC Package82 cited
2008The effects of misspecified marginals and copulas on computing the value at risk: A Monte Carlo study70 cited
2010Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study64 cited
2012Copula-GARCH versus dynamic conditional correlation: an empirical study on VaR and ES forecasting accuracy52 cited
2015Measuring systemic risk using vine-copula50 cited
2006Constructing Generalized FGM Copulas by Means of Certain Univariate Distributions49 cited
2004Modeling and Generating Dependent Risk Processes for IRM and DFA49 cited