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Crisis and risk dependencies
16 references·1 citing·36 second hop
Crisis and risk dependencies (2012)Crisis and risk dependenciesQuantitative Risk Management (2011)Quantitative Risk ManagementThe t Copula and Related Copulas (2007)The t Copula and Related Copu…Pair-copula constructions of multiple dependence (2007)Pair-copula constructions of …Measuring financial contagion: A Copula approach (2007)Measuring financial contagion…Goodness-of-fit tests for copulas: A review and a power study (2007)Goodness-of-fit tests for cop…Common Failings: How Corporate Defaults Are Correlated (2007)Common Failings: How Corporat…The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Copula-GARCH model of con…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation (2006)Goodness‐of‐fit Procedures fo…Dependence patterns across financial markets: a mixed copula approach (2006)Dependence patterns across fi…Copula Methods in Finance (2004)Copula Methods in FinanceAsymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…An Introduction to Copulas (1999)An Introduction to CopulasFamilies of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters (1996)Families of $m$-variate distr…Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics (2022)Corporate credit risk counter…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Multivariate Simultaneous Generalized ARCH (1995)Long-Term Global Market Correlations (2001)Modeling and Forecasting Realized Volatility (2001)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Statistical Modeling of Spatial Extremes (2012)Extreme Values, Regular Variation and Point Processes (1987)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Market Integration and Contagion (2005)Downside Risk (2006)Coherent Measures of Risk (1999)An Introduction to Statistical Modeling of Extreme Values (2001)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Dynamic Conditional Correlation: On Properties and Estimation (2013)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Introductory Econometrics for Finance (2008)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)
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Dependence patterns across financial markets: a mixed copula approach
393 cited

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  • 2022Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics28 cited