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Copulas: Tales and facts
16 references·16 citing·25 second hopsampled
Copulas: Tales and facts (2006)Copulas: Tales and factsNumerical solution of stochastic differential equations (2016)Numerical solution of stochas…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Regular variation of GARCH processes (2002)Regular variation of GARCH pr…Introduction to Time Series and Forecasting (2002)Introduction to Time Series a…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Extreme Value Distributions: Theory and Applications (2000)Extreme Value Distributions: …Extreme Value Distributions (2000)Extreme Value DistributionsAn Introduction to Copulas (1999)An Introduction to CopulasModelling Extremal Events (1997)Modelling Extremal EventsIntroduction to Time Series and Forecasting (1996)Introduction to Time Series a…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Statistical Inference Procedu…The Asymptotic Theory of Extreme Order Statistics (1990)The Asymptotic Theory of Extr…Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…Copula modeling for discrete random vectors (2020)Copula modeling for discrete …Power outages and firm performance in Sub-Saharan Africa (2018)Power outages and firm perfor…Extremal Dependence Concepts (2015)Extremal Dependence ConceptsStatistics and Quantitative Risk Management for Banking and Insurance (2014)Statistics and Quantitative R…Copulas in Econometrics (2014)Copulas in EconometricsExtreme value copulas and max-stable processes (2013)Extreme value copulas and max…Some aspects of modeling dependence in copula-based Markov chains (2012)Some aspects of modeling depe…A Survey on Time-Varying Copulas: Specification, Simulations, and Application (2012)A Survey on Time-Varying Copu…Conditioning on an extreme component: Model consistency with regular variation on cones (2011)Conditioning on an extreme co…THE JOINT DISTRIBUTION OF STOCK RETURNS IS NOT ELLIPTICAL (2010)THE JOINT DISTRIBUTION OF STO…International diversification: A copula approach (2010)International diversification…Copula Theory: An Introduction (2010)Copula Theory: An IntroductionCopulas: A Personal View (2009)Copulas: A Personal ViewPricing kth-to-default swaps under default contagion: the matrix analytic approach (2008)Pricing kth-to-default swaps …Multivariate extremes and the aggregation of dependent risks: examples and counter-examples (2008)Multivariate extremes and the…Extreme value properties of multivariate t copulas (2008)Extreme value properties of m…Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Analysis of Financial Time Series (2006)Cross‐validation strategies for data with temporal, spatial, hierarchical, or phylogenetic structure (2016)Financial time series forecasting model based on CEEMDAN and LSTM (2018)Conditional value-at-risk for general loss distributions (2002)Top Incomes in the Long Run of History (2011)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Basel Committee On Banking Supervision (2010)A review of copula models for economic time series (2012)Extreme Correlation of International Equity Markets (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)Empirical properties of asset returns: stylized facts and statistical issues (2001)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1999An Introduction to Copulas7,743 cited
  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 1997Modelling Extremal Events4,397 cited
  • 2002Introduction to Time Series and Forecasting3,913 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1987Extreme Values, Regular Variation and Point Processes3,165 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 1990The Asymptotic Theory of Extreme Order Statistics1,830 cited
  • 1993Statistical Inference Procedures for Bivariate Archimedean Copulas1,252 cited
  • 2000Extreme Value Distributions: Theory and Applications1,010 cited
  • 2000Extreme Value Distributions806 cited
  • 1996Introduction to Time Series and Forecasting584 cited
  • 2002Regular variation of GARCH processes

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359 cited

Cited by

  • 2018Power outages and firm performance in Sub-Saharan Africa249 cited
  • 2010Copula Theory: An Introduction226 cited
  • 2009Copulas: A Personal View204 cited
  • 2012A Survey on Time-Varying Copulas: Specification, Simulations, and Application156 cited
  • 2008Multivariate extremes and the aggregation of dependent risks: examples and counter-examples137 cited
  • 2008Extreme value properties of multivariate t copulas125 cited
  • 2015Extremal Dependence Concepts108 cited
  • 2010International diversification: A copula approach102 cited
  • 2014Copulas in Econometrics92 cited
  • 2014Statistics and Quantitative Risk Management for Banking and Insurance66 cited
  • 2010THE JOINT DISTRIBUTION OF STOCK RETURNS IS NOT ELLIPTICAL59 cited
  • 2013Extreme value copulas and max-stable processes56 cited
  • 2008Pricing kth-to-default swaps under default contagion: the matrix analytic approach55 cited
  • 2012Some aspects of modeling dependence in copula-based Markov chains53 cited
  • 2011Conditioning on an extreme component: Model consistency with regular variation on cones51 cited
  • 2020Copula modeling for discrete random vectors48 cited