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Asymmetric extreme interdependence in emerging equity markets
16 references·6 citing·32 second hop
Asymmetric extreme interdependence in emerging equity markets (2005)Asymmetric extreme interdependence in eme…Modelling Dependence with Copulas and Applications to Risk Management (2003)Modelling Dependence with Cop…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…An Introduction to Statistical Modeling of Extreme Values (2001)An Introduction to Statistica…On Default Correlation (2000)On Default CorrelationNo Contagion, Only Interdependence: Measuring Stock Market Co-movements (1999)No Contagion, Only Interdepen…Dependence Measures for Extreme Value Analyses (1999)Dependence Measures for Extre…An Introduction to Copulas (1999)An Introduction to CopulasUnderstanding Relationships Using Copulas (1998)Understanding Relationships U…Modelling Extremal Events (1997)Modelling Extremal EventsIs the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Do Bulls and Bears Move Acros…Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Statistical Inference Procedu…Dependence structure and portfolio risk in Indian foreign exchange market: A GARCH-EVT-Copula approach (2017)Dependence structure and port…Unveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulas (2015)Unveiling investor-induced ch…Forecasting Based on Decomposed Financial Return Series: A Wavelet Analysis (2015)Forecasting Based on Decompos…The role of Chinese stock market in global stock markets: A safe haven or a hedge? (2009)The role of Chinese stock mar…Measuring the coupled risks: A copula-based CVaR model (2008)Measuring the coupled risks: …Robust Fits for Copula Models (2007)Robust Fits for Copula ModelsCoherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Top Incomes in the Long Run of History (2011)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)Regression Towards Mediocrity in Hereditary Stature. (1886)A distribution-free approach to inducing rank correlation among input variables (1982)The Asymptotic Theory of Extreme Order Statistics (1990)Copula Modeling: An Introduction for Practitioners (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)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)Idea Generation and the Quality of the Best Idea (2010)Quantitative Risk Management (2011)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Empirical properties of asset returns: stylized facts and statistical issues (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)
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References

  • 1999An Introduction to Copulas7,743 cited
  • 2001An Introduction to Statistical Modeling of Extreme Values7,338 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1997Modelling Extremal Events4,397 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 1998Understanding Relationships Using Copulas1,258 cited
  • 2000On Default Correlation1,257 cited
  • 1993Statistical Inference Procedures for Bivariate Archimedean Copulas1,252 cited
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  • 1999No Contagion, Only Interdependence: Measuring Stock Market Co-movements968 cited
  • 1994Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility874 cited

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1999
Dependence Measures for Extreme Value Analyses
802 cited

Cited by

  • 2015Unveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulas43 cited
  • 2015Forecasting Based on Decomposed Financial Return Series: A Wavelet Analysis38 cited
  • 2007Robust Fits for Copula Models38 cited
  • 2008Measuring the coupled risks: A copula-based CVaR model37 cited
  • 2009The role of Chinese stock market in global stock markets: A safe haven or a hedge?36 cited
  • 2017Dependence structure and portfolio risk in Indian foreign exchange market: A GARCH-EVT-Copula approach30 cited