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Empirical estimation of tail dependence using copulas: application to Asian markets
13 references·15 citing·39 second hop
Empirical estimation of tail dependence using copulas: application to Asian markets (2005)Empirical estimation of tail dependence u…Testing the Gaussian copula hypothesis for financial assets dependences (2003)Testing the Gaussian copula h…Risk Management: Value at Risk and Beyond (2003)Risk Management: Value at Ris…Dependence structures for multivariate high-frequency data in finance (2003)Dependence structures for mul…Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula (2001)Modelling Time-Varying Exchan…A Directory of Coefficients of Tail Dependence (2000)A Directory of Coefficients o…Dependence Measures for Extreme Value Analyses (1999)Dependence Measures for Extre…Understanding Relationships Using Copulas (1998)Understanding Relationships U…Concomitant tail behaviour for extremes (1998)Concomitant tail behaviour fo…Pitfalls in Tests for Changes in Correlations (1997)Pitfalls in Tests for Changes…Statistics for near independence in multivariate extreme values (1996)Statistics for near independe…A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)A Semiparametric Estimation P…The Joy of Copulas: Bivariate Distributions with Uniform Marginals (1986)The Joy of Copulas: Bivariate…Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données (1986)Copules archimédiennes et fam…Extreme risk dependence between green bonds and financial markets (2023)Extreme risk dependence betwe…The dark side of Bitcoin: Do Emerging Asian Islamic markets help subdue the ethical risk? (2022)The dark side of Bitcoin: Do …Copula ARMA-GARCH modelling of spatially and temporally correlated time series data for transportation planning use (2022)Copula ARMA-GARCH modelling o…The shifting dependence dynamics between the G7 stock markets (2018)The shifting dependence dynam…Detecting exchange rate contagion using copula functions (2018)Detecting exchange rate conta…A new time-varying optimal copula model identifying the dependence across markets (2016)A new time-varying optimal co…Nonparametric tests for constant tail dependence with an application to energy and finance (2015)Nonparametric tests for const…LATIN AMERICAN EXCHANGE RATE DEPENDENCIES: A REGULAR VINE COPULA APPROACH (2014)LATIN AMERICAN EXCHANGE RATE …Estimation of risk measures in energy portfolios using modern copula techniques (2014)Estimation of risk measures i…Global Financial Crisis, Extreme Interdependences, and Contagion E§ects: The Role of Economic Structure (2010)Global Financial Crisis, Extr…Copula Estimation (2010)Copula EstimationChange analysis of a dynamic copula for measuring dependence in multivariate financial data (2009)Change analysis of a dynamic …A multivariate Lévy process model with linear correlation (2009)A multivariate Lévy process m…Credit‐default swap rates and equity volatility: a nonlinear relationship (2006)Credit‐default swap rates and…How can we Define the Concept of Long Memory? An Econometric Survey (2005)How can we Define the Concept…Extreme Values, Regular Variation and Point Processes (1987)Models for Exceedances Over High Thresholds (1990)An Introduction to Copulas (1999)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)Forecast Verification (2011)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Is the correlation in international equity returns constant: 1960–1990? (1995)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Financial market integration in Europe: on the effects of EMU on stock markets (2002)News spillovers in the sovereign debt market (2005)Flights and contagion—An empirical analysis of stock–bond correlations (2008)Ordinal Measures of Association (1958)The Performance of Some Correlation Coefficients for a General Bivariate Distribution (1960)On Nonparametric Measures of Dependence for Random Variables (1981)Weak convergence of empirical copula processes (2004)Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation (2006)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)On Default Correlation (2000)Copula Modeling: An Introduction for Practitioners (2007)Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. (1962)Spectral risk measures and portfolio selection (2008)Commodity and equity markets: Some stylized facts from a copula approach (2013)Uncertainty and Crude Oil Returns (2015)Goodness-of-fit tests for copulas: A review and a power study (2007)The t Copula and Related Copulas (2007)Networks of equities in financial markets (2004)Value-at-risk versus expected shortfall: A practical perspective (2004)Estimating the tail-dependence coefficient: Properties and pitfalls (2005)Enjoy the Joy of Copulas: With a Packagecopula (2007)Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Statistical Modeling of Spatial Extremes (2012)Modelling oil price and exchange rate co-movements (2011)Is gold a hedge or safe haven against oil price movements? (2013)Is there dependence and systemic risk between oil and renewable energy stock prices? (2014)
this work references cited by second hop

References

  • 1998Understanding Relationships Using Copulas1,258 cited
  • 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions1,227 cited
  • 1999Dependence Measures for Extreme Value Analyses802 cited
  • 1986The Joy of Copulas: Bivariate Distributions with Uniform Marginals790 cited
  • 1996Statistics for near independence in multivariate extreme values742 cited
  • 1986Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données412 cited
  • 1997Pitfalls in Tests for Changes in Correlations381 cited
  • 2003Risk Management: Value at Risk and Beyond340 cited
  • 2003Dependence structures for multivariate high-frequency data in finance320 cited
  • 2003Testing the Gaussian copula hypothesis for financial assets dependences198 cited
  • 2001Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula180 cited
  • 2000A Directory of Coefficients of Tail Dependence144 cited
  • 1998Concomitant tail behaviour for extremes110 cited

Cited by

  • 2005How can we Define the Concept of Long Memory? An Econometric Survey101 cited
  • 2016A new time-varying optimal copula model identifying the dependence across markets

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78 cited
  • 2022The dark side of Bitcoin: Do Emerging Asian Islamic markets help subdue the ethical risk?66 cited
  • 2010Copula Estimation65 cited
  • 2023Extreme risk dependence between green bonds and financial markets55 cited
  • 2009Change analysis of a dynamic copula for measuring dependence in multivariate financial data52 cited
  • 2018The shifting dependence dynamics between the G7 stock markets51 cited
  • 2014LATIN AMERICAN EXCHANGE RATE DEPENDENCIES: A REGULAR VINE COPULA APPROACH38 cited
  • 2015Nonparametric tests for constant tail dependence with an application to energy and finance33 cited
  • 2018Detecting exchange rate contagion using copula functions27 cited
  • 2022Copula ARMA-GARCH modelling of spatially and temporally correlated time series data for transportation planning use26 cited
  • 2009A multivariate Lévy process model with linear correlation25 cited
  • 2014Estimation of risk measures in energy portfolios using modern copula techniques24 cited
  • 2010Global Financial Crisis, Extreme Interdependences, and Contagion E§ects: The Role of Economic Structure24 cited
  • 2006Credit‐default swap rates and equity volatility: a nonlinear relationship22 cited