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Measuring the coupled risks: A copula-based CVaR model
16 references·0 citing·42 second hop
Measuring the coupled risks: A copula-based CVaR model (2008)Measuring the coupled risks: A copula-bas…Measuring financial contagion: A Copula approach (2007)Measuring financial contagion…The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Copula-GARCH model of con…Estimation of copula-based semiparametric time series models (2005)Estimation of copula-based se…A General Approach to Integrated Risk Management with Skewed, Fat-tailed Risks* (2004)A General Approach to Integra…Risk Management: Value at Risk and Beyond (2003)Risk Management: Value at Ris…Risk Management: Value at Risk and Beyond (2002)Risk Management: Value at Ris…Dependence Structures for Multivariate High-Frequency Data in Finance (2002)Dependence Structures for Mul…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Optimization of conditional value-at-risk (2000)Optimization of conditional v…On Default Correlation (2000)On Default CorrelationGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…An Introduction to Copulas (1999)Coherent 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)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)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)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)A review of copula models for economic time series (2012)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)Credit Risk: Modeling, Valuation and Hedging (2004)Copula Modeling: An Introduction for Practitioners (2007)Quantitative Risk Management (2011)PORTFOLIO SELECTION* (1952)On the coherence of expected shortfall (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)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)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 2000On Default Correlation1,257 cited
  • 2007Measuring financial contagion: A Copula approach826 cited
  • 2006The Copula-GARCH model of conditional dependencies: An international stock market application784 cited
  • 2005Estimation of copula-based semiparametric time series models435 cited
  • 2002Dependence Structures for Multivariate High-Frequency Data in Finance381 cited
  • 2004A General Approach to Integrated Risk Management with Skewed, Fat-tailed Risks*351 cited
  • 2003Risk Management: Value at Risk and Beyond340 cited

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  • 2002Risk Management: Value at Risk and Beyond338 cited
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