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The conditional dependence structure of insurance sector credit default swap indices
16 references·0 citing·41 second hop
The conditional dependence structure of insurance sector credit default swap indices (2014)The conditional dependence structure of i…Systemic Risk and the Interconnectedness Between Banks and Insurers: An Econometric Analysis (2013)Systemic Risk and the Interco…Relationships between Financial Sectors’ CDS Spreads and Other Gauges of Risk: Did the Great Recession Change Them? (2013)Relationships between Financi…Dependence structure between CEEC-3 and German government securities markets (2013)Dependence structure between …Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach (2012)Conditional dependence struct…Financial CDS, stock market and interest rates: Which drives which? (2011)Financial CDS, stock market a…Dynamics of CDS spread indexes of US financial sectors (2011)Dynamics of CDS spread indexe…Asymmetric convergence in US financial credit default swap sector index markets (2011)Asymmetric convergence in US …The Financial Crisis, Systemic Risk, and the Future of Insurance Regulation (2009)The Financial Crisis, Systemi…A goodness-of-fit test for multivariate multiparameter copulas based on multiplier central limit theorems (2009)A goodness-of-fit test for mu…Copula-based multivariate GARCH model with uncorrelated dependent errors (2008)Copula-based multivariate GAR…Goodness-of-fit tests for copulas: A review and a power study (2007)Goodness-of-fit tests for cop…Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Extreme Value Dependence in F…A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)A Semiparametric Estimation P…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données (1986)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)The Behavior of Stock-Market Prices (1965)Generalized autoregressive conditional heteroskedasticity (1986)A time-varying copula approach to oil and stock market dependence: The case of transition economies (2013)Uncertainty and Crude Oil Returns (2015)Forecasting oil price realized volatility using information channels from other asset classes (2017)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)An Introduction to Copulas (1999)Copula Methods in Finance (2004)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)A review of copula models for economic time series (2012)Probit transformation for nonparametric kernel estimation of the copula density (2017)Common risk factors in the returns on stocks and bonds (1993)Dynamic Conditional Correlation (2002)Copula–Based Models for Financial Time Series (2009)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literature (2001)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)The Financial Crisis and the Policy Responses: An Empirical Analysis of What Went Wrong (2009)Systemic Risk and The U.S. Insurance Sector (2014)Understanding systemic risk induced by climate change (2021)PORTFOLIO SELECTION* (1952)Coherent Measures of Risk (1999)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Measuring financial contagion: A Copula approach (2007)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)A test for independence based on the correlation dimension (1996)Modeling and Forecasting Realized Volatility (2003)Change Detection and the Causal Impact of the Yield Curve (2018)Exploring Financial Market Interconnectedness Through CDS Spreads: A Network Estimation Approach (2025)Multivariate GARCH models: a surveyAsymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Multivariate GARCH models: a survey (2006)The Cross‐Section of Volatility and Expected Returns (2006)
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References

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  • 1994Threshold heteroskedastic models2,346 cited
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  • 2009A goodness-of-fit test for multivariate multiparameter copulas based on multiplier central limit theorems118 cited
  • 2011Financial CDS, stock market and interest rates: Which drives which?61 cited
  • 2011Dynamics of CDS spread indexes of US financial sectors27 cited
  • 2013Dependence structure between CEEC-3 and German government securities markets

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19 cited
  • 2013Relationships between Financial Sectors’ CDS Spreads and Other Gauges of Risk: Did the Great Recession Change Them?19 cited
  • 2011Asymmetric convergence in US financial credit default swap sector index markets17 cited
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