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Nonparametric tests for constant tail dependence with an application to energy and finance
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Nonparametric tests for constant tail dependence with an application to energy and finance (2015)Nonparametric tests for constant tail dep…Structural breaks in time series (2012)Structural breaks in time ser…Quantitative Risk Management (2011)Quantitative Risk ManagementCopula Theory and Its Applications (2010)Copula Theory and Its Applica…Goodness-of-fit tests for copulas: A review and a power study (2007)Goodness-of-fit tests for cop…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Extreme Value Theory (2006)Extreme Value TheoryExtreme Value Theory : An Introduction (2006)Extreme Value Theory : An Int…Non‐parametric Estimation of Tail Dependence (2005)Non‐parametric Estimation of …Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification (2005)Estimation and model selectio…Estimating the tail-dependence coefficient: Properties and pitfalls (2005)Estimating the tail-dependenc…Modelling Dependence with Copulas and Applications to Risk Management (2003)Modelling Dependence with Cop…Handbook of Heavy Tailed Distributions in Finance (2003)Handbook of Heavy Tailed Dist…Dependence Structures for Multivariate High-Frequency Data in Finance (2002)Dependence Structures for Mul…Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation (2001)Using a Bootstrap Method to C…Modelling Extremal Events (1997)Modelling Extremal EventsA Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)A Semiparametric Estimation P…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Inference for single and multiple change‐points in time series (2013)A computationally efficient nonparametric approach for changepoint detection (2016)On optimal multiple changepoint algorithms for large data (2016)Extreme Values, Regular Variation and Point Processes (1987)Modelling of extremal events in insurance and finance (1994)An Introduction to Copulas (1999)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Measuring financial contagion: A Copula approach (2007)Green bond and financial markets: Co-movement, diversification and price spillover effects (2018)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)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)On Some Simple Estimates of an Exponent of Regular Variation (1982)On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1991)ARCH modeling in finance (1992)Value-at-Risk and Extreme Returns (2000)Value-at-risk versus expected shortfall: A practical perspective (2004)An Application of Extreme Value Theory for Measuring Financial Risk (2006)Multivariate Simultaneous Generalized ARCH (1995)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)Coherent Measures of Risk (1999)An Introduction to Statistical Modeling of Extreme Values (2001)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Dynamic Conditional Correlation: On Properties and Estimation (2013)Understanding Relationships Using Copulas (1998)The t Copula and Related Copulas (2007)Extreme-Value Copulas (2010)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)A review of quantification methodologies for multi-hazard interrelationships (2019)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Conditional value-at-risk for general loss distributions (2002)Stationary max-stable fields associated to negative definite functions (2009)Statistical Modeling of Spatial Extremes (2012)Risk management with expectiles (2015)
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  • 2005Non‐parametric Estimation of Tail Dependence333 cited
  • 2005

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Estimating the tail-dependence coefficient: Properties and pitfalls
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