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A vine-copula conditional value-at-risk approach to systemic sovereign debt risk for the financial sector
16 references·2 citing·38 second hop
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1999An Introduction to Copulas7,743 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 2004Copula Methods in Finance2,013 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2009The Aftermath of Financial Crises1,509 cited
  • 2009Back to the basics in banking? A micro-analysis of banking system stability662 cited
  • 2012Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR658 cited
  • 2009A framework for assessing the systemic risk of major financial institutions638 cited
  • 2005Measuring systemic risk: A risk management approach527 cited
  • 2013Is gold a safe haven or a hedge for the US dollar? Implications for risk management515 cited
  • 2014Is there dependence and systemic risk between oil and renewable energy stock prices?469 cited
  • 2010Growth in a Time of Debt438 cited

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  • 2002Dependence Structures for Multivariate High-Frequency Data in Finance381 cited
  • Cited by

    • 2024Interconnectedness and systemic risk: Evidence from global stock markets33 cited
    • 2018Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach32 cited