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Tails of correlation mixtures of elliptical copulas
16 references·7 citing·43 second hop
Tails of correlation mixtures of elliptical copulas (2010)Tails of correlation mixtures of elliptic…Dynamic stochastic copula models: estimation, inference and applications (2010)Dynamic stochastic copula mod…The t Copula and Related Copulas (2007)The t Copula and Related Copu…Modelling Financial Time Series (2007)Modelling Financial Time Seri…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Estimating the tail-dependence coefficient: Properties and pitfalls (2005)Estimating the tail-dependenc…Univariate and multivariate stochastic volatility models: estimation and diagnostics (2003)Univariate and multivariate s…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…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Dependence Measures for Extreme Value Analyses (1999)Dependence Measures for Extre…Statistics for near independence in multivariate extreme values (1996)Statistics for near independe…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Forecasting International Equity Correlations (1994)Forecasting International Equ…Modelling financial time series (1987)Modelling financial time seri…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures (2019)Measuring tail risk with GAS …Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae (2018)Forecasting the joint distrib…Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models (2016)Modeling high‐dimensional tim…Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data (2015)Are benefits from oil–stocks …Copulas, diagonals, and tail dependence (2014)Copulas, diagonals, and tail …Extremes and products of multivariate AC-product risks (2013)Extremes and products of mult…Exact tail asymptotics in bivariate scale mixture models (2011)Exact tail asymptotics in biv…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)Extreme Values, Regular Variation and Point Processes (1987)Models for Exceedances Over High Thresholds (1990)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)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)The variation of certain speculative prices (1997)The Behavior of Stock-Market Prices (1965)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)International Market Correlation and Volatility (1996)The Distribution of Exchange Rate Volatility (1999)The Distribution of Stock Return Volatility (2000)Multivariate Stochastic Variance Models (1994)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)Statistical Modeling of Spatial Extremes (2012)
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  • 2002Dynamic Conditional Correlation7,126 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 2007The t Copula and Related Copulas964 cited
  • 1999Dependence Measures for Extreme Value Analyses802 cited
  • 1996Statistics for near independence in multivariate extreme values742 cited
  • 1994Forecasting International Equity Correlations521 cited
  • 2003Risk Management: Value at Risk and Beyond340 cited
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  • 2005Estimating the tail-dependence coefficient: Properties and pitfalls328 cited
  • 1987Modelling financial time series282 cited
  • 2003Univariate and multivariate stochastic volatility models: estimation and diagnostics259 cited
  • 2010Dynamic stochastic copula models: estimation, inference and applications

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186 cited

Cited by

  • 2015Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data78 cited
  • 2014Copulas, diagonals, and tail dependence45 cited
  • 2016Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models45 cited
  • 2019Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures43 cited
  • 2011Exact tail asymptotics in bivariate scale mixture models40 cited
  • 2013Extremes and products of multivariate AC-product risks37 cited
  • 2018Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae35 cited