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Tail order and intermediate tail dependence of multivariate copulas
15 references·16 citing·35 second hop
Tail order and intermediate tail dependence of multivariate copulas (2011)Tail order and intermediate tail dependen…Quantitative Risk Management (2011)Quantitative Risk ManagementTail dependence functions and vine copulas (2009)Tail dependence functions and…Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copu…Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copu…New Evidence of Asymmetric Dependence Structures in International Equity Markets (2008)New Evidence of Asymmetric De…Pair-copula constructions of multiple dependence (2007)Pair-copula constructions of …MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…An Introduction to Copulas (Springer Series in Statistics) (2006)An Introduction to Copulas (S…Dependence Measures for Extreme Value Analyses (1999)Dependence Measures for Extre…An Introduction to Copulas (1999)An Introduction to CopulasModelling Dependence within Joint Tail Regions (1997)Modelling Dependence within J…Statistics for near independence in multivariate extreme values (1996)Statistics for near independe…Asymptotic approximations for probability integrals (1989)Asymptotic approximations for…Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données (1986)Copules archimédiennes et fam…Determining the dependence structure of multivariate extremes (2020)Determining the dependence st…Advances in statistical modeling of spatial extremes (2020)Advances in statistical model…Prediction based on conditional distributions of vine copulas (2019)Prediction based on condition…Model selection for discrete regular vine copulas (2016)Model selection for discrete …Factor Copula Models for Replicated Spatial Data (2016)Factor Copula Models for Repl…Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests (2016)Extreme risk modeling: An EVT…Conditional quantiles and tail dependence (2015)Conditional quantiles and tai…A vine copula mixed effect model for trivariate meta-analysis of diagnostic test accuracy studies accounting for disease prevalence (2015)A vine copula mixed effect mo…A mixed effect model for bivariate meta‐analysis of diagnostic test accuracy studies using a copula representation of the random effects distribution (2015)A mixed effect model for biva…Tail-weighted measures of dependence (2014)Tail-weighted measures of dep…Structured factor copula models: Theory, inference and computation (2014)Structured factor copula mode…Copulas, diagonals, and tail dependence (2014)Copulas, diagonals, and tail …Strength of tail dependence based on conditional tail expectation (2013)Strength of tail dependence b…Tail comonotonicity: Properties, constructions, and asymptotic additivity of risk measures (2012)Tail comonotonicity: Properti…Measures of tail asymmetry for bivariate copulas (2012)Measures of tail asymmetry fo…Second order regular variation and conditional tail expectation of multiple risks (2011)Second order regular variatio…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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Understanding Relationships Using Copulas (1998)Asymptotics of empirical copula processes under non-restrictive smoothness assumptions (2012)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)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)Copula Methods in Finance (2004)Construction of asymmetric multivariate copulas (2008)Models for construction of multivariate dependence – a comparison study (2008)Modelling Extremal Events (1997)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)Copula Theory: An Introduction (2010)Extreme-Value Copulas (2010)A review of quantification methodologies for multi-hazard interrelationships (2019)Modelling of extremal events in insurance and finance (1994)Extreme Correlation of International Equity Markets (2001)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Statistical Modeling of Spatial Extremes (2012)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

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  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 2011Quantitative Risk Management985 cited
  • 2006An Introduction to Copulas (Springer Series in Statistics)882 cited
  • 1999Dependence Measures for Extreme Value Analyses802 cited
  • 1996Statistics for near independence in multivariate extreme values742 cited
  • 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions598 cited
  • 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions510 cited
  • 1997Modelling Dependence within Joint Tail Regions424 cited
  • 1986Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données412 cited
  • 2009Tail dependence functions and vine copulas284 cited
  • 2008New Evidence of Asymmetric Dependence Structures in International Equity Markets251 cited
  • 1989Asymptotic approximations for probability integrals200 cited

Cited by

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  • 2011Second order regular variation and conditional tail expectation of multiple risks107 cited
  • 2020Advances in statistical modeling of spatial extremes99 cited
  • 2016Factor Copula Models for Replicated Spatial Data83 cited
  • 2014Structured factor copula models: Theory, inference and computation77 cited
  • 2015Conditional quantiles and tail dependence74 cited
  • 2016Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests54 cited
  • 2019Prediction based on conditional distributions of vine copulas50 cited
  • 2015A mixed effect model for bivariate meta‐analysis of diagnostic test accuracy studies using a copula representation of the random effects distribution45 cited
  • 2014Copulas, diagonals, and tail dependence45 cited
  • 2020Determining the dependence structure of multivariate extremes40 cited
  • 2016Model selection for discrete regular vine copulas39 cited
  • 2012Tail comonotonicity: Properties, constructions, and asymptotic additivity of risk measures36 cited
  • 2015A vine copula mixed effect model for trivariate meta-analysis of diagnostic test accuracy studies accounting for disease prevalence34 cited
  • 2012Measures of tail asymmetry for bivariate copulas34 cited
  • 2014Tail-weighted measures of dependence34 cited
  • 2013Strength of tail dependence based on conditional tail expectation34 cited