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An order of asymmetry in copulas, and implications for risk management
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An order of asymmetry in copulas, and implications for risk management (2016)An order of asymmetry in copulas, and imp…Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads (2013)Time-Varying Systemic Risk: E…Copulae in Mathematical and Quantitative Finance (2013)Copulae in Mathematical and Q…Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Is the Potential for Internat…Tests of symmetry for bivariate copulas (2011)Tests of symmetry for bivaria…A goodness-of-fit test for bivariate extreme-value copulas (2011)A goodness-of-fit test for bi…From Archimedean to Liouville copulas (2010)From Archimedean to Liouville…Rectangular Patchwork for Bivariate Copulas and Tail Dependence (2009)Rectangular Patchwork for Biv…Gluing Copulas (2008)Gluing CopulasConstruction of asymmetric multivariate copulas (2008)Construction of asymmetric mu…The t Copula and Related Copulas (2007)The t Copula and Related Copu…Extremes of nonexchangeability (2007)Extremes of nonexchangeabilityExtremes of nonexchangeability (2007)Extremes of nonexchangeabilityINDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE! (2006)INDIVIDUAL EQUITY RETURN DATA…How non-symmetric can a copula be? (2006)How non-symmetric can a copul…An Introduction to Copulas (1999)An Introduction to CopulasContributions à l'étude des copules et à la modélisation de valeurs extrêmes bivariées (1995)Contributions à l'étude des c…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Conditional copula simulation for systemic risk stress testing (2013)Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models (2014)New HEAVY Models for Fat-Tailed Realized Covariances and Returns (2016)Statistics of Extremes: Theory and Applications (2004)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Inference in multivariate Archimedean copula models (2011)Assessing and Modeling Asymmetry in Bivariate Continuous Data (2013)Multivariate Archimax copulas (2014)Empirical Model Building and Response Surfaces (1988)Copula Methods in Finance (2004)In mixed company: Bayesian inference for bivariate conditional copula models with discrete and continuous outcomes (2012)Nonparametric estimation of multivariate extreme-value copulas (2012)Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management (2014)A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)Understanding Relationships Using Copulas (1998)Copula Theory: An Introduction (2010)Likelihood inference for Archimedean copulas in high dimensions under known margins (2012)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Pair-copula constructions of multiple dependence (2007)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)A topological proof of Sklar’s theorem (2013)Pair-Copula Constructions for Financial Applications: A Review (2016)Coherent Measures of Risk (1999)Dynamic Conditional Correlation (2002)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Copula Methods for Forecasting Multivariate Time Series (2013)Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads (2016)Green bond and financial markets: Co-movement, diversification and price spillover effects (2018)Common risk factors in the returns on stocks and bonds (1993)Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole (2003)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Individualism and Momentum around the World (2010)Climate Risks and Market Efficiency (2016)Attention to Global Warming (2019)Empirical and sequential empirical copula processes under serial dependence (2013)Modeling multivariate ocean data using asymmetric copulas (2018)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)
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References

  • 1999An Introduction to Copulas7,777 cited
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  • 2006INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE!893 cited
  • 2012Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach436 cited
  • 2008Construction of asymmetric multivariate copulas241 cited
  • 2013Copulae in Mathematical and Quantitative Finance139 cited
  • 2011Tests of symmetry for bivariate copulas113 cited
  • 2013Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads100 cited
  • 2011A goodness-of-fit test for bivariate extreme-value copulas97 cited
  • 2010From Archimedean to Liouville copulas83 cited
  • 2007Extremes of nonexchangeability76 cited
  • 2009Rectangular Patchwork for Bivariate Copulas and Tail Dependence72 cited
  • 2007Extremes of nonexchangeability71 cited
  • 1995Contributions à l'étude des copules et à la modélisation de valeurs extrêmes bivariées57 cited
  • 2008Gluing Copulas54 cited
  • 2006How non-symmetric can a copula be?

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