SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
CoVaR of families of copulas
14 references·0 citing·42 second hop
CoVaR of families of copulas (2016)CoVaR of families of copulasTime-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads (2016)Time-Varying Systemic Risk: E…TENET: Tail-Event driven NETwork risk (2016)TENET: Tail-Event driven NETw…CoVaR (2016)CoVaRPrinciples of Copula Theory (2015)Principles of Copula TheoryBayesian Tail Risk Interdependence Using Quantile Regression (2015)Bayesian Tail Risk Interdepen…On dependence consistency of CoVaRand some other systemic risk measures (2014)On dependence consistency of …Dependence Modeling with Copulas (2014)Dependence Modeling with Copu…Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Systemic Risk Measurement: Mu…On a strong metric on the space of copulas and its induced dependence measure (2011)On a strong metric on the spa…Tails of multivariate Archimedean copulas (2009)Tails of multivariate Archime…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…A new class of symmetric bivariate copulas (2006)A new class of symmetric biva…An Introduction to Copulas (1999)An Introduction to CopulasCoherent Measures of Risk (1999)Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Model risk of risk models (2016)Measuring systemic risk in the European banking sector: a copula CoVaR approach (2017)Systemic risk and the COVID challenge in the european banking sector (2021)Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Understanding Relationships Using Copulas (1998)Extreme-Value Copulas (2010)Asymptotics of empirical copula processes under non-restrictive smoothness assumptions (2012)Financial Intermediation and Credit Policy in Business Cycle Analysis (2010)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)An analysis of the literature on systemic financial risk: A survey (2016)Interconnectedness and systemic risk of China's financial institutions (2017)Multilayer information spillover networks analysis of China’s financial institutions based on variance decompositions (2021)Copula Methods in Finance (2004)Construction of asymmetric multivariate copulas (2008)Models for construction of multivariate dependence – a comparison study (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Dynamic Conditional Correlation (2002)Is there dependence and systemic risk between oil and renewable energy stock prices? (2014)Where the Risks Lie: A Survey on Systemic Risk (2015)Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold (2018)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models (2014)Asset Price Bubbles and Systemic Risk (2020)Tail risk contagion between international financial markets during COVID-19 pandemic (2020)Evaluating Interval Forecasts (1998)Liquidity and leverage (2008)Market Liquidity and Funding Liquidity (2008)SRISK: A conditional capital shortfall measure of systemic risk (2017)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Extremal Dependence Concepts (2015)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)Modeling multivariate ocean data using asymmetric copulas (2018)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach (2019)A review and assessment of importance sampling methods for reliability analysis (2022)
this work references cited by second hop

References

  • 1999An Introduction to Copulas7,743 cited
  • 2016CoVaR2,395 cited
  • 2014Dependence Modeling with Copulas1,564 cited
  • 2012Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR658 cited
  • 2015Principles of Copula Theory640 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
  • 2016TENET: Tail-Event driven NETwork risk472 cited
  • 2016Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads272 cited
  • 2014On dependence consistency of CoVaRand some other systemic risk measures196 cited
  • 2009Tails of multivariate Archimedean copulas124 cited
  • 2011On a strong metric on the space of copulas and its induced dependence measure110 cited
  • 2006A new class of symmetric bivariate copulas57 cited
  • 2015Bayesian Tail Risk Interdependence Using Quantile Regression46 cited

Cited by

No citing works inside the corpus for this window.

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work