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A structural break test for extremal dependence in β-mixing random vectors
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A structural break test for extremal dependence in β-mixing random vectors (2018)A structural break test for extremal depe…Testing for Change Points in Time Series (2010)Testing for Change Points in …The extremogram: A correlogram for extreme events (2009)The extremogram: A correlogra…Tails of multivariate Archimedean copulas (2009)Tails of multivariate Archime…Break detection in the covariance structure of multivariate time series models (2009)Break detection in the covari…Break detection in the covariance structure of multivariate time series models (2009)Break detection in the covari…Statistical Analysis of Extreme Values with Applications to Insurance, Finance, Hydrology and Other Fields (2007)Statistical Analysis of Extre…Estimating the tail-dependence coefficient: Properties and pitfalls (2005)Estimating the tail-dependenc…Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Extreme Value Dependence in F…A New Approach to Measuring Financial Contagion (2003)A New Approach to Measuring F…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Statistical Analysis of Extreme Values: with Applications to Insurance, Finance, Hydrology and Other Fields (2001)Statistical Analysis of Extre…A New Approach to Measuring Financial Contagion (2000)A New Approach to Measuring F…Dependence Measures for Extreme Value Analyses (1999)Dependence Measures for Extre…Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series (1997)Wald-Type Tests for Detecting…Modelling Dependence within Joint Tail Regions (1997)Modelling Dependence within J…Statistics for near independence in multivariate extreme values (1996)Statistics for near independe…An Introduction to Copulas (1999)Coherent Measures of Risk (1999)Extreme Correlation of International Equity Markets (2001)The distribution of realized stock return volatility (2001)Conditional value-at-risk for general loss distributions (2002)The Econometrics of Financial Markets (2012)Extreme Values, Regular Variation and Point Processes (1987)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Extreme Value Theory (2006)The t Copula and Related Copulas (2007)Copula Methods in Finance (2004)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Asymptotics of random contractions (2010)Asymptotics for risk capital allocations based on Conditional Tail Expectation (2011)Second order regular variation and conditional tail expectation of multiple risks (2011)Modelling of extremal events in insurance and finance (1994)Non‐parametric Estimation of Tail Dependence (2005)Multivariate non-normally distributed random variables in climate research – introduction to the copula approach (2008)Copula Methods for Forecasting Multivariate Time Series (2013)A Moment Estimator for the Index of an Extreme-Value Distribution (1989)Models for Exceedances Over High Thresholds (1990)PORTFOLIO SELECTION* (1952)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Measuring financial contagion: A Copula approach (2007)The measurement of urban travel demand (1974)Limited-Dependent and Qualitative Variables in Econometrics (1983)Asymmetric correlations of equity portfolios (2002)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2009)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Financial Contagion (2000)STATISTICS OF EXTREMES: MODELING ECOLOGICAL DISTURBANCES (2005)An Application of Extreme Value Theory for Measuring Financial Risk (2006)Power-law distributions in binned empirical data (2014)
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References

  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2003A New Approach to Measuring Financial Contagion1,047 cited
  • 2009Tails of multivariate Archimedean copulas1,008 cited
  • 1999Dependence Measures for Extreme Value Analyses802 cited
  • 1996Statistics for near independence in multivariate extreme values742 cited
  • 2000A New Approach to Measuring Financial Contagion734 cited
  • 2003Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications633 cited
  • 1997Modelling Dependence within Joint Tail Regions426 cited
  • 2001Statistical Analysis of Extreme Values: with Applications to Insurance, Finance, Hydrology and Other Fields423 cited
  • 2005Estimating the tail-dependence coefficient: Properties and pitfalls331 cited
  • 2009Break detection in the covariance structure of multivariate time series models313 cited
  • 2010Testing for Change Points in Time Series253 cited
  • 2009Break detection in the covariance structure of multivariate time series models247 cited
  • 2009The extremogram: A correlogram for extreme events218 cited
  • 1997Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series

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215 cited
  • 2007Statistical Analysis of Extreme Values with Applications to Insurance, Finance, Hydrology and Other Fields210 cited
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