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Modeling maxima with autoregressive conditional Fréchet model
16 references·4 citing·36 second hop
Modeling maxima with autoregressive conditional Fréchet model (2018)Modeling maxima with autoregressive condi…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…An Introduction to Statistical Modeling of Extreme Values (2002)An Introduction to Statistica…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Models for Exceedances Over High Thresholds (1990)Models for Exceedances Over H…Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Residual Life Time at Great Age (1974)Residual Life Time at Great A…Equilibrium in a Capital Asset Market (1966)Equilibrium in a Capital Asse…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Tail Risk Early Warning System for Capital Markets Based on Machine Learning Algorithms (2021)Tail Risk Early Warning Syste…On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures (2020)On studying extreme values an…Modeling Tail Index With Autoregressive Conditional Pareto Model (2020)Modeling Tail Index With Auto…Dynamic Bivariate Peak Over Threshold Model for Joint Tail Risk Dynamics of Financial Markets (2020)Dynamic Bivariate Peak Over T…Tests for Unit Roots: A Monte Carlo Investigation (1989)Forecasting inflation (1999)Inferential Theory for Factor Models of Large Dimensions (2003)A PANIC Attack on Unit Roots and Cointegration (2004)Panel Data Models With Interactive Fixed Effects (2009)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)SRISK: A conditional capital shortfall measure of systemic risk (2017)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)A NEW MEASURE OF RANK CORRELATION (1938)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)CoVaR (2016)Measuring Systemic Risk (2016)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
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  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 1987Extreme Values, Regular Variation and Point Processes3,165 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 1990Models for Exceedances Over High Thresholds1,725 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited

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  • 1974Residual Life Time at Great Age1,484 cited
  • 2002An Introduction to Statistical Modeling of Extreme Values1,224 cited
  • Cited by

    • 2021Tail Risk Early Warning System for Capital Markets Based on Machine Learning Algorithms22 cited
    • 2020Dynamic Bivariate Peak Over Threshold Model for Joint Tail Risk Dynamics of Financial Markets21 cited
    • 2020Modeling Tail Index With Autoregressive Conditional Pareto Model21 cited
    • 2020On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures19 cited