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PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE
16 references·1 citing·39 second hop
PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE (2015)PATHS AND INDICES OF MAXIMAL TAIL DEPENDE…An Academic Response to Basel 3.5 (2014)An Academic Response to Basel…Model uncertainty and VaR aggregation (2013)Model uncertainty and VaR agg…Copulae in Mathematical and Quantitative Finance (2013)Copulae in Mathematical and Q…A review of copula models for economic time series (2012)A review of copula models for…Tail order and intermediate tail dependence of multivariate copulas (2011)Tail order and intermediate t…Quantitative Risk Management (2011)Quantitative Risk ManagementCopula Theory and Its Applications (2010)Copula Theory and Its Applica…Tail dependence functions and vine copulas (2009)Tail dependence functions and…Copulas: A Personal View (2009)Copulas: A Personal ViewActuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Actuarial Theory for Dependen…Modelling Dependence with Copulas and Applications to Risk Management (2003)Modelling Dependence with Cop…A Directory of Coefficients of Tail Dependence (2000)A Directory of Coefficients o…Dependence Measures for Extreme Value Analyses (1999)Dependence Measures for Extre…An Introduction to Copulas (1999)An Introduction to CopulasStatistics for near independence in multivariate extreme values (1996)Statistics for near independe…Annuity Valuation with Dependent Mortality (1996)Annuity Valuation with Depend…Multiple Risk Factor Dependence Structures: Copulas and Related Properties (2016)Multiple Risk Factor Dependen…Extreme Values, Regular Variation and Point Processes (1987)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)Essays in the Theory of Risk-Bearing. (1972)The Pricing of Options and Corporate Liabilities (1973)After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures (2006)The Advent of Copulas in Finance (2009)Modelling of extremal events in insurance and finance (1994)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Measuring financial contagion: A Copula approach (2007)Green bond and financial markets: Co-movement, diversification and price spillover effects (2018)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Copula Methods for Forecasting Multivariate Time Series (2013)Conditional Tail-Risk in Cryptocurrency Markets (2018)Modelling dynamic dependence and risk spillover between all oil price shocks and stock market returns in the BRICS (2018)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Pair-copula constructions of multiple dependence (2007)On the simplified pair-copula construction — Simply useful or too simplistic? (2009)Vine copulas with asymmetric tail dependence and applications to financial return data (2010)Pair Copula Constructions for Multivariate Discrete Data (2012)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Aggregation-robustness and model uncertainty of regulatory risk measures (2015)What is the best risk measure in practice? A comparison of standard measures (2015)Modelling Extremal Events (1997)Coherent Measures of Risk (1999)An Introduction to Statistical Modeling of Extreme Values (2001)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Dynamic Conditional Correlation: On Properties and Estimation (2013)Statistical Modeling of Spatial Extremes (2012)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)Extreme-Value Copulas (2010)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)A review of quantification methodologies for multi-hazard interrelationships (2019)
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  • 1996Statistics for near independence in multivariate extreme values742 cited
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  • 2013Copulae in Mathematical and Quantitative Finance139 cited

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Cited by

  • 2016Multiple Risk Factor Dependence Structures: Copulas and Related Properties21 cited