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Time-varying extreme value dependence with application to leading European stock markets
16 references·3 citing·38 second hop
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 2001An Introduction to Statistical Modeling of Extreme Values7,338 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1990Models for Exceedances Over High Thresholds1,725 cited
  • 2004Statistics of Extremes1,204 cited
  • 2012The European Sovereign Debt Crisis1,021 cited
  • 2006Heavy-Tail Phenomena: Probabilistic and Statistical Modeling884 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements867 cited
  • 2009International comovement of stock market returns: A wavelet analysis843 cited
  • 1990Volatiltiy and Links Between National Stock Markets709 cited
  • 1994Volatility and Links between National Stock Markets679 cited

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  • 2004A Conditional Approach for Multivariate Extreme Values (with Discussion)679 cited
  • Cited by

    • 2019Local Likelihood Estimation of Complex Tail Dependence Structures, Applied to U.S. Precipitation Extremes41 cited
    • 2022Asymmetric tail dependence modeling, with application to cryptocurrency market data33 cited
    • 2021Systemic risk allocation using the asymptotic marginal expected shortfall21 cited