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Dynamic Bivariate Peak Over Threshold Model for Joint Tail Risk Dynamics of Financial Markets
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Dynamic Bivariate Peak Over Threshold Model for Joint Tail Risk Dynamics of Financial Markets (2020)Dynamic Bivariate Peak Over Threshold Mod…Tail Risk and Asset Prices (2014)Tail Risk and Asset PricesOn the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Dynamic Models for Volatility and Heavy Tails (2013)Dynamic Models for Volatility…GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)GENERALIZED AUTOREGRESSIVE SC…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Extreme Value Dependence in F…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Extreme Value Theory as a Risk Management Tool (1999)Extreme Value Theory as a Ris…An Introduction to Copulas (1999)An Introduction to CopulasStatistics for near independence in multivariate extreme values (1996)Statistics for near independe…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…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…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)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)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)Modelling of extremal events in insurance and finance (1994)Coherent Measures of Risk (1999)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)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)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)Econometric Analysis of Cross Section and Panel Data (2001)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)
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References

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465 cited
  • 2013Dynamic Models for Volatility and Heavy Tails430 cited
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