References

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• 1994Modelling of extremal events in insurance and finance3,519 cited
• 1998Evaluating Interval Forecasts2,689 cited
• 2001Extreme Correlation of International Equity Markets2,608 cited
• 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
• 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
• 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
• 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
• 2002International Asset Allocation With Regime Shifts1,779 cited
• 1994Autoregressive Conditional Density Estimation1,580 cited
• 2002Asymmetric correlations of equity portfolios1,530 cited
• 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
• 2007The t Copula and Related Copulas964 cited
• 1999Dependence Measures for Extreme Value Analyses802 cited
• 1996Statistics for near independence in multivariate extreme values742 cited
• 2010