References

• 2001Extreme Correlation of International Equity Markets2,608 cited
• 2007Pair-copula constructions of multiple dependence2,055 cited
• 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
• 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,828 cited
• 2002Asymmetric correlations of equity portfolios1,530 cited
• 2003Modelling Dependence with Copulas and Applications to Risk Management1,056 cited
• 2004Comovement929 cited
• 2006The Copula-GARCH model of conditional dependencies: An international stock market application784 cited
• 1996Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters777 cited
• 2007Copulas for Finance - A Reading Guide and Some Applications426 cited
• 2012The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil378 cited
• 2008Models for construction of multivariate dependence – a comparison study291 cited
• 2009Tail dependence functions and vine copulas284 cited
• 2012Handbook of Volatility Models and Their Applications227 cited
• 2010Vine copulas with asymmetric tail dependence and applications to financial return data