References

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• 1987Extreme Values, Regular Variation and Point Processes3,165 cited
• 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
• 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
• 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions1,227 cited
• 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
• 2001An Introduction to High-Frequency Finance956 cited
• 1998Multivariate Models and Dependence Concepts352 cited
• 1997The incremental volatility information in one million foreign exchange quotations346 cited
• 1999Fitting bivariate loss distributions with copulas237 cited
• 2003Kendall’s Tau for Elliptical Distributions175 cited
• 1999Multivariate extremes for models with constant conditional correlations164 cited
• 2005Measurement of aggregate risk with copulas140 cited
• 2002Copula convergence theorems for tail events126 cited
• 2002A Comparison of Seasonal Adjustment Methods When Forecasting Intraday Volatility