Dependence structures for multivariate high-frequency data in finance
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- Portfolio risk assessment using multivariate extreme value methods
- Nonparametric tests for constant tail dependence with an application to energy and finance
- Multivariate extreme value theory and its usefulness in understanding risk
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- Does investment in insurance stocks reap diversification benefits? Static and time varying copula modeling
- Copulae: an overview and recent developments
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- The estimation risk in extreme systemic risk forecasts
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- Copula based multivariate semi-Markov models with applications in high-frequency finance
- Lévy copulae for financial returns
- Pair-copula constructions of multiple dependence
- Evaluation of the EU proposed farm income stabilisation tool by skew normal linear mixed models
- Extreme behavior of bivariate elliptical distributions
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