Extreme Financial Risks
From MaRDI portal
Publication:3379404
DOI10.1007/B138841zbMATH Open1093.62098OpenAlexW4235374062MaRDI QIDQ3379404FDOQ3379404
Authors: Yannick Malevergne, D. Sornette 
Publication date: 6 April 2006
Full work available at URL: https://doi.org/10.1007/b138841
Recommendations
measures of dependenceconcordance measuresmultivariate distribution of asset returnscollective extreme risksdependence structure of asset returnsfinancial dependences with copulasmarginal distributions of returnsmeasuring extreme dependences
Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to statistics (62-02)
Cited In (67)
- Permutation test of tail dependence
- Measuring dependence in a set of asset returns
- Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk
- Interplay between distributional and temporal dependence. An empirical study with high-frequency asset returns
- Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models
- Mathematical structure of quantum decision theory
- A multivariate Lévy process model with linear correlation
- An adaptive dynamical model of default contagion
- Modelling oil and gas supply disruption risks using extreme-value theory and copula
- Nonlinear filtering with correlated Lévy noise characterized by copulas
- CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS
- Normal tempered stable copula
- Copula density estimation by total variation penalized likelihood with linear equality constraints
- Rectangular Patchwork for Bivariate Copulas and Tail Dependence
- Finite-size effect and the components of multifractality in financial volatility
- Extreme financial risks and asset allocation
- Introduction to extreme value theory: applications to risk analysis and management
- Nonparametric estimation of general multivariate tail dependence and applications to financial time series
- Tail dependence and heavy tailedness in extreme risks
- Physics of risk and uncertainty in quantum decision making
- Evolutionary patterns of onshore and offshore renminbi exchange rates with convexity-concavity indicators
- A compendium of copulas
- Absolutely Continuous Copulas with Given Diagonal Sections
- Modeling of long-range memory processes with inverse cubic distributions by the nonlinear stochastic differential equations
- Robust estimators and tests for bivariate copulas based on likelihood depth
- Hierarchy of temporal responses of multivariate self-excited epidemic processes
- Strategic asset allocation with switching dependence
- On the construction of copulas and quasi-copulas with given diagonal sections
- Tail dependence measure for examining financial extreme co-movements
- Joint threshold exceedances of stock index returns in bull and bear preriods
- Asymptotic results for the sum of dependent non-identically distributed random variables
- Tail asymptotics for the sum of two heavy-tailed dependent risks
- Clustering of financial time series in risky scenarios
- Heavy tails and copulas. Topics in dependence modelling in economics and finance
- Investigation of non-Gaussian effects in the Brazilian option market
- Heavy-tailed distribution of cyber-risks
- Global loss diversification in the insurance sector
- Assessing dependence between financial market indexes using conditional time-varying copulas: applications to value at risk (VaR)
- Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations
- Risk externalities: when financial imperfections are not the problem, but part of the solution
- Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
- Semiparametric bivariate Archimedean copulas
- On the tail dependence in bivariate hydrological frequency analysis
- Measuring large comovements in financial markets
- Asymmetric extreme interdependence in emerging equity markets
- Estimation of the lognormal-Pareto distribution using probability weighted moments and maximum likelihood
- Testing for lower tail dependence in extreme value models
- Extreme dependence in investor attention and stock returns -- consequences for forecasting stock returns and measuring systemic risk
- On optimal portfolio diversification with respect to extreme risks
- Testing the Gaussian copula hypothesis for financial assets dependences
- Crisis and risk dependencies
- Risk and portfolio analysis. Principles and methods.
- Intelligent finance—an emerging direction
- Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
- New constructions of diagonal patchwork copulas
- Dynamic bifurcations on financial markets
- Estimating asymptotic dependence functionals in multivariate regularly varying models
- RESPONSE FUNCTIONS TO CRITICAL SHOCKS IN SOCIAL SCIENCES: AN EMPIRICAL AND NUMERICAL STUDY
- The joint distribution of stock returns is not elliptical
- Multivariate bubbles and antibubbles
- Testing for Positive Quadrant Dependence
- Dealing with dependent risks
- Paths and indices of maximal tail dependence
- Improving financial risk assessment through dependency
- On the Haezendonck-Goovaerts risk measure for extreme risks
- Title not available (Why is that?)
- Copulas: Tales and facts (with discussion)
Uses Software
This page was built for publication: Extreme Financial Risks
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3379404)
