Extreme Financial Risks
From MaRDI portal
Publication:3379404
Recommendations
Cited in
(67)- Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models
- Permutation test of tail dependence
- Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk
- Measuring dependence in a set of asset returns
- Interplay between distributional and temporal dependence. An empirical study with high-frequency asset returns
- Estimating asymptotic dependence functionals in multivariate regularly varying models
- RESPONSE FUNCTIONS TO CRITICAL SHOCKS IN SOCIAL SCIENCES: AN EMPIRICAL AND NUMERICAL STUDY
- Testing the Gaussian copula hypothesis for financial assets dependences
- The joint distribution of stock returns is not elliptical
- Estimation of the lognormal-Pareto distribution using probability weighted moments and maximum likelihood
- Copula density estimation by total variation penalized likelihood with linear equality constraints
- Introduction to extreme value theory: applications to risk analysis and management
- Modeling of long-range memory processes with inverse cubic distributions by the nonlinear stochastic differential equations
- Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
- Nonparametric estimation of general multivariate tail dependence and applications to financial time series
- Tail dependence and heavy tailedness in extreme risks
- Strategic asset allocation with switching dependence
- CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS
- Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
- Normal tempered stable copula
- Assessing dependence between financial market indexes using conditional time-varying copulas: applications to value at risk (VaR)
- Semiparametric bivariate Archimedean copulas
- On optimal portfolio diversification with respect to extreme risks
- Testing for lower tail dependence in extreme value models
- On the tail dependence in bivariate hydrological frequency analysis
- Joint threshold exceedances of stock index returns in bull and bear preriods
- Multivariate bubbles and antibubbles
- New constructions of diagonal patchwork copulas
- Tail asymptotics for the sum of two heavy-tailed dependent risks
- Heavy-tailed distribution of cyber-risks
- Mathematical structure of quantum decision theory
- Physics of risk and uncertainty in quantum decision making
- Rectangular Patchwork for Bivariate Copulas and Tail Dependence
- Finite-size effect and the components of multifractality in financial volatility
- On the construction of copulas and quasi-copulas with given diagonal sections
- Paths and indices of maximal tail dependence
- Crisis and risk dependencies
- Clustering of financial time series in risky scenarios
- A multivariate Lévy process model with linear correlation
- Global loss diversification in the insurance sector
- Dealing with dependent risks
- Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations
- Risk and portfolio analysis. Principles and methods.
- Testing for Positive Quadrant Dependence
- Intelligent finance—an emerging direction
- Tail dependence measure for examining financial extreme co-movements
- Evolutionary patterns of onshore and offshore renminbi exchange rates with convexity-concavity indicators
- Improving financial risk assessment through dependency
- On the Haezendonck-Goovaerts risk measure for extreme risks
- A compendium of copulas
- Modelling oil and gas supply disruption risks using extreme-value theory and copula
- Nonlinear filtering with correlated Lévy noise characterized by copulas
- Robust estimators and tests for bivariate copulas based on likelihood depth
- Extreme dependence in investor attention and stock returns -- consequences for forecasting stock returns and measuring systemic risk
- An adaptive dynamical model of default contagion
- Absolutely Continuous Copulas with Given Diagonal Sections
- Dynamic bifurcations on financial markets
- Extreme financial risks and asset allocation
- Risk externalities: when financial imperfections are not the problem, but part of the solution
- Investigation of non-Gaussian effects in the Brazilian option market
- Heavy tails and copulas. Topics in dependence modelling in economics and finance
- Hierarchy of temporal responses of multivariate self-excited epidemic processes
- scientific article; zbMATH DE number 2095964 (Why is no real title available?)
- Asymptotic results for the sum of dependent non-identically distributed random variables
- Asymmetric extreme interdependence in emerging equity markets
- Measuring large comovements in financial markets
- Copulas: Tales and facts (with discussion)
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)