Extreme Financial Risks
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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)
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- Mathematical structure of quantum decision theory
- A multivariate Lévy process model with linear correlation
- An adaptive dynamical model of default contagion
- Nonlinear filtering with correlated Lévy noise characterized by copulas
- CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS
- 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
- Nonparametric estimation of general multivariate tail dependence and applications to financial time series
- Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)
- Permutation test of tail dependence
- Physics of risk and uncertainty in quantum decision making
- 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
- Estimation of the Lognormal-Pareto Distribution Using Probability Weighted Moments and Maximum Likelihood
- 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
- Measuring dependence in a set of asset returns
- 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
- Investigation of non-Gaussian effects in the Brazilian option market
- Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk
- Heavy-tailed distribution of cyber-risks
- Global loss diversification in the insurance sector
- 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
- Asymmetric extreme interdependence in emerging equity markets
- Testing for lower tail dependence in extreme value models
- On optimal portfolio diversification with respect to extreme risks
- Testing the Gaussian copula hypothesis for financial assets dependences
- Risk and portfolio analysis. Principles and methods.
- Intelligent finance—an emerging direction
- Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
- Evolutionary patterns of onshore and offshore Renminbi exchange rates with convexity–concavity indicators
- New constructions of diagonal patchwork copulas
- Dynamic bifurcations on financial markets
- Estimating asymptotic dependence functionals in multivariate regularly varying models
- A Compendium of Copulas
- Interplay between distributional and temporal dependence. An empirical study with high-frequency asset returns
- 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
- Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models
- 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)
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