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Extreme Financial Risks : From Dependence to Risk Management

Citations

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Cited by:

  1. Wiliński, M. & Sienkiewicz, A. & Gubiec, T. & Kutner, R. & Struzik, Z.R., 2013. "Structural and topological phase transitions on the German Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5963-5973.
  2. repec:hal:spmain:info:hdl:2441/7o52iohb7k6srk09mj4in40o4 is not listed on IDEAS
  3. Li-Xin Wang, 2014. "Dynamical Models of Stock Prices Based on Technical Trading Rules Part I: The Models," Papers 1401.1888, arXiv.org, revised Feb 2016.
  4. Kozłowska, M. & Denys, M. & Wiliński, M. & Link, G. & Gubiec, T. & Werner, T.R. & Kutner, R. & Struzik, Z.R., 2016. "Dynamic bifurcations on financial markets," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 126-142.
  5. Daniel Berg, 2009. "Copula goodness-of-fit testing: an overview and power comparison," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 675-701.
  6. John Fry, 2014. "Multivariate bubbles and antibubbles," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 87(8), pages 1-7, August.
  7. Fantazzini, Dean, 2011. "Analysis of multidimensional probability distributions with copula functions. II," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 23(3), pages 98-132.
  8. Sandoval, Leonidas & Franca, Italo De Paula, 2012. "Correlation of financial markets in times of crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 187-208.
  9. Sornette, Didier & Zhou, Wei-Xing, 2006. "Importance of positive feedbacks and overconfidence in a self-fulfilling Ising model of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(2), pages 704-726.
  10. Alexandru V. Asimit & Raluca Vernic & Riċardas Zitikis, 2013. "Evaluating Risk Measures and Capital Allocations Based on Multi-Losses Driven by a Heavy-Tailed Background Risk: The Multivariate Pareto-II Model," Risks, MDPI, vol. 1(1), pages 1-20, March.
  11. Li-Xin Wang, 2014. "Dynamical Models of Stock Prices Based on Technical Trading Rules Part II: Analysis of the Models," Papers 1401.1891, arXiv.org, revised Feb 2016.
  12. A. Sienkiewicz & T. Gubiec & R. Kutner & Z. R. Struzik, 2013. "Dynamic structural and topological phase transitions on the Warsaw Stock Exchange: A phenomenological approach," Papers 1301.6506, arXiv.org.
  13. Leonidas Sandoval Junior & Italo De Paula Franca, 2011. "Correlation of financial markets in times of crisis," Papers 1102.1339, arXiv.org, revised Mar 2011.
  14. Damien Bosc & Alfred Galichon, 2014. "Extreme dependence for multivariate data," Sciences Po publications info:hdl:2441/8pttci1na9q, Sciences Po.
  15. Sebastian O Uremadu & Francis Okafor O & Charity E Duru Uremadu, 2018. "A Review of Application of Risk Management Techniques in Costing and Evaluating Construction Work Projects in Nigeria: A Mathematical Analysis Approach," Current Investigations in Agriculture and Current Research, Lupine Publishers, LLC, vol. 5(4), pages 689-696, November.
  16. Damien Bosc & Alfred Galichon, 2014. "Extreme dependence for multivariate data," Post-Print hal-03470461, HAL.
  17. repec:dau:papers:123456789/5528 is not listed on IDEAS
  18. Alves, L.G.A. & Ribeiro, H.V. & Lenzi, E.K. & Mendes, R.S., 2014. "Empirical analysis on the connection between power-law distributions and allometries for urban indicators," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 409(C), pages 175-182.
  19. Damien Bosc & Alfred Galichon, 2014. "Extreme dependence for multivariate data," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1187-1199, July.
  20. Peter Marko & Petr Svarc, 2008. "Firms formation and growth in the model with heterogeneous agents and monitoring," Working Papers IES 2008/31, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2008.
  21. Rehman, Mobeen Ur & Katsiampa, Paraskevi & Zeitun, Rami & Vo, Xuan Vinh, 2023. "Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies," Emerging Markets Review, Elsevier, vol. 55(C).
  22. Alfred Galichon & Damien Bosc, 2010. "Extreme dependence for multivariate data," Working Papers hal-03588294, HAL.
  23. Toan Luu Duc Huynh, 2019. "Spillover Risks on Cryptocurrency Markets: A Look from VAR-SVAR Granger Causality and Student’s-t Copulas," JRFM, MDPI, vol. 12(2), pages 1-19, April.
  24. Jos'e Vin'icius de Miranda Cardoso & Jiaxi Ying & Daniel Perez Palomar, 2020. "Algorithms for Learning Graphs in Financial Markets," Papers 2012.15410, arXiv.org.
  25. Rémy Chicheportiche & Jean-Philippe Bouchaud, 2012. "The Joint Distribution Of Stock Returns Is Not Elliptical," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(03), pages 1-23.
  26. Mateusz Denys & Maciej Jagielski & Tomasz Gubiec & Ryszard Kutner & H. Eugene Stanley, 2015. "Universality of market superstatistics," Papers 1509.06315, arXiv.org.
  27. León, Carlos & Leiton, Karen & Pérez, Jhonatan, 2014. "Extracting the sovereigns’ CDS market hierarchy: A correlation-filtering approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 407-420.
  28. Gu, Gao-Feng & Chen, Wei & Zhou, Wei-Xing, 2008. "Empirical distributions of Chinese stock returns at different microscopic timescales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 495-502.
  29. Tang, Qihe & Yang, Fan, 2012. "On the Haezendonck–Goovaerts risk measure for extreme risks," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 217-227.
  30. Yannick Malevergne & Vladilen Pisarenko & Didier Sornette, 2006. "On the Power of Generalized Extreme Value (GEV) and Generalized Pareto Distribution (GPD) Estimators for Empirical Distributions of Stock Returns," Post-Print hal-02311834, HAL.
  31. Nuerxiati Abudurexiti & Kai He & Dongdong Hu & Svetlozar T. Rachev & Hasanjan Sayit & Ruoyu Sun, 2021. "Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models," Papers 2111.04311, arXiv.org, revised Feb 2023.
  32. T. Maillart & D. Sornette, 2010. "Heavy-tailed distribution of cyber-risks," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 75(3), pages 357-364, June.
  33. Fry, John & Cheah, Eng-Tuck, 2016. "Negative bubbles and shocks in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 343-352.
  34. Reiichiro Kawai, 2009. "A multivariate Levy process model with linear correlation," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 597-606.
  35. Alfred Galichon & Damien Bosc, 2010. "Extreme dependence for multivariate data," SciencePo Working papers hal-03588294, HAL.
  36. repec:bpj:demode:v:6:y:2018:i:1:p:139-155:n:9 is not listed on IDEAS
  37. Chen, Wang & Wei, Yu & Lang, Qiaoqi & Lin, Yu & Liu, Maojuan, 2014. "Financial market volatility and contagion effect: A copula–multifractal volatility approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 398(C), pages 289-300.
  38. Damien Bosc & Alfred Galichon, 2014. "Extreme dependence for multivariate data," SciencePo Working papers hal-03470461, HAL.
  39. Peng Liu & Yanyan Zheng, 2022. "Precision measurement of the return distribution property of the Chinese stock market index," Papers 2209.08521, arXiv.org, revised Nov 2023.
  40. César Garcia-Gomez & Ana Pérez & Mercedes Prieto-Alaiz, 2022. "The evolution of poverty in the EU-28: a further look based on multivariate tail dependence," Working Papers 605, ECINEQ, Society for the Study of Economic Inequality.
  41. Volovoi, Vitali, 2013. "Universal failure model for multi-unit systems with shared functionality," Reliability Engineering and System Safety, Elsevier, vol. 119(C), pages 141-149.
  42. Alfred Galichon & Damien Bosc, 2010. "Extreme dependence for multivariate data," SciencePo Working papers Main hal-03588294, HAL.
  43. Liu, Wei-han, 2018. "Hidden Markov model analysis of extreme behaviors of foreign exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1007-1019.
  44. Damien Bosc & Alfred Galichon, 2014. "Extreme dependence for multivariate data," SciencePo Working papers Main hal-03470461, HAL.
  45. Hernández-Lobato, José Miguel & Suárez, Alberto, 2011. "Semiparametric bivariate Archimedean copulas," Computational Statistics & Data Analysis, Elsevier, vol. 55(6), pages 2038-2058, June.
  46. Mu, Guo-Hua & Zhou, Wei-Xing, 2008. "Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5211-5218.
  47. Bertrand B. Maillet & Jean-Philippe R. M�decin, 2010. "Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes," Working Papers 2010_10, Department of Economics, University of Venice "Ca' Foscari".
  48. Sornette, Didier & Woodard, Ryan & Yan, Wanfeng & Zhou, Wei-Xing, 2013. "Clarifications to questions and criticisms on the Johansen–Ledoit–Sornette financial bubble model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4417-4428.
  49. D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
  50. Zhou, Wei-Xing, 2012. "Finite-size effect and the components of multifractality in financial volatility," Chaos, Solitons & Fractals, Elsevier, vol. 45(2), pages 147-155.
  51. Veni Arakelian & Shatha Qamhieh Hashem, 2020. "The Leaders, the Laggers, and the “Vulnerables”," Risks, MDPI, vol. 8(1), pages 1-32, March.
  52. Stefan Hochrainer, 2008. "Reservefonds gegen Naturkatastrophen auf nationaler und europäischer Ebene," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 77(4), pages 69-79.
  53. Zhan Liu & Gang-Zhi Fan & Kian Lim, 2009. "Extreme Events and the Copula Pricing of Commercial Mortgage-Backed Securities," The Journal of Real Estate Finance and Economics, Springer, vol. 38(3), pages 327-349, April.
  54. Carlos Eduardo Léon Rincón & Karen Juliet Leiton & Jhonatan Pérez Villalobos, 2013. "Extracting the sovereigns´ CDS market hierarchy: a correlation-filtering approach," Borradores de Economia 10749, Banco de la Republica.
  55. Didier SORNETTE, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models," Swiss Finance Institute Research Paper Series 14-25, Swiss Finance Institute.
  56. F. N. M. de Sousa Filho & J. N. Silva & M. A. Bertella & E. Brigatti, 2020. "The leverage effect and other stylized facts displayed by Bitcoin returns," Papers 2004.05870, arXiv.org, revised Jan 2021.
  57. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
  58. M. Wili'nski & A. Sienkiewicz & T. Gubiec & R. Kutner & Z. R. Struzik, 2013. "Structural and topological phase transitions on the German Stock Exchange," Papers 1301.2530, arXiv.org, revised Jul 2013.
  59. Vladimir Filimonov & Didier Sornette, 2014. "Power law scaling and "Dragon-Kings" in distributions of intraday financial drawdowns," Papers 1407.5037, arXiv.org, revised Apr 2015.
  60. Wei-han Liu, 2013. "Detecting structural breaks in tail behaviour -- from the perspective of fitting the generalized Pareto distribution," Applied Economics, Taylor & Francis Journals, vol. 45(10), pages 1273-1286, April.
  61. Martin Eling & Simone Farinelli & Damiano Rossello & Luisa Tibiletti, 2010. "Skewness in hedge funds returns: classical skewness coefficients vs Azzalini's skewness parameter," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 6(4), pages 290-304, September.
  62. Donatien Hainaut & Renaud MacGilchrist, 2012. "Strategic asset allocation with switching dependence," Annals of Finance, Springer, vol. 8(1), pages 75-96, February.
  63. Diana, Tony, 2011. "Improving schedule reliability based on copulas: An application to five of the most congested US airports," Journal of Air Transport Management, Elsevier, vol. 17(5), pages 284-287.
  64. Nelsen, Roger B. & Quesada-Molina, José Juan & Rodri­guez-Lallena, José Antonio & Úbeda-Flores, Manuel, 2008. "On the construction of copulas and quasi-copulas with given diagonal sections," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 473-483, April.
  65. Dietmar Pfeifer & Olena Ragulina, 2018. "Generating VaR Scenarios under Solvency II with Product Beta Distributions," Risks, MDPI, vol. 6(4), pages 1-15, October.
  66. Franzke, Christian L.E., 2021. "Towards the development of economic damage functions for weather and climate extremes," Ecological Economics, Elsevier, vol. 189(C).
  67. Haas, Armin & Onischka, Mathias & Fucik, Markus, 2013. "Black swans, dragon kings, and Bayesian risk management," Economics Discussion Papers 2013-11, Kiel Institute for the World Economy (IfW Kiel).
  68. repec:hal:spmain:info:hdl:2441/8pttci1na9qmqnud8j8lvbamu is not listed on IDEAS
  69. John Fry & McMillan David, 2015. "Stochastic modelling for financial bubbles and policy," Cogent Economics & Finance, Taylor & Francis Journals, vol. 3(1), pages 1002152-100, December.
  70. Christian Genest & Michel Gendron & Michaël Bourdeau-Brien, 2009. "The Advent of Copulas in Finance," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 609-618.
  71. Hernández-Ramírez, E. & del Castillo-Mussot, M. & Hernández-Casildo, J., 2021. "World per capita gross domestic product measured nominally and across countries with purchasing power parity: Stretched exponential or Boltzmann–Gibbs distribution?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 568(C).
  72. Sandro Claudio Lera & Didier Sornette, 2015. "Currency target zone modeling: An interplay between physics and economics," Papers 1508.04754, arXiv.org, revised Oct 2015.
  73. Stefan Kassberger & Rüdiger Kiesel, 2006. "A fully parametric approach to return modelling and risk management of hedge funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(4), pages 472-491, December.
  74. Marcela de Marillac Carvalho & Luiz Otávio de Oliveira Pala & Gabriel Rodrigo Gomes Pessanha & Thelma Sáfadi, 2021. "Asymmetric dependence of intraday frequency components in the Brazilian stock market," SN Business & Economics, Springer, vol. 1(6), pages 1-18, June.
  75. Osvaldo C. Silva Filho & Flavio A. Ziegelmann & Michael J. Dueker, 2014. "Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2155-2170, December.
  76. Leonidas Sandoval Junior & Italo De Paula Franca, 2011. "Shocks in financial markets, price expectation, and damped harmonic oscillators," Papers 1103.1992, arXiv.org, revised Sep 2011.
  77. Alexander Saichev & Thomas Maillart & Didier Sornette, 2013. "Hierarchy of temporal responses of multivariate self-excited epidemic processes," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 86(4), pages 1-19, April.
  78. Li-Xin Wang, 2014. "Gaussian-Chain Filters for Heavy-Tailed Noise with Application to Detecting Big Buyers and Big Sellers in Stock Market," Papers 1405.2220, arXiv.org.
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