Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications

By Ser-Huang Poon, Michael Rockinger, Jonathan A. Tawn. 2004

607 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/025eec2461fe16b41addb9be55c8a91453b0c702

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Citations in the corpus

Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005, background): “This problem appears in Muliere and Scarsini (1989) and Scarsini & Shaked (1990) with reference to ST.”
Extreme Downside Risk and Expected Stock Returns (2012, neutral): “…June are merged Early applications of EVT have been largely limited to documenting fat tail evidence for market indices (Longin, 1996) or establishing the relation between tails of different stock indices (Longin, 2000; Longin and Solnik, 2001; Jondeau and Rockinger, 2003; Poon et al., 2003, 2004).”
Measuring contagion between energy market and stock market during financial crisis: A copula approach (2012, background): “For example, as contagion may be a non-linear phenomenon, Bae et al. (2003), Chan-Lau et al. (2004), Longin and Solnik (2001) and Poon et al. (2004) based models on extreme-value theory to estimate the tail dependence; Ramchand and Susmel (1998) and Chesney and Jondeau (2000) both employed Markov…”
Value–at–Risk Models (2009, neutral): “See, for example, Longin and Solnik (2001), and Poon, Rockinger, and Tawn (2004) .”
Spatial contagion between financial markets: a copula-based approach (2010, background): “(c) Comparisons among threshold copulas are more informative than other comparisons concerning special indices like tail dependence coefficients [11, 33, 34 ].”
A conditional approach for multivariate extreme values (with discussion) (2004, background): “…impact assessment (Coles and Tawn, 1994; Joe, 1994; de Haan and de Ronde, 1998; Schlather and Tawn, 2003) to financial risk management (Embrechts et al., 1997; Longin, 2000; Stărică, 2000; Poon et al., 2004) and Internet traffic modelling (Maulik et al., 2002; Resnick and Rootzén, 2000).”
Stress-testing Financial Systems: An Overview of Current Methodologies (2004, background): “Poon et al., 2004), which offers asymptotic results that apply though to a large range of distributions.”
New Evidence of Asymmetric Dependence Structures in International Equity Markets (2008, neutral): “Other recent studies include Campbell, Koedijk, and Kofman (2002), Ang and Bekaert (2002), Das and Uppal (2004), Patton (2004), and Poon, Rockinger, and Tawn (2004).”
A revisit to the dependence structure between the stock and foreign exchange markets: A dependence-switching copula approach (2013, neutral): “Extreme value theory, however, assumes an asymptotic dependence which may lead to a serious over-estimation of financial risks (Poon et al., 2004).”
Are Banks Too Big to Fail? Measuring Systemic Importance of Financial Institutions (2010, methodology): “For instance, EVT was applied to measure risk contagions across different financial markets in Hartmann, Straetmans, and de Vries (2004) and Poon, Rockinger, and Tawn (2004).”