Extreme Financial Risks: From Dependence to Risk Management

By Yannick Malevergne, Didier Sornette. 2005

250 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/a3130f6845d208a14e18492a5c6bf284385fb867

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Citations in the corpus

Absolutely Continuous Copulas with Given Diagonal Sections (2008, background): “…tail dependence coefficients) have been largely considered in several financial applications: see, for example, Albrecher et al. (2006), Charpentier and Segers (2007), Frahm et al. (2005), Juri and Wüthrich (2002), Malevergne and Sornette (2006), Schmidt and Stadtmüller (2006), and Zhang (2008).”
Shocks, Crashes and Bubbles in Financial Markets (2010, background): “These two phenomena are reminiscent of the contagion literature (see Claessen et al., 2001; Forbes and Rigobon, 2002; Malevergne and Sornette, 2002; Malevergne and Sornette, 2006 for reviews), which refer to manifestations of propagating crises resulting from an increase in the correlation (or…”
Asymptotic Results for the Sum of Dependent Non-identically Distributed Random Variables (2009, background): “A classical problem in this context is to investigate the asymptotic behaviour of the exceedance probabilities P(Sn > u) for large u, and many results have been derived under varying degree of generality in the literature; most of them for independent X1, . . . , Xn (see for instance [10, 12, 25]).”
Rectangular Patchwork for Bivariate Copulas and Tail Dependence (2009, background): “Relevant applications of this fact are provided, for instance, in finance (see Cherubini et al., 2004; Malevergne and Sornette, 2006; McNeil et al., 2005) and in hydrology (see Salvadori et al., 2007).”
Copula goodness-of-fit testing: an overview and power comparison (2009, background): “For exhaustive and general introductions to copulae, the reader is referred to Joe (1997) and Nelsen (1999), and for introductions oriented to financial applications, Malevergne and Sornette (2006) and Cherubini et al. (2004).”
Finite-size effect and the components of multifractality in financial volatility (2009, background): “This striking feature is consistent with the inverse cubic law of financial returns [70], which also holds for daily DJIA returns [71].”
Financial Applications of Random Matrix Theory: a short review (2009, unknown): “Mantegna, Physical Review E 62, R7615-R7618 (2000) [33] Y.”
Correlation of financial markets in times of crisis (2011, unknown): “-k.”
Clarifications to questions and criticisms on the Johansen–Ledoit–Sornette financial bubble model (2011, background): “In many cases, market risk is contagious [41] and market corrections and crashes occur successively in a short period [42] including the latest financial crisis, which is partially due to globalization and assets diversification such that the US stock market and world financial stock market exhibit ”
On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns (2006, background): “…ratio or other reasonable standard measures of dependence, the monotonous change of variable (Equation 14) is no more innocuous as the correlation may become as small as desired under a suitable choice of a strictly increasing transformation (see for instance Malevergne and Sornette, 2005).”
The Joint Distribution of Stock Returns is Not Elliptical (2010, unknown): “More precisely, the upper tail dependence is defined as [14,30]:”