Mark Salmon

Economics and Econometrics · 2004–2009

A researcher in the Science corpus: 3 papers; trusts 3 researchers and is trusted by 25 researchers here, as inferred from the citation graph.

Subfields

• Economics and Econometrics — 21 citations into it; #3,762 of 23,481 by trust here, #7,755 by citations
• Finance — 21 citations into it; #1,781 of 10,518 by trust here, #3,077 by citations
• Statistics and Probability — 7 citations into it

Whom Mark Salmon trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Andrew J. Patton
2. Stephen Portnoy
3. Samuel Kotz

Who trusts Mark Salmon overall

1. Tae-Hwy Lee
2. Juan Carlos Reboredo
3. Xiaohong Chen
4. Andrew J. Patton
5. A. Mobarek
6. Wei Li
7. Natividad Blasco
8. Suresh G.
9. T. C. Chiang
10. Fan Fang

Papers from Mark Salmon's perspective

Ordered by how strongly the researchers Mark Salmon trusts endorse each paper. Same corpus, a different order for every researcher.

1. Correlation and dependence
2. Nonparametric estimation of the lower tail dependence λ L in bivariate copulas
3. Censored Regression Quantiles
4. Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls
5. Extreme Correlation of International Equity Markets
6. Dynamic Conditional Correlation a Simple Class of Multivariate GARCH Models
7. Testing the Gaussian copula hypothesis for financial assets dependences
8. Measurement of Aggregate Risk with Copulas
9. MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE a
10. On Default Correlation: A Copula Function Approach

Their papers

• Dynamic copula quantile regressions and tail area dynamic dependence in Forex markets (2009) — 144 citations
• Market Stress and Herding (2004) — 706 citations
• Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index (2005) — 46 citations