CoVaR of families of copulas
Author:
Funder
National Science Centre, Poland
Publisher
Elsevier BV
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference24 articles.
1. CoVaR;Adrian;Am. Econ. Rev.,2016
2. Bayesian tail risk interdependence using quantile regression;Bernardi;Bayesian Anal.,2015
3. Interconnected risk contributions: an heavy-tail approach to analyse US financial sectors;Bernardi;J. Risk Financ. Manag.,2015
4. Tails of multivariate Archimedean copulas;Charpentier;J. Multivariate Anal.,2009
5. On multivariate extensions of the conditional value-at-risk measure;Di Bernardino;Insurance Math. Econom.,2015
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