Crisis and risk dependencies

Multivariate Models and Dependence Concepts.

Trevor J. Ringrose, Harry Joe · Biometrics · 1998 · 3.5K citations

Statistical Review, Behavioral Sciences, Joint Responses +10

Remarks on a Multivariate Transformation

Murray Rosenblatt · The Annals of Mathematical Statistics · 1952 · 2.8K citations · Full text

Multivariate Transformation, Multivariate Approximation, Functional Analysis +2

Extreme Correlation of International Equity Markets

François Longin, Bruno Solnik · The Journal of Finance · 2001 · 2.5K citations

Empirical Finance, Economics, Volatility Modeling +14

MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*

Andrew J. Patton · International Economic Review · 2006 · 2.1K citations

Currency Movements, Economics, Deutsche Mark +14

Pair-copula constructions of multiple dependence

Kjersti Aas, Claudia Czado, Arnoldo Frigessi et al. · Insurance Mathematics and Economics · 2007 · 2K citations · Full text

Multivariate Analysis, Graphical Model, Business +5