CoVaR of families of copulas

CoVaR

Tobias Adrian, Markus K. Brunnermeier · American Economic Review · 2016 · 2.2K citations

Empirical Finance, Economics, Financial Economics +13

Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions

Alexander J. McNeil · 2009 · 622 citations

Density Estimation, Engineering, Survival Copulas +11

Systemic risk measurement: Multivariate GARCH estimation of CoVaR

Giulio Girardi, A. Tolga Ergün · Journal of Banking & Finance · 2013 · 599 citations

Systemic Risk Measurement, Engineering, Financial Risk Management +8

Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions

The Annals of Statistics · 2009 · 490 citations · Full text

Density Estimation, Engineering, Survival Copulas +11

TENET: Tail-Event driven NETwork risk

Wolfgang Karl Härdle, Lining Yu · Journal of Econometrics · 2016 · 441 citations

Network Science, Engineering, Survivable Network +5