Investigating Extreme Dependences: Concepts and Tools
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Citations
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Cited by:
- Harry. M Kat, 2002. "The Dangers of Using Correlation to Measure Dependence," ICMA Centre Discussion Papers in Finance icma-dp2002-23, Henley Business School, University of Reading.
- Leonidas Sandoval Junior & Italo De Paula Franca, 2011. "Correlation of financial markets in times of crisis," Papers 1102.1339, arXiv.org, revised Mar 2011.
- Y. Malevergne & V. F. Pisarenko & D. Sornette, 2003. "Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?," Papers physics/0305089, arXiv.org.
- Y. Malevergne & D. Sornette, 2002. "Hedging Extreme Co-Movements," Papers cond-mat/0205636, arXiv.org.
- Leonidas Sandoval Junior & Italo De Paula Franca, 2011. "Shocks in financial markets, price expectation, and damped harmonic oscillators," Papers 1103.1992, arXiv.org, revised Sep 2011.
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