1. TailCoR: A new and simple metric for tail correlations that disentangles the linear and nonlinear dependencies that cause extreme co-movements. (2023). Ley, Christophe ; Babi, Sladana ; Veredas, David ; Ricci, Lorenzo.
   In: PLOS ONE.
   RePEc:plo:pone00:0278599.

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2. The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate. (2023). Chang, Kuang-Liang.
   In: Journal of International Money and Finance.
   RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000402.

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3. Selection of mixed copula for association modeling with tied observations. (2022). Qin, Yichen ; Shen, YE ; Li, Yang ; Si, Jiesheng ; Wang, Fan.
   In: Statistical Methods & Applications.
   RePEc:spr:stmapp:v:31:y:2022:i:5:d:10.1007_s10260-022-00628-3.

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4. A multicountry measure of comovement and contagion in international markets: definition and applications. (2022). Tessler, Nina ; Venezia, Itzhak.
   In: Review of Quantitative Finance and Accounting.
   RePEc:kap:rqfnac:v:58:y:2022:i:4:d:10.1007_s11156-021-01025-9.

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5. Predicting tail events in a RIA-EVT-Copula framework. (2022). Zhou, Wei-Xing ; Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Li, Wei-Zhen ; Zhai, Jin-Rui.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:600:y:2022:i:c:s0378437122003703.

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6. Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence. (2022). Liu, Xing ; Zhang, Weiguo ; Mo, Guoli ; Tan, Chunzhi.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001765.

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7. Exchange rates and the global transmission of equity market shocks. (2022). Reboredo, Juan ; Ojea-Ferreiro, Javier.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:114:y:2022:i:c:s0264999322001602.

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8. Do investors gain from forecasting the asymmetric return co‐movements of financial and real assets?. (2021). Poshakwale, Sunil S ; Power, Gabriel J ; Mandal, Anandadeep.
   In: International Journal of Finance & Economics.
   RePEc:wly:ijfiec:v:26:y:2021:i:3:p:3246-3268.

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9. Asymmetric dependence of intraday frequency components in the Brazilian stock market. (2021). Safadi, Thelma ; de Marillac, Marcela ; de Oliveira, Luiz Otavio ; Gomes, Gabriel Rodrigo.
   In: SN Business & Economics.
   RePEc:spr:snbeco:v:1:y:2021:i:6:d:10.1007_s43546-021-00080-7.

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10. A New Dynamic Mixture Copula Mechanism to Examine the Nonlinear and Asymmetric Tail Dependence Between Stock and Exchange Rate Returns. (2021). Chang, Kuang-Liang.
    In: Computational Economics.
    RePEc:kap:compec:v:58:y:2021:i:4:d:10.1007_s10614-020-09981-5.

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11. Exchange rates and the global transmission of equity market shocks. (2021). Reboredo, Juan ; Ojea Ferreiro, Javier ; Ojea-Ferreiro, Javier.
    In: JRC Working Papers in Economics and Finance.
    RePEc:jrs:wpaper:202105.

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12. Investigating liquidity constraints as a channel of contagion: a regime switching approach. (2020). Shijin, Santhakumar ; Sruthi, Rajan.
    In: Financial Innovation.
    RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00185-2.

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13. Diversification and portfolio theory: a review. (2020). Koumou, Nettey Boevi Gilles.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:34:y:2020:i:3:d:10.1007_s11408-020-00352-6.

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14. Comovement in the commodity futures markets: An analysis of the energy, grains, and livestock sectors. (2020). Adhikari, Ramesh ; Putnam, Kyle J.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:18:y:2020:i:c:s2405851318300680.

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15. Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors. (2020). Maouchi, Youcef ; Charfeddine, Lanouar ; Benlagha, Noureddine.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:85:y:2020:i:c:p:198-217.

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16. Dependence structures and risk spillover in China’s credit bond market: A copula and CoVaR approach. (2020). Yang, Lu ; Hamori, Shigeyuki ; Ho, Kung-Cheng.
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:68:y:2020:i:c:s1049007820300440.

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17. TailCoR. (2020). Ricci, Lorenzo ; Babi, Sladjana ; Veredas, David ; Ley, Christophe.
    In: Papers.
    RePEc:arx:papers:2011.14817.

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18. Predicting tail events in a RIA-EVT-Copula framework. (2020). Zhou, Wei-Xing ; Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Li, Wei-Zhen ; Zhai, Jin-Rui.
    In: Papers.
    RePEc:arx:papers:2004.03190.

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19. Detecting structural differences in tail dependence of financial time series. (2019). Schienle, Melanie ; Bormann, Carsten.
    In: Working Paper Series in Economics.
    RePEc:zbw:kitwps:122.

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20. A country specific point of view on international diversification. (2019). Kellner, Ralf ; Rosch, Daniel.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:98:y:2019:i:c:3.

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21. The Core, Periphery, and Beyond: Stock Market Comovements among EU and Non‐EU Countries. (2019). Goldstein, Michael A ; McCarthy, Joseph ; Orlov, Alexei G.
    In: The Financial Review.
    RePEc:bla:finrev:v:54:y:2019:i:1:p:5-56.

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22. Leverage and Volatility Feedback Effects and Conditional Dependence Index: A Nonparametric Study. (2018). Wu, Ximing ; Sun, Yiguo.
    In: JRFM.
    RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:29-:d:151386.

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23. Extreme co-movements and dependencies among major international exchange rates: A copula approach. (2018). Tiwari, Aviral ; Albulescu, Claudiu ; Goyeau, Daniel ; Aubin, Christian.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:69:y:2018:i:c:p:56-69.

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24. Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries. (2018). Yang, Lu ; Hamori, Shigeyuki.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:59:y:2018:i:c:p:19-34.

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25. Time-varying copula models in the shipping derivatives market. (2017). Yang, Zhongzhi ; Shi, Wenming ; Li, Kevin X ; Wang, Ganggang.
    In: Empirical Economics.
    RePEc:spr:empeco:v:53:y:2017:i:3:d:10.1007_s00181-016-1146-9.

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26. Regime Switching Vine Copula Models for Global Equity and Volatility Indices. (2017). Klimova, Yulia ; Stober, Jakob ; Fink, Holger ; Czado, Claudia.
    In: Econometrics.
    RePEc:gam:jecnmx:v:5:y:2017:i:1:p:3-:d:86821.

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27. Conditional dependence between international stock markets: A long memory GARCH-copula model approach. (2017). Mokni, Khaled ; Mansouri, Faysal.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:42-43:y:2017:i::p:116-131.

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28. Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach. (2017). Zeitun, Rami ; Shahzad, Syed Jawad Hussain ; Mensi, walid ; Hussain, Syed Jawad ; Hammoudeh, Shawkat ; Ur, Mobeen.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:32:y:2017:i:c:p:130-147.

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29. Time-Varying Linkage of Possible Safe Haven Assets: A Cross-Market and Cross-asset Analysis. (2017). Liu, Wei-Han ; Nguyen, Phong.
    In: International Review of Finance.
    RePEc:bla:irvfin:v:17:y:2017:i:1:p:43-76.

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30. Modeling the dependence structures of financial assets through the Copula Quantile-on-Quantile approach. (2016). Sim, Nicholas.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:48:y:2016:i:c:p:31-45.

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31. Gold price and stock markets nexus under mixed-copulas. (2016). Bhatti, Muhammad ; Komornikova, Magda ; Nguyen, Cuong.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:58:y:2016:i:c:p:283-292.

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32. Regime switching vine copula models for global equity and volatility indices. (2016). Klimova, Yulia ; Stober, Jakob ; Fink, Holger ; Czado, Claudia.
    In: Papers.
    RePEc:arx:papers:1604.05598.

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33. Switching-GAS Copula Models With Application to Systemic Risk. (2016). Catania, Leopoldo ; Bernardi, Mauro.
    In: Papers.
    RePEc:arx:papers:1504.03733.

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34. On the Dynamic Dependence between US and other Developed Stock Markets: An Extreme-value Time-varying Copula Approach. (2015). Sghaier, Nadia ; Boubaker, Heni.
    In: Bankers, Markets & Investors.
    RePEc:rbq:journl:i:136-137:p:80-93.

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35. Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula. (2015). Zhao, Yang ; Kim, Minjoo ; cerrato, mario ; Crosby, John.
    In: Working Papers.
    RePEc:gla:glaewp:2015_15.

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36. Do DOW returns really influence the intraday Spanish stock market behavior?. (2015). Miralles Quirós, José ; Daza-Izquierdo, Julio ; Miralles-Quiros, Jose Luis.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:33:y:2015:i:c:p:99-126.

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37. Is volatility clustering of asset returns asymmetric?. (2015). Xu, Dinghai ; Ning, Cathy ; Wirjanto, Tony S..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:52:y:2015:i:c:p:62-76.

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38. Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas. (2015). Yang, Lu ; Hamori, Shigeyuki ; Cai, Xiaojing ; Li, Mengling.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:51:y:2015:i:c:p:308-314.

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39. Industry co-movements of American depository receipts: Evidences from the copula approaches. (2015). Lee, Chien-Chiang ; Chen, Mei-Ping ; Chang, Chi-Hung.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:46:y:2015:i:c:p:301-314.

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40. US Monetary and Fiscal Policies - Conflict or Cooperation?. (2015). Zhao, Yang ; Kim, Minjoo ; Cerrato, Mario ; Crosby, John.
    In: SIRE Discussion Papers.
    RePEc:edn:sirdps:686.

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41. US Monetary and Fiscal Policies - Conflict or Cooperation?. (2015). Zhao, Yang ; Kim, Minjoo ; Cerrato, Mario ; Crosby, John.
    In: 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon.
    RePEc:ags:aaea07:686.

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42. The optimal portfolio under VaR and ES. (2014). Gurgul, Henryk ; Machno, Artur.
    In: Operations Research and Decisions.
    RePEc:wut:journl:v:2:y:2014:p:59-79:id:1094.

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43. Selection of Mixed Copula Model via Penalized Likelihood. (2014). CAI, ZONGWU ; Wang, Xian.
    In: Journal of the American Statistical Association.
    RePEc:taf:jnlasa:v:109:y:2014:i:506:p:788-801.

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44. Is Volatility Clustering of Asset Returns Asymmetric?. (2014). Xu, Dinghai ; Ning, Cathy ; Wirjanto, Tony.
    In: Working Papers.
    RePEc:rye:wpaper:wp050.

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45. Dependence patterns among Banking Sectors in Asia: A Copula Approach. (2014). Premaratne, Gamini ; Odei-Mensah, Jones.
    In: MPRA Paper.
    RePEc:pra:mprapa:60119.

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46. Evaluating the macroeconomic impacts of bio-based applications in the EU.. (2014). Meijl, Hans ; Smeets, Edward ; Vinyes, Cristina ; Brink, Corjan ; Prins, Anne Gerdien ; Tabeau, Andrzej ; van Meijl, Hans.
    In: JRC Research Reports.
    RePEc:ipt:iptwpa:jrc91385.

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47. On the dynamic dependence between US and other developed stock markets: An extreme. (2014). Sghaier, Nadia ; Boubaker, Heni.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-94.

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48. On the dynamic dependence between US and other developed stock markets: An extreme-value time-varying copula approach. (2014). Sghaier, Nadia ; Boubaker, Heni.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-281.

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49. On the dynamic dependence between US and other developed stock markets: An extreme-value time-varying copula approach. (2014). Sghaier, Nadia ; Boubaker, Heni.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-094.

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50. Dependence structure between CEEC-3 and German government securities markets. (2014). Yang, Lu ; Hamori, Shigeyuki.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:29:y:2014:i:c:p:109-125.

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51. Dependence structure among international stock markets: a GARCH--copula analysis. (2013). Yang, Lu ; Hamori, Shigeyuki.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:23:y:2013:i:23:p:1805-1817.

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52. An Investigation of the Flight-to-Quality Effect: Evidence from Asia-Pacific Countries. (2013). Hsueh, Paul L. ; Chang, Chiu-Lan.
    In: Emerging Markets Finance and Trade.
    RePEc:mes:emfitr:v:49:y:2013:i:s4:p:53-69.

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53. Can advanced markets help diversify risks in frontier stock markets? Evidence from Gulf Arab stock markets. (2013). Demirer, Riza.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:29:y:2013:i:c:p:77-98.

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54. Multidimensional risk and risk dependence. (2013). Stoja, Evarist ; Zhang, Ren ; Polanski, Arnold.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:8:p:3286-3294.

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55. The structure and degree of dependence: A quantile regression approach. (2013). Baur, Dirk.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:3:p:786-798.

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56. Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach. (2013). Sghaier, Nadia ; Boubaker, Heni.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:2:p:361-377.

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57. Commodity and equity markets: Some stylized facts from a copula approach. (2013). Lopez, Claude ; Delatte, Anne-Laure.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:12:p:5346-5356.

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58. Asymmetric Dependence between Aggregate Consumption and Financial Risk. (2012). Ning, Cathy ; Chollete, Loran.
    In: Working Papers.
    RePEc:rye:wpaper:wp046.

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59. Spillover Effect in the MENA Area: Case of Four Financial Markets. (2012). El Alaoui, Marwane ; Benbachir, Saad.
    In: MPRA Paper.
    RePEc:pra:mprapa:48682.

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60. Commodity and Equity Markets: Some Stylized Facts from a Copula Approach.. (2012). Lopez, Claude ; Delatte, Anne-Laure.
    In: MPRA Paper.
    RePEc:pra:mprapa:39860.

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61. Modelling oil price and exchange rate co-movements. (2012). Reboredo, Juan.
    In: Journal of Policy Modeling.
    RePEc:eee:jpolmo:v:34:y:2012:i:3:p:419-440.

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62. International diversification: An extreme value approach. (2012). de la Pea, Victor ; Chollete, Lorn ; Lu, Ching-Chih.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:3:p:871-885.

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63. Do food and oil prices co-move?. (2012). Reboredo, Juan.
    In: Energy Policy.
    RePEc:eee:enepol:v:49:y:2012:i:c:p:456-467.

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64. Recovering copulas from limited information and an application to asset allocation. (2011). Chu, Ba.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:7:p:1824-1842.

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65. The diversification effects of volatility-related assets. (2011). Chung, San-Lin ; Ho, Keng-Yu ; Chen, Hsuan-Chi.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:5:p:1179-1189.

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66. Extreme dependence with asymmetric thresholds: Evidence for the European Monetary Union. (2011). Herrera, Rodrigo ; Eichler, Stefan.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:11:p:2916-2930.

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67. The Aftermath of Financial Crises. (2009). Rogoff, Kenneth ; Reinhart, Carmen.
    In: Scholarly Articles.
    RePEc:hrv:faseco:11129155.

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