Citation Impact
Citing Papers
A comprehensive survey on safe reinforcement learning
2015 Standout
Estimation of VaR Using Copula and Extreme Value Theory
2008
COVID-19 and finance: Agendas for future research
2020 Standout
A distributional code for value in dopamine-based reinforcement learning
2020 StandoutNatureNobel
Default cascades: When does risk diversification increase stability?
2012 Nobel
GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics
2001 StandoutNobel
A time-varying copula approach to oil and stock market dependence: The case of transition economies
2013 Standout
Extreme Contagion in Equity Markets
2004
Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models
2000 StandoutNobel
A New Capital Regulation for Large Financial Institutions
2011 StandoutNobel
Beyond Correlation: Extreme Co-movements Between Financial Assets
2002
A survey on FinTech
2017 Standout
Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure
2004 StandoutNobel
Mitigating financial fragility with Continuous Workout Mortgages
2012 StandoutNobel
Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam
2012
CoVaR
2016 Standout
Credit contagion and aggregate losses
2005
Empirical distributions of stock returns: between the stretched exponential and the power law?
2005
Is gold a hedge or safe haven against oil price movements?
2013 Standout
Geopolitical risks and stock market dynamics of the BRICS
2018 Standout
Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications
2003
Value-at-Risk and Extreme Returns
2000
Survey of intrusion detection systems: techniques, datasets and challenges
2019 Standout
MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*
2006
Dynamic Conditional Correlation
2002 StandoutNobel
Variational Mode Decomposition
2014 Standout
Banking Stability Measures
2009
COHERENCE AND ELICITABILITY
2014
Power-law distributions in empirical data
2018 Standout
Modelling Asymmetric Dependence Using Copula Functions: An Application to Value-at-Risk in the Energy Sector
2009
Pair-copula constructions of multiple dependence
2007 Standout
What good is a volatility model?
2001 StandoutNobel
Is there dependence and systemic risk between oil and renewable energy stock prices?
2014 Standout
Measuring Systemic Risk
2016 Standout
Value-at-risk versus expected shortfall: A practical perspective
2004
QuantCloud: Big Data Infrastructure for Quantitative Finance on the Cloud
2017
The impact of terrorism on financial markets: An empirical study
2010
Networks, Shocks, and Systemic Risk
2015 StandoutNobel
Extreme value theory and extremely large electricity price changes
2003
What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats?
2019 Standout
Systemic Risk and Stability in Financial Networks
2013 StandoutNobel
Forecasting Volatility in Financial Markets: A Review
2003 StandoutNobel
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach
2006 Standout
Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure
2006 StandoutNobel
Measures of risk
2004
Bank Incentives and Optimal CDOS
2009
CAViaR
2004 Nobel
Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?
2012
Systemic Risk in Endogenous Financial Networks
2015 StandoutNobel
Sampling from Archimedean copulas
2004
Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas
2010
Geopolitical risk and dynamic connectedness between commodity markets
2022 Standout
Evaluating predictive performance of value-at-risk models in emerging markets: a reality check
2006
Systemic Risk and Stability in Financial Networks
2015 StandoutNobel
Evaluation and Combination of Conditional Quantile Forecasts
2002
Works of Rüdiger Frey being referenced
Quantitative Risk Management: Concepts, Techniques and Tools : Concepts, Techniques and Tools
2015
VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights
2002
PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
2008
Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
2000
Dependent defaults in models of portfolio credit risk
2003
Modelling dependent defaults
2001