Contagion and Tail Risk in Complex Financial Networks

Bias-corrected estimation of stable tail dependence function

(2016) Jan Beirlant et al.   JOURNAL OF MULTIVARIATE ANALYSIS

Bias correction in multivariate extremes

(2015) Anne-Laure Fougères et al.   ANNALS OF STATISTICS

Using B-splines for nonparametric inference on bivariate extreme-value copulas

(2014) Eric Cormier et al.   Extremes

The Hidden Geometry of Complex, Network-Driven Contagion Phenomena

(2013) D. Brockmann et al.   SCIENCE

The Granular Origins of Aggregate Fluctuations

(2011)   ECONOMETRICA

t-Statistic Based Correlation and Heterogeneity Robust Inference

(2009) Rustam Ibragimov et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Rank − 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents

(2009) Xavier Gabaix et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Tail Index Regression

(2009) Hansheng Wang et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION