{"id":"https://openalex.org/W2962881069","doi":"https://doi.org/10.1214/17-aoas1089","title":"Time-varying extreme value dependence with application to leading European stock markets","display_name":"Time-varying extreme value dependence with application to leading European stock markets","publication_year":2018,"publication_date":"2018-03-01","ids":{"openalex":"https://openalex.org/W2962881069","doi":"https://doi.org/10.1214/17-aoas1089","mag":"2962881069"},"language":"en","primary_location":{"id":"doi:10.1214/17-aoas1089","doi":"https://doi.org/10.1214/17-aoas1089","is_oa":true,"landing_page_url":"https://doi.org/10.1214/17-aoas1089","pdf_url":"https://projecteuclid.org/journals/annals-of-applied-statistics/volume-12/issue-1/Time-varying-extreme-value-dependence-with-application-to-leading-European/10.1214/17-AOAS1089.pdf","source":{"id":"https://openalex.org/S112778392","display_name":"The Annals of Applied Statistics","issn_l":"1932-6157","issn":["1932-6157","1941-7330"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-c","doyens","jufo-3","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310319881","host_organization_name":"Institute of Mathematical Statistics","host_organization_lineage":["https://openalex.org/P4310319881"],"host_organization_lineage_names":["Institute of Mathematical Statistics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Annals of Applied Statistics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://projecteuclid.org/journals/annals-of-applied-statistics/volume-12/issue-1/Time-varying-extreme-value-dependence-with-application-to-leading-European/10.1214/17-AOAS1089.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5037423371","display_name":"Daniela Castro\u2010Camilo","orcid":"https://orcid.org/0000-0002-7536-4613","observed_orcids":["https://orcid.org/0000-0002-7536-4613"]},"institutions":[{"id":"https://openalex.org/I67415387","display_name":"Lancaster University","ror":"https://ror.org/04f2nsd36","country_code":"GB","type":"education","lineage":["https://openalex.org/I67415387"]},{"id":"https://openalex.org/I98677209","display_name":"University of Edinburgh","ror":"https://ror.org/01nrxwf90","country_code":"GB","type":"education","lineage":["https://openalex.org/I98677209"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Daniela Castro-Camilo","raw_affiliation_strings":["University of Science and Technology, University of Edinburgh, and Lancaster University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Science and Technology, University of Edinburgh, and Lancaster University","institution_ids":["https://openalex.org/I67415387","https://openalex.org/I98677209"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5033424403","display_name":"Miguel de Carvalho","orcid":"https://orcid.org/0000-0003-3248-6984","observed_orcids":["https://orcid.org/0000-0003-3248-6984"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Miguel de Carvalho","raw_affiliation_strings":["UNIVERSITY OF SCIENCE AND TECHNOLOGY THUWAL KINGDOM OF SAUDI ARABIA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"UNIVERSITY OF SCIENCE AND TECHNOLOGY THUWAL KINGDOM OF SAUDI ARABIA","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5068314877","display_name":"Jennifer L. Wadsworth","orcid":"https://orcid.org/0000-0003-2059-1234","observed_orcids":["https://orcid.org/0000-0003-2059-1234"]},"institutions":[{"id":"https://openalex.org/I67415387","display_name":"Lancaster University","ror":"https://ror.org/04f2nsd36","country_code":"GB","type":"education","lineage":["https://openalex.org/I67415387"]},{"id":"https://openalex.org/I98677209","display_name":"University of Edinburgh","ror":"https://ror.org/01nrxwf90","country_code":"GB","type":"education","lineage":["https://openalex.org/I98677209"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Jennifer Wadsworth","raw_affiliation_strings":["SCHOOL OF MATHEMATICS UNIVERSITY OF EDINBURGH EDINBURGH UNITED KINGDOM","University of Science and Technology, University of Edinburgh, and Lancaster University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"SCHOOL OF MATHEMATICS UNIVERSITY OF EDINBURGH EDINBURGH UNITED KINGDOM","institution_ids":["https://openalex.org/I98677209"]},{"raw_affiliation_string":"University of Science and Technology, University of Edinburgh, and Lancaster University","institution_ids":["https://openalex.org/I67415387","https://openalex.org/I98677209"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":3.8432,"has_fulltext":true,"cited_by_count":37,"citation_normalized_percentile":{"value":0.93838384,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"12","issue":"1","first_page":"283","last_page":"309"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.8779000043869019,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.8779000043869019,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.0917000025510788,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.00800000037997961,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/extreme-value-dependence","display_name":"extreme value dependence","score":0.8100000023841858},{"id":"https://openalex.org/keywords/time-varying-dependence","display_name":"time-varying dependence","score":0.9440000057220459},{"id":"https://openalex.org/keywords/asymptotic-dependence","display_name":"asymptotic dependence","score":0.871999979019165},{"id":"https://openalex.org/keywords/bivariate-extreme-value-distribution","display_name":"bivariate extreme value distribution","score":0.9750000238418579},{"id":"https://openalex.org/keywords/international-stock-markets","display_name":"international stock markets","score":0.6710000038146973},{"id":"https://openalex.org/keywords/european-stock-markets","display_name":"European stock markets","score":0.9819999933242798},{"id":"https://openalex.org/keywords/tail-dependence","display_name":"tail dependence","score":0.5080000162124634}],"concepts":[{"id":"https://openalex.org/C119043178","wikidata":"https://www.wikidata.org/wiki/Q320723","display_name":"Covariate","level":2,"score":0.7386549115180969},{"id":"https://openalex.org/C2777606061","wikidata":"https://www.wikidata.org/wiki/Q16991115","display_name":"Tail dependence","level":3,"score":0.717746376991272},{"id":"https://openalex.org/C64341305","wikidata":"https://www.wikidata.org/wiki/Q4919225","display_name":"Bivariate analysis","level":2,"score":0.7175286412239075},{"id":"https://openalex.org/C147581598","wikidata":"https://www.wikidata.org/wiki/Q729429","display_name":"Extreme value theory","level":2,"score":0.6980428695678711},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6842687726020813},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5884466767311096},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.45549213886260986},{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.44946035742759705},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.4203483760356903},{"id":"https://openalex.org/C169707849","wikidata":"https://www.wikidata.org/wiki/Q1617240","display_name":"Generalized extreme value distribution","level":3,"score":0.4194786548614502},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.41627931594848633},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3760114312171936},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3662366271018982},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.34123408794403076},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.29708024859428406},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.20210617780685425},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.20001935958862305},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.08880901336669922},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0}],"mesh":[],"locations_count":10,"locations":[{"id":"doi:10.1214/17-aoas1089","doi":"https://doi.org/10.1214/17-aoas1089","is_oa":true,"landing_page_url":"https://doi.org/10.1214/17-aoas1089","pdf_url":"https://projecteuclid.org/journals/annals-of-applied-statistics/volume-12/issue-1/Time-varying-extreme-value-dependence-with-application-to-leading-European/10.1214/17-AOAS1089.pdf","source":{"id":"https://openalex.org/S112778392","display_name":"The Annals of Applied Statistics","issn_l":"1932-6157","issn":["1932-6157","1941-7330"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-c","doyens","jufo-3","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310319881","host_organization_name":"Institute of Mathematical Statistics","host_organization_lineage":["https://openalex.org/P4310319881"],"host_organization_lineage_names":["Institute of Mathematical Statistics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Annals of Applied Statistics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:arx:papers:1709.01198","doi":null,"is_oa":false,"landing_page_url":"http://arxiv.org/pdf/1709.01198","pdf_url":"http://arxiv.org/pdf/1709.01198","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:arXiv.org:1709.01198","doi":null,"is_oa":true,"landing_page_url":"http://arxiv.org/abs/1709.01198","pdf_url":"https://arxiv.org/pdf/1709.01198","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"pmh:oai:pure.ed.ac.uk:openaire/91d09e67-41b3-403c-9f2c-89fd51d23b0f","doi":null,"is_oa":true,"landing_page_url":"https://hdl.handle.net/20.500.11820/91d09e67-41b3-403c-9f2c-89fd51d23b0f","pdf_url":"https://www.research.ed.ac.uk/files/41311355/paper.pdf","source":{"id":"https://openalex.org/S4306400321","display_name":"Edinburgh Research Explorer (University of Edinburgh)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I98677209","host_organization_name":"University of Edinburgh","host_organization_lineage":["https://openalex.org/I98677209"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-sa","license_id":"https://openalex.org/licenses/cc-by-nc-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Castro Camilo, D, de Carvalho, M & Wadsworth, J 2018, 'Time-varying extreme value dependence with application to leading European stock markets', Annals of Applied Statistics, vol. 12, no. 1, pp. 283-309. https://doi.org/10.1214/17-AOAS1089","raw_type":"info:eu-repo/semantics/article"},{"id":"mag:2745910630","doi":null,"is_oa":true,"landing_page_url":"https://arxiv.org/pdf/1709.01198.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"arXiv (Cornell University)","raw_type":null},{"id":"mag:3122649660","doi":null,"is_oa":false,"landing_page_url":"https://econpapers.repec.org/RePEc:arx:papers:1709.01198","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:CULeuclid:euclid.aoas/1520564473","doi":null,"is_oa":false,"landing_page_url":"https://projecteuclid.org/euclid.aoas/1520564473","pdf_url":null,"source":{"id":"https://openalex.org/S4306400787","display_name":"Project Euclid (Cornell University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Text"},{"id":"pmh:oai:eprints.gla.ac.uk:195442","doi":null,"is_oa":true,"landing_page_url":"https://eprints.gla.ac.uk/195442/","pdf_url":null,"source":{"id":"https://openalex.org/S4210235606","display_name":"ENLIGHTEN (Jurnal Bimbingan dan Konseling Islam)","issn_l":"2622-8912","issn":["2622-8912","2622-8920"],"is_oa":true,"is_in_doaj":true,"is_core":false,"listed_in":["doaj"],"host_organization":"https://openalex.org/I4405259220","host_organization_name":"Institut Agama Islam Negeri Langsa","host_organization_lineage":["https://openalex.org/I4405259220"],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Articles"},{"id":"pmh:oai:repository.kaust.edu.sa:10754/627548","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10754/627548","pdf_url":null,"source":{"id":"https://openalex.org/S4306401596","display_name":"King Abdullah University of Science and Technology Repository (King Abdullah University of Science and Technology)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I71920554","host_organization_name":"King Abdullah University of Science and Technology","host_organization_lineage":["https://openalex.org/I71920554"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article"},{"id":"doi:10.48550/arxiv.1709.01198","doi":"https://doi.org/10.48550/arxiv.1709.01198","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.1709.01198","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"Preprint"}],"best_oa_location":{"id":"doi:10.1214/17-aoas1089","doi":"https://doi.org/10.1214/17-aoas1089","is_oa":true,"landing_page_url":"https://doi.org/10.1214/17-aoas1089","pdf_url":"https://projecteuclid.org/journals/annals-of-applied-statistics/volume-12/issue-1/Time-varying-extreme-value-dependence-with-application-to-leading-European/10.1214/17-AOAS1089.pdf","source":{"id":"https://openalex.org/S112778392","display_name":"The Annals of Applied Statistics","issn_l":"1932-6157","issn":["1932-6157","1941-7330"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-c","doyens","jufo-3","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310319881","host_organization_name":"Institute of Mathematical Statistics","host_organization_lineage":["https://openalex.org/P4310319881"],"host_organization_lineage_names":["Institute of Mathematical Statistics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Annals of Applied Statistics","raw_type":"journal-article"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"score":0.41999998688697815,"id":"https://metadata.un.org/sdg/17","display_name":"Partnerships for the goals"}],"study_designs":[],"awards":[{"id":"https://openalex.org/G4574313108","display_name":"Centro de Estat\u00edstica e Aplica\u00e7\u00f5es","funder_award_id":"UID/MAT/00006/2013","funder_id":"https://openalex.org/F4320334779","funder_display_name":"Funda\u00e7\u00e3o para a Ci\u00eancia e a Tecnologia"}],"funders":[{"id":"https://openalex.org/F4320306076","display_name":"National Science Foundation","ror":"https://ror.org/021nxhr62"},{"id":"https://openalex.org/F4320320273","display_name":"University of Cambridge","ror":"https://ror.org/013meh722"},{"id":"https://openalex.org/F4320334779","display_name":"Funda\u00e7\u00e3o para a Ci\u00eancia e a Tecnologia","ror":"https://ror.org/00snfqn58"}],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2962881069.pdf","grobid_xml":"https://content.openalex.org/works/W2962881069.grobid-xml"},"referenced_works_count":60,"referenced_works":["https://openalex.org/W77314484","https://openalex.org/W128533561","https://openalex.org/W602946569","https://openalex.org/W620038288","https://openalex.org/W1487151803","https://openalex.org/W1500657154","https://openalex.org/W1580846952","https://openalex.org/W1786446732","https://openalex.org/W1940118276","https://openalex.org/W1964212085","https://openalex.org/W1969273688","https://openalex.org/W1970074788","https://openalex.org/W1971713783","https://openalex.org/W1975201751","https://openalex.org/W1976138120","https://openalex.org/W1976171518","https://openalex.org/W1979575715","https://openalex.org/W1983099978","https://openalex.org/W1988518787","https://openalex.org/W1990475559","https://openalex.org/W2008103017","https://openalex.org/W2029698240","https://openalex.org/W2033959536","https://openalex.org/W2046004231","https://openalex.org/W2058763692","https://openalex.org/W2060597638","https://openalex.org/W2076902108","https://openalex.org/W2079672223","https://openalex.org/W2089436810","https://openalex.org/W2096904991","https://openalex.org/W2101424588","https://openalex.org/W2101958621","https://openalex.org/W2107775361","https://openalex.org/W2122549219","https://openalex.org/W2130422837","https://openalex.org/W2132874737","https://openalex.org/W2154446794","https://openalex.org/W2155916155","https://openalex.org/W2165714389","https://openalex.org/W2168128858","https://openalex.org/W2211925278","https://openalex.org/W2352026778","https://openalex.org/W2391333480","https://openalex.org/W2460442175","https://openalex.org/W2531330460","https://openalex.org/W2977616276","https://openalex.org/W3021709961","https://openalex.org/W3121583330","https://openalex.org/W3121675937","https://openalex.org/W3122275744","https://openalex.org/W3123248190","https://openalex.org/W3123985283","https://openalex.org/W3124002889","https://openalex.org/W3124073321","https://openalex.org/W4229774059","https://openalex.org/W4238717354","https://openalex.org/W4242129407","https://openalex.org/W4250766106","https://openalex.org/W4285719527","https://openalex.org/W7075633772"],"related_works":["https://openalex.org/W2191951433","https://openalex.org/W2354299072","https://openalex.org/W2090656739","https://openalex.org/W1498524433","https://openalex.org/W2376804346","https://openalex.org/W4320919878","https://openalex.org/W4210590856","https://openalex.org/W1491652911","https://openalex.org/W2901642642","https://openalex.org/W2901563929"],"abstract_inverted_index":{"Extremal":[0],"dependence":[1,21,35,38,76,92,112],"between":[2],"international":[3],"stock":[4,97],"markets":[5,98],"is":[6,22,39],"of":[7,51,63,93,107],"particular":[8],"interest":[9],"in":[10,110],"today\u2019s":[11],"global":[12],"financial":[13],"landscape.":[14],"However,":[15],"previous":[16],"studies":[17],"have":[18],"shown":[19],"this":[20],"not":[23],"necessarily":[24],"stationary":[25],"over":[26,41,78,99,113],"time.":[27],"We":[28,81],"concern":[29],"ourselves":[30],"with":[31],"modeling":[32],"extreme":[33,66],"value":[34,67],"when":[36],"that":[37,69],"changing":[40],"time,":[42],"or":[43],"other":[44],"suitable":[45],"covariate.":[46,80],"Working":[47],"within":[48],"a":[49,56,64,79],"framework":[50],"asymptotic":[52],"dependence,":[53],"we":[54],"introduce":[55],"regression":[57],"model":[58,85],"for":[59],"the":[60,83,88,100],"angular":[61],"density":[62],"bivariate":[65],"distribution":[68],"allows":[70],"us":[71],"to":[72,86],"assess":[73,87],"how":[74],"extremal":[75,91,111],"evolves":[77],"apply":[82],"proposed":[84],"dynamics":[89],"governing":[90],"some":[94],"leading":[95],"European":[96],"last":[101],"three":[102],"decades,":[103],"and":[104],"find":[105],"evidence":[106],"an":[108],"increase":[109],"recent":[114],"years.":[115]},"counts_by_year":[{"year":2026,"cited_by_count":3},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":7},{"year":2023,"cited_by_count":6},{"year":2022,"cited_by_count":5},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":5},{"year":2019,"cited_by_count":3},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2019-07-30T00:00:00"}