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Poon, S.-H., Rockinger, M. and Tawn, J. (2004) Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications. The Review of Financial Studies, 17, 581-610.
https://doi.org/10.1093/rfs/hhg058

has been cited by the following article:

• TITLE: Dynamics of Short and Long Term Debt Market Integration in the South Asian Economies

  AUTHORS: Sanjay Sehgal, Piyush Pandey, Sakshi Saini

  KEYWORDS: Short Term Debt Market Integration, Long Term Debt Market Integration, South Asia, Time Varying Copula, Diebold and Yilmaz

  JOURNAL NAME: Theoretical Economics Letters, Vol.8 No.11, August 22, 2018

  ABSTRACT: We investigate the extent of financial integration in both short and long term government debt markets of five South Asian economies from January 2004 to May 2016. We employ copula functions and find weak dependencies in their short and long term debt markets. We supplement our analysis using Diebold and Yilmaz spillover index and find low level of return spillover across both short and long term debt markets, thereby reconfirming low level of financial integration in the debt markets of the region. Linkages between short and long term debt markets are also weak suggesting underdeveloped nature of these markets.