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1

Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach

Alexander J. McNeil, Rüdiger Frey

Journal:

Journal of Empirical Finance

Year:

2000

Language:

english

File:

PDF, 372 KB

english, 2000

2

Multinomial VaR backtests: A simple implicit approach to backtesting expected shortfall

Kratz, Marie, Lok, Yen H., McNeil, Alexander J.

Journal:

Journal of Banking & Finance

Year:

2018

Language:

english

File:

PDF, 2.39 MB

english, 2018

3

Spectral backtests of forecast distributions with application to risk management

Gordy, Michael B., McNeil, Alexander J.

Journal:

Journal of Banking & Finance

Year:

2020

File:

PDF, 733 KB

2020

4

VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights

Rüdiger Frey, Alexander J. McNeil

Journal:

Journal of Banking & Finance

Year:

2002

Language:

english

File:

PDF, 205 KB

english, 2002

5

Integrated models of capital adequacy – Why banks are undercapitalised

Gavin Kretzschmar, Alexander J. McNeil, Axel Kirchner

Journal:

Journal of Banking & Finance

Year:

2010

Language:

english

File:

PDF, 342 KB

english, 2010

6

The t Copula and Related Copulas

Stefano Demarta, Alexander J. McNeil

Journal:

International Statistical Review

Year:

2005

Language:

english

File:

PDF, 820 KB

english, 2005

7

The Laplace Distribution and Generalizations: A Revisit With Applications to Communications, Economics, Engineering, and Finance

McNeil, Alexander J

Journal:

Journal of the American Statistical Association

Year:

2002

Language:

english

File:

PDF, 112 KB

english, 2002

8

Multivariate Archimedean copulas, d -monotone functions and ℓ 1 -norm symmetric distributions

McNeil, Alexander J., Nešlehová, Johanna

Journal:

The Annals of Statistics

Year:

2009

Language:

english

File:

PDF, 497 KB

english, 2009

9

Bayes estimates for immunological progression rates in HIV disease

Alexander J. McNeil

Journal:

Statistics in Medicine

Year:

1997

Language:

english

File:

PDF, 1.98 MB

english, 1997

10

From Archimedean to Liouville copulas

Alexander J. McNeil, Johanna Nešlehová

Journal:

Journal of Multivariate Analysis

Year:

2010

Language:

english

File:

PDF, 2.71 MB

english, 2010

11

An algorithm for nonparametric GARCH modelling

Peter Bühlmann, Alexander J. McNeil

Journal:

Computational Statistics & Data Analysis

Year:

2002

Language:

english

File:

PDF, 583 KB

english, 2002

12

Multivariate stress scenarios and solvency

Alexander J. McNeil, Andrew D. Smith

Journal:

Insurance: Mathematics and Economics

Year:

2012

Language:

english

File:

PDF, 378 KB

english, 2012

13

From default probabilities to credit spreads: Credit risk models do explain market prices

Stefan M. Denzler, Michel M. Dacorogna, Ulrich A. Müller, Alexander J. McNeil

Journal:

Finance Research Letters

Year:

2006

Language:

english

File:

PDF, 481 KB

english, 2006

14

Bayesian inference for generalized linear mixed models of portfolio credit risk

Alexander J. McNeil, Jonathan P. Wendin

Journal:

Journal of Empirical Finance

Year:

2007

Language:

english

File:

PDF, 455 KB

english, 2007

15

Broad vaccine coverage predicted for a bivalent recombinant factor H binding protein based vaccine to prevent serogroup B meningococcal disease

Han-Qing Jiang, Susan K. Hoiseth, Shannon L. Harris, Lisa K. McNeil, Duzhang Zhu, Cuiwen Tan, Adrienne A. Scott, Kristin Alexander, Kathryn Mason, Lynn Miller, Ida DaSilva, Michelle Mack, Xiao-Juan Zh

Journal:

Year:

2010

Language:

english

File:

PDF, 359 KB

english, 2010

16

The t Copula and Related Copulas

Stefano Demarta and Alexander J. McNeil

Journal:

International Statistical Review

Year:

2005

Language:

english

File:

PDF, 2.07 MB

english, 2005

17

Statistical Analysis of Extreme Values: From Insurance, Finance, Hydrology and Other Fieldsby R-D. Reiss; M. Thomas

Review by: Alexander J. McNeil

Journal:

Journal of the American Statistical Association

Year:

1998

Language:

english

File:

PDF, 674 KB

english, 1998

18

Topics in Advanced Econometrics.by Herman J. Bierens

Review by: Alexander J. McNeil

Journal:

Journal of the American Statistical Association

Year:

1997

Language:

english

File:

PDF, 88 KB

english, 1997

19

The Laplace Distribution and Generalizations: A Revisit with Applications to Communications, Economics, Engineering, and Financeby Samuel Kotz; Tomasz J. Kozubowski; Krzystof Podgórski

Review by: Alexander J. McNeil

Journal:

Journal of the American Statistical Association

Year:

2002

Language:

english

File:

PDF, 143 KB

english, 2002

20

Subadditivity of Value-at-Risk for Bernoulli random variables

Hofert, Marius, McNeil, Alexander J.

Journal:

Statistics & Probability Letters

Year:

2015

Language:

english

File:

PDF, 526 KB

english, 2015

21

Enterprise Risk Management

McNeil, Alexander J.

Journal:

Annals of Actuarial Science

Year:

2013

Language:

english

File:

PDF, 169 KB

english, 2013

22

Modelling the liquidity premium on corporate bonds

van Loon, Paul R.F., Cairns, Andrew J.G., McNeil, Alexander J., Veys, Alex

Journal:

Annals of Actuarial Science

Year:

2015

Language:

english

File:

PDF, 1.21 MB

english, 2015

23

[Society of Petroleum Engineers SPE European Formation Damage Conference - Sheveningen, The Netherlands (2005-05-25)] SPE European Formation Damage Conference - Getting a Clear Picture B The First Application of high-density brine based Non-Damaging Drilling and Completion Fluids in QatarBs North Field

Knox, David Alexander, Svoboda, Charles F., Sorgard, Eirik, McNeil, Robert I., Zeilinger, Sabine

Language:

english

File:

PDF, 380 KB

english

24

Dependence Modeling with Copulas, by Harry Joe. Monographs on Statistics and Applied probability 134, Published by CRC Press, 2015. Total number of pages: 18 + 462. ISBN: 978-1-4665-8322-1 (Hardback)

Mcneil, Alexander J.

Journal:

Journal of Time Series Analysis

Year:

2015

Language:

english

File:

PDF, 32 KB

english, 2015

25

SPIE Proceedings [SPIE SPIE Third International Symposium on Fluctuations and Noise - Austin, TX (Monday 23 May 2005)] Noise and Fluctuations in Econophysics and Finance - From default probabilities to credit spreads: credit risk models explain market prices (Keynote Address)

Denzler, Stefan M., Abbott, Derek, Bouchaud, Jean-Philippe, Dacorogna, Michel M., Muller, Ulrich A., Gabaix, Xavier, McCauley, Joseph L., McNeil, Alexander J.

Year:

2005

Language:

english

File:

PDF, 368 KB

english, 2005

26

Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling

Lindskog, Filip, McNeil, Alexander J.

Journal:

Year:

2003

Language:

english

File:

PDF, 484 KB

english, 2003

27

High-Altitude Acclimatization Improves Recovery from Muscle Fatigue

RUGGIERO, LUCA, HOILAND, RYAN L., HANSEN, ALEXANDER B., AINSLIE, PHILIP N., MCNEIL, CHRIS J.

Journal:

Medicine & Science in Sports & Exercise

Year:

2020

File:

PDF, 511 KB

2020

28

STATISTICAL ANALYSIS OF ZIDOVUDINE (AZT) EFFECT ON CD4 CELL COUNTS IN HIV DISEASE

ALEXANDER J. MCNEIL, SHEILA M. GORE

Journal:

Statistics in Medicine

Year:

1996

Language:

english

File:

PDF, 1.14 MB

english, 1996

29

Studies on adrenal cortical activity in patients with rheumatoid arthritis: The diurnal pattern and twenty-four hour levels of urinary total 17-hydroxycorticosteroids and 17-ketosteroids

S. Richardson Hill Jr., Howard L. Holley, Alexander Ulloa, Willard R. Starnes, Lester L. Hibbitt, Jean H. McNeil

Journal:

Arthritis & Rheumatism

Year:

1959

Language:

english

File:

PDF, 879 KB

english, 1959

30

Discussion: Statistical models and methods for dependence in insurance data

Alexander J. McNeil

Journal:

Journal of the Korean Statistical Society

Year:

2011

Language:

english

File:

PDF, 126 KB

english, 2011

31

Book Review

Alexander J McNeil

Journal:

Insurance: Mathematics and Economics

Year:

2000

Language:

english

File:

PDF, 28 KB

english, 2000

32

Interleukin-1β Reduces Transcellular Monocyte Diapedesis and Compromises Endothelial Adherens Junction Integrity

ALEXANDER M. FERREIRA, CEARA J. MCNEIL, KAREN M. STALLAERT, KEM A. ROGERS, MARTIN SANDIG

Journal:

Microcirculation

Year:

2005

Language:

english

File:

PDF, 1.59 MB

english, 2005

33

Likelihood inference for Archimedean copulas in high dimensions under known margins

Marius Hofert, Martin Mächler, Alexander J. McNeil

Journal:

Journal of Multivariate Analysis

Year:

2012

Language:

english

File:

PDF, 857 KB

english, 2012

34

Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility

Yuanhua Feng, Alexander J. McNeil

Journal:

Economic Modelling

Year:

2008

Language:

english

File:

PDF, 2.05 MB

english, 2008

35

Detection of LP2086 on the cell surface of Neisseria meningitidis and its accessibility in the presence of serogroup B capsular polysaccharide

Lisa K. McNeil, Ellen Murphy, Xiao-Juan Zhao, Stephen Guttmann, Shannon L. Harris, Adrienne A. Scott, Cuiwen Tan, Michelle Mack, Ida DaSilva, Kristin Alexander, Kathryn Mason, Han-Qing Jiang, Duzhang

Journal:

Year:

2009

Language:

english

File:

PDF, 685 KB

english, 2009

36

DAP12-Deficient Mice Fail to Develop Autoimmunity Due to Impaired Antigen Priming

Alexander B.H. Bakker, Robert M. Hoek, Adelheid Cerwenka, Bianca Blom, Linda Lucian, Tom McNeil, Richard Murray, Joseph H. Phillips, Jonathon D. Sedgwick, Lewis L. Lanier

Journal:

Year:

2000

Language:

english

File:

PDF, 267 KB

english, 2000

37

Cellular exposure to muscle relaxants and propofol could lead to genomic instability in vitro

Allen Edward Coleman, Nicole McNeil, Alexander Leonidovich Kovalchuck, Dara Wangsa, Thomas Ried, Hong Wang

Journal:

Journal of Biomedical Research

Year:

2012

Language:

english

File:

PDF, 895 KB

english, 2012

38

Combined transplantation of the heart, lung, and liver

Raaj K Praseedom, Keith D McNeil, Christopher JE Watson, Graeme J Alexander, Roy Y Calne, John Wallwork, Peter J Friend

Journal:

Year:

2001

Language:

english

File:

PDF, 55 KB

english, 2001

39

The expression of the ubiquitin ligase SIAH2 (sevenin absentiahomolog 2) is mediated through gene copy number in breast cancer and is associated with a basal-like phenotype and p53 expression

Peter Chan, Andreas Möller, Mira CP Liu, Jaclyn E Sceneay, Christina SF Wong, Nic Waddell, Katie T Huang, Alexander Dobrovic, Ewan KA Millar, Sandra A O’Toole, Catriona M McNeil, Robert L Sutherland,

Journal:

Breast Cancer Research

Year:

2011

Language:

english

File:

PDF, 1.22 MB

english, 2011

40

Sampling nested Archimedean copulas

McNeil, Alexander J.

Journal:

Journal of Statistical Computation and Simulation

Year:

2008

Language:

english

File:

PDF, 753 KB

english, 2008

41

The Leishmania mexicana Cysteine Protease, CPB2.8, Induces Potent Th2 Responses

Pollock, K. G. J., McNeil, K. S., Mottram, J. C., Lyons, R. E., Brewer, J. M., Scott, P., Coombs, G. H., Alexander, J.

Journal:

The Journal of Immunology

Year:

2003

Language:

english

File:

PDF, 476 KB

english, 2003

42

Su1252 The Natural History of Inflammatory Bowel Disease (IBD) in an Australian Based Community Cohort: Investigating Predictors of Severe Disease and Risk of Complications

Niewiadomski, Olga, Ding, Nik S., Knight, Ross E., Dabkowski, Paul, Hair, Christopjher S., Prewett, Emily, Alexander, Sina, Dowling, Damian, Popp, Benjamin, McNeil, John, Wilson, Jarrad, Studd, Corrie

Journal:

Gastroenterology

Year:

2013

Language:

english

File:

PDF, 286 KB

english, 2013

43

P621 The natural history of inflammatory bowel disease (IBD) in an Australian based community cohort: investigating predictors of severe disease and risk of complications

Niewiadomski, O., Ding, J., Knight, R., Paul, D., Hair, C., Emily, P., Alexander, S., Dowling, D., Popp, B., Wilson, J., Studd, C., Desmond, P., McNeil, J., Connell, W., Bell, S.

Journal:

Journal of Crohn's and Colitis

Year:

2013

Language:

english

File:

PDF, 51 KB

english, 2013

44

1958 PRE-TREATMENT PSA LEVEL AND GLEASON SCORE ARE NOT ASSOCIATED WITH CANCER-SPECIFIC ANXIETY PRIOR TO SURGICAL TREATMENT FOR NEWLY DIAGNOSED PROSTATE CANCER

Parker, Alexander, Tavlarides, Andrea, McNeil, Rebecca, Green, Krisitin, Ames, Steven, Igel, Todd

Journal:

The Journal of Urology

Year:

2010

Language:

english

File:

PDF, 43 KB

english, 2010

45

LOSS OF EXPRESSION OF THE VITAMIN D RECEPTOR IN CLEAR CELL RENAL CELL CARCINOMA

Parker, Alexander S., Leroy, Timothy J., McNeil, Rebecca B., Bot, Brian M., Diehl, Nancy, Arnold, Michelle L., Kreinest, Pamela A., Hilton, Tracy W., Wu, Kevin J., Igel, Todd C

Journal:

The Journal of Urology

Year:

2009

Language:

english

File:

PDF, 49 KB

english, 2009

46

Sickness Response Symptoms among Healthy Volunteers after Controlled Exposures to Diesel Exhaust and Psychological Stress

Robert J. Laumbach, Howard M. Kipen, Kathie Kelly-McNeil, Junfeng Zhang, Lin Zhang, Paul J. Lioy, Pamela Ohman-Strickland, Jing Gong, Alexander Kusnecov and Nancy Fiedler

Journal:

Environmental Health Perspectives

Year:

2011

Language:

english

File:

PDF, 1.63 MB

english, 2011

47

Probability: An Introduction with Statistical Applicationsby John J. Kinney

Review by: Alexander J. McNeil

Journal:

Journal of the American Statistical Association

Year:

1998

Language:

english

File:

PDF, 477 KB

english, 1998

48

Modeling Financial Time Series with S-Plusby Eric Zivot; Jiahui Wang

Review by: Alexander J. McNeil

Journal:

Journal of the American Statistical Association

Year:

2004

Language:

english

File:

PDF, 609 KB

english, 2004

49

Latent Curve Models: A Structural Equation Approachby Kenneth A. Bollen; Patrick J. Curran

Review by: Alexander J. McNeil

Journal:

Journal of the American Statistical Association

Year:

2007

Language:

english

File:

PDF, 633 KB

english, 2007

50

Multivariate t Distributions and Their Applicationsby Samuel Kotz; Saralees Nadarajah

Review by: Alexander J. McNeil

Journal:

Journal of the American Statistical Association

Year:

2006

Language:

english

File:

PDF, 506 KB

english, 2006

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