Federal Reserve Bank of San Francisco. "VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles" in Predicting Rare Events: Evaluating Systemic and Idiosyncratic Risk, September 28-29, 2012
(August 8, 2012).
https://fraser.stlouisfed.org/title/9952/item/735622, accessed on September 6, 2026.