Fabrizio Durante : Citation Profile

Are you Fabrizio Durante?

Università del Salento

5

H index

2

i10 index

73

Citations

RESEARCH PRODUCTION:

34

Articles

2

Papers

RESEARCH ACTIVITY:

   11 years (2007 - 2018). See details.
   Cites by year: 6
   Journals where Fabrizio Durante has often published
   Relations with other researchers
   Recent citing documents: 35.    Total self citations: 11 (13.1 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pdu282
   Updated: 2019-11-16    RAS profile: 2019-04-30    
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Relations with other researchers

Works with:

Puccetti, Giovanni (6)

Vanduffel, Steven (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Fabrizio Durante.

Is cited by:

Melo-Velandia, Luis (4)

Gomez-Gonzalez, Jose (4)

Loaiza Maya, Rubén (2)

Cubillos-Rocha, Juan (2)

Müller, Werner (1)

Rulliere, Didier (1)

Lupi, Claudio (1)

Kravchuk, Igor (1)

Cerqueti, Roy (1)

Catania, Leopoldo (1)

Wójtowicz, Tomasz (1)

Cites to:

Mantegna, Rosario (10)

Puccetti, Giovanni (6)

Jagannathan, Ravi (4)

Remillard, Bruno (4)

Caiado, Jorge (4)

Otranto, Edoardo (4)

De Luca, Giovanni (3)

Kaminsky, Graciela (3)

Patton, Andrew (3)

Nenovsky, Nikolay (3)

Bastos, João (3)

Main data

Where Fabrizio Durante has published?

Journals with more than one article published# docs
Dependence Modeling9
International Statistical Review8
Statistics & Probability Letters5
Statistical Papers3
Journal of Multivariate Analysis2

Recent works citing Fabrizio Durante (2018 and 2017)

YearTitle of citing document
2017Spatial contagion between stock markets in Central Europe. (2017). Wójtowicz, Tomasz ; Wojtowicz, Tomasz ; Czapkiewicz, Anna. In: Managerial Economics. RePEc:agh:journl:v:18:y:2017:i:1:p:23-46.

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2019A review of two decades of correlations, hierarchies, networks and clustering in financial markets. (2019). Bi, Mikolaj ; Nielsen, Frank ; Marti, Gautier ; Donnat, Philippe . In: Papers. RePEc:arx:papers:1703.00485.

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2017A note on conditional covariance matrices for elliptical distributions. (2017). Pitera, Marcin ; Jaworski, Piotr. In: Papers. RePEc:arx:papers:1703.00918.

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2017Data driven partition-of-unity copulas with applications to risk management. (2017). Mandle, Andreas ; Pfeifer, Dietmar ; Ragulina, Olena. In: Papers. RePEc:arx:papers:1703.05047.

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2019New copulas based on general partitions-of-unity and their applications to risk management (part II). (2019). Ragulina, Olena ; Mandle, Andreas ; Pfeifer, Dietmar. In: Papers. RePEc:arx:papers:1709.07682.

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2019Non-exchangeability of copulas arising from shock models. (2019). Omladivc, Matjavz ; Mojvskerc, Blavz ; Kovsir, Tomavz ; Bukovvsek, Damjana Kokol. In: Papers. RePEc:arx:papers:1808.09698.

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2019A copula based Markov Reward approach to the credit spread in European Union. (2019). Storchi, Loriano ; Scocchera, Stefania ; Regnault, Philippe ; Petroni, Filippo ; D'Amico, Guglielmo. In: Papers. RePEc:arx:papers:1902.00691.

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2019Relation between non-exchangeability and measures of concordance of copulas. (2019). Omladivc, Matjavz ; Mojvskerc, Blavz ; Kovsir, Tomavz ; Bukovvsek, Damjana Kokol. In: Papers. RePEc:arx:papers:1909.06648.

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2019Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2019). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:1909.11794.

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2018Detecting exchange rate contagion using copula functions. (2018). Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Cubillos-Rocha, Juan. In: Borradores de Economia. RePEc:bdr:borrec:1047.

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2018.

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2018.

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2017A double clustering algorithm for financial time series based on extreme events. (2017). Luca, DE ; Paola, Zuccolotto . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:34:y:2017:i:1-2:p:1-12:n:2.

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2017CONTAGION AND DIVERGENCE ON SOVEREIGN BOND MARKETS. (2017). Jaworski, Piotr ; LIBERADZKI, MARCIN . In: Copernican Journal of Finance & Accounting. RePEc:cpn:umkcjf:v:6:y:2017:i:4:p:39-68.

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2017Bivariate copula additive models for location, scale and shape. (2017). Marra, Giampiero ; Radice, Rosalba. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:112:y:2017:i:c:p:99-113.

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2019Detecting exchange rate contagion using copula functions. (2019). Gomez-Gonzalez, Jose ; Cubillos-Rocha, Juan ; Melo-Velandia, Luis F. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:13-22.

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2019Financial contagion in the subprime crisis context: A copula approach. (2019). Zaabi, Elmoez ; Lakhal, Faten ; Zorgati, Imen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:269-282.

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2017Multiple risk measures for multivariate dynamic heavy–tailed models. (2017). Bernardi, Mauro ; Petrella, Lea ; Maruotti, Antonello. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:1-32.

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2017A general approach to full-range tail dependence copulas. (2017). Su, Jianxi ; Hua, Lei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:49-64.

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2018Stochastic orders and co-risk measures under positive dependence. (2018). Sordo, M A ; Suarez-Llorens, A ; Bello, A J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:105-113.

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2017A new parametric method of estimating the joint probability density. (2017). Alghalith, Moawia. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:799-803.

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2017On a generalization of Archimedean copula family. (2017). Xie, Jiehua ; Yang, Jingping ; Lin, Feng. In: Statistics & Probability Letters. RePEc:eee:stapro:v:125:y:2017:i:c:p:121-129.

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2018A Maximal Tail Dependence-Based Clustering Procedure for Financial Time Series and Its Applications in Portfolio Selection. (2018). Liu, Xin ; Jiang, Wenjun ; Yang, Chen ; Wu, Jiang. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:115-:d:174402.

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2017A note on upper-patched generators for Archimedean copulas. (2017). Rulliere, Didier ; di Bernardino, Elena. In: Post-Print. RePEc:hal:journl:hal-01347869.

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2017Interconnectedness and Contagion Effects in International Financial Instruments Markets. (2017). Kravchuk, Igor. In: Montenegrin Journal of Economics. RePEc:mje:mjejnl:v:13:y:2017:i:3:p:161-174.

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2018Rearrangement algorithm and maximum entropy. (2018). Bernard, Carole ; Vanduffel, Steven ; Bondarenko, Oleg. In: Annals of Operations Research. RePEc:spr:annopr:v:261:y:2018:i:1:d:10.1007_s10479-017-2612-2.

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2018A Copula Based ICA Algorithm and Its Application to Time Series Clustering. (2018). Rahmanishamsi, Jafar ; Aghabozorgi, Masoudreza R ; Dolati, Ali. In: Journal of Classification. RePEc:spr:jclass:v:35:y:2018:i:2:d:10.1007_s00357-018-9258-x.

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2018Characterizations of Copulas Attaining the Bounds of Multivariate Kendall’s Tau. (2018). Fuchs, Sebastian ; Schmidt, Klaus D ; McCord, Yann. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:178:y:2018:i:2:d:10.1007_s10957-018-1285-6.

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2017$$D_s$$ D s -optimality in copula models. (2017). Müller, Werner ; Muller, Werner G ; Rappold, Andreas ; Perrone, Elisa . In: Statistical Methods & Applications. RePEc:spr:stmapp:v:26:y:2017:i:3:d:10.1007_s10260-016-0375-6.

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2018Clustering of financial instruments using jump tail dependence coefficient. (2018). Yang, Chen ; Li, Zhichuan ; Liu, Xin ; Wu, Jiang ; Jiang, Wenjun. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:27:y:2018:i:3:d:10.1007_s10260-017-0411-1.

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2017A comprehensive extension of the FGM copula. (2017). Hurlimann, Werner. In: Statistical Papers. RePEc:spr:stpapr:v:58:y:2017:i:2:d:10.1007_s00362-015-0703-1.

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2017Dynamic tail dependence clustering of financial time series. (2017). de Luca, Giovanni ; Zuccolotto, Paola . In: Statistical Papers. RePEc:spr:stpapr:v:58:y:2017:i:3:d:10.1007_s00362-015-0718-7.

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2017Copula-based measures of reflection and permutation asymmetry and statistical tests. (2017). Krupskii, Pavel. In: Statistical Papers. RePEc:spr:stpapr:v:58:y:2017:i:4:d:10.1007_s00362-016-0743-1.

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2017Comparison results for inactivity times of k-out-of-n and general coherent systems with dependent components. (2017). Navarro, Jorge ; Pellerey, Franco ; Longobardi, Maria. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:26:y:2017:i:4:d:10.1007_s11749-017-0535-5.

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2017On Conditional Value at Risk (CoVaR) for tail-dependent copulas. (2017). Piotr, Jaworski . In: Dependence Modeling. RePEc:vrs:demode:v:5:y:2017:i:1:p:1-19:n:1.

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Works by Fabrizio Durante:

YearTitleTypeCited
2013Simulating Copulas: Stochastic Models, Sampling Algorithms and Applications by Jan-Frederik Mai, Matthias Scherer, with contributions by Claudia Czado, Elke Korn, Ralf Korn, Jakob Stöber In: International Statistical Review.
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2013Bridge to Abstract Mathematics by Ralph Oberste-Vorth, Aristides Mouzakitis, Bonita A. Lawrence In: International Statistical Review.
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2013New Perspectives in Statistical Modeling and Data Analysis: Proceedings of the 7th Conference of the Classification and Data Analysis Group of the Italian Statistical Society, Catania, September 9–1 In: International Statistical Review.
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2014The R Book, Second Edition by Michael J. Crawley In: International Statistical Review.
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2014Advanced Risk Analysis in Engineering Enterprise Systems by Cesar Ariel Pinto, Paul R. Garvey In: International Statistical Review.
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2014The Skew-Normal and Related Families by Adelchi Azzalini In: International Statistical Review.
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2017Educational Measurement for Applied Researchers Margaret Wu Hak Ping Tam and Tsung-Hau Jen Springer Nature Singapore Pte Ltd. , 2016 , xiv + 306 pages, £82.00, hardcover ISBN: 978-981-10-3300-1 In: International Statistical Review.
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2018Handbook for Applied Modeling: Non‐Gaussian and Correlated Data Jamie D. Riggs and Trent L. Lalonde Lalonde Cambridge University Press, 2017, 228 pages, £29.99, softcover ISBN: 9‐781‐31660‐10 In: International Statistical Review.
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2013A multivariate nonlinear analysis of tourism expenditures In: BEMPS - Bozen Economics & Management Paper Series.
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2013Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity In: Insurance: Mathematics and Economics.
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2014Multivariate copulas with hairpin support In: Journal of Multivariate Analysis.
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2017Copula-based representations for the reliability of the residual lifetimes of coherent systems with dependent components In: Journal of Multivariate Analysis.
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2017CoVaR of families of copulas In: Statistics & Probability Letters.
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2008Threshold copulas and positive dependence In: Statistics & Probability Letters.
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2010Multivariate shuffles and approximation of copulas In: Statistics & Probability Letters.
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2011Invariant dependence structures and Archimedean copulas In: Statistics & Probability Letters.
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2012On the approximation of copulas via shuffles of Min In: Statistics & Probability Letters.
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2017Dependence between Stock Returns of Italian Banks and the Sovereign Risk In: Econometrics.
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2014Estimation procedures for exchangeable Marshall copulas with hydrological application In: SFB 649 Discussion Papers.
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2014Clustering of financial time series in risky scenarios In: Advances in Data Analysis and Classification.
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2007A Generalization of the Archimedean Class of Bivariate Copulas In: Annals of the Institute of Statistical Mathematics.
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2012Supermigrative copulas and positive dependence In: AStA Advances in Statistical Analysis.
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2010Non-exchangeability of negatively dependent random variables In: Metrika: International Journal for Theoretical and Applied Statistics.
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2009Construction of non-exchangeable bivariate distribution functions In: Statistical Papers.
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2010Measures of non-exchangeability for bivariate random vectors In: Statistical Papers.
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2015Clustering of time series via non-parametric tail dependence estimation In: Statistical Papers.
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2014Solution to an open problem about a transformation on the space of copulas In: Dependence Modeling.
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2015Building bridges between Mathematics, Insurance and Finance In: Dependence Modeling.
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2015A Journey from Statistics and Probability to Risk Theory An interview with Ludger Rüschendorf In: Dependence Modeling.
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2016Stat Trek In: Dependence Modeling.
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2016Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio In: Dependence Modeling.
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2016Baire category results for quasi–copulas In: Dependence Modeling.
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2017The Vine Philosopher: An interview with Roger Cooke In: Dependence Modeling.
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2017My introduction to copulas: An interview with Roger Nelsen In: Dependence Modeling.
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2018A note on bivariate Archimax copulas In: Dependence Modeling.
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2010Spatial contagion between financial markets: a copula‐based approach In: Applied Stochastic Models in Business and Industry.
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