Bruno Remillard : Citation Profile


Are you Bruno Remillard?

HEC Montréal (École des Hautes Études Commerciales)

8

H index

8

i10 index

424

Citations

RESEARCH PRODUCTION:

11

Articles

4

Papers

RESEARCH ACTIVITY:

   15 years (1995 - 2010). See details.
   Cites by year: 28
   Journals where Bruno Remillard has often published
   Relations with other researchers
   Recent citing documents: 102.    Total self citations: 3 (0.7 %)

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   Permalink: http://citec.repec.org/pre14
   Updated: 2020-05-16    RAS profile: 2012-11-04    
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Relations with other researchers


Works with:

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

Is cited by:

Nguyen, Duc Khuong (6)

Charpentier, Arthur (6)

Fantazzini, Dean (5)

Aloui, Riadh (5)

Stavrakoudis, Athanassios (5)

Tiwari, Aviral (5)

Durante, Fabrizio (4)

Laeven, Roger (4)

van Dijk, Dick (4)

BEN AISSA, Mohamed (3)

Panchenko, Valentyn (3)

Cites to:

Hallin, Marc (4)

Malevergne, Yannick (2)

Lord, Roger (1)

Scaillet, Olivier (1)

Newey, Whitney (1)

Nenovsky, Nikolay (1)

van Dijk, Dick (1)

Chen, Xiaohong (1)

Bassett, Gilbert (1)

Duffie, Darrell (1)

Tsyrennikov, Viktor (1)

Main data


Where Bruno Remillard has published?


Journals with more than one article published# docs
Journal of Multivariate Analysis4
Statistics & Probability Letters2

Recent works citing Bruno Remillard (2018 and 2017)


YearTitle of citing document
2019Dependence risk analysis in energy, agricultural and precious metals commodities: A pair vine copula approach. (2019). Tiwari, Aviral ; Ji, Qiang ; Raheem, Ibrahim D. In: Research Africa Network Working Papers. RePEc:abh:wpaper:19/092.

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2019Dependence risk analysis in energy, agricultural and precious metals commodities: A pair vine copula approach. (2019). Tiwari, Aviral ; Raheem, Ibrahim ; Ji, Qiang. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:19/092.

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2017Elicitability and backtesting: Perspectives for banking regulation. (2017). Nolde, Natalia ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1608.05498.

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2017Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model. (2017). , Bruno ; Bruno, ; Caccia, Massimo . In: Papers. RePEc:arx:papers:1707.02019.

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2017Portfolio Risk Assessment using Copula Models. (2017). Smagulov, Daulet ; Semenov, Mikhail . In: Papers. RePEc:arx:papers:1707.03516.

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2018Randomization Tests for Equality in Dependence Structure. (2018). Seo, Juwon. In: Papers. RePEc:arx:papers:1811.02105.

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2019Dynamic Dependence Modeling in financial time series. (2019). Aivaliotis, Georgios ; Liu, Haiyan ; Dou, Yali. In: Papers. RePEc:arx:papers:1908.05130.

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2019A Regulated Market Under Sanctions: On Tail Dependence Between Oil, Gold, and Tehran Stock Exchange Index. (2019). Volchenkov, Dimitri ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:1911.01826.

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2019Randomization tests of copula symmetry. (2019). Beare, Brendan ; Seo, Juwon. In: Papers. RePEc:arx:papers:1911.05307.

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2019Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for the financial crisis. (2019). Stephan, Andreas ; Sahamkhadam, Maziar. In: Papers. RePEc:arx:papers:1912.10328.

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2020The Impact of Oil and Gold Prices Shock on Tehran Stock Exchange: A Copula Approach. (2020). Payandeh, Amir ; Ofoghi, Reza ; Qazvini, Marjan. In: Papers. RePEc:arx:papers:2001.11275.

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2018A regression framework for assessing covariate effects on the reproducibility of high‐throughput experiments. (2018). Li, Qunhua ; Zhang, Feipeng. In: Biometrics. RePEc:bla:biomet:v:74:y:2018:i:3:p:803-813.

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2017Tail Dependence and Systemic Risk in Operational Losses of the US Banking Industry. (2017). Tian, Weidong ; Ergen, Ibrahim ; Abdymomunov, Azamat . In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:2:p:177-204.

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2018Joint and conditional dependence modeling of peak district heating demand and outdoor temperature: a copula-based approach. (2018). Di Lascio, F. Marta L. ; Righetti, Maurizio ; Menapace, Andrea ; Marta, F. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps53.

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2019Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models. (2019). Yi, Yanping ; Huang, Zhuo ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2215.

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2017Copula-statistical precipitation forecasting model in Australia’s agro-ecological zones. (2017). Nguyen-Huy, Thong ; Khan, Shahjahan ; Mushtaq, Shahbaz ; An-Vo, Duc-Anh ; Deo, Ravinesh C. In: Agricultural Water Management. RePEc:eee:agiwat:v:191:y:2017:i:c:p:153-172.

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2020Bivariate analysis of drought duration and severity for irrigation planning. (2020). Mannocchi, F ; di Lena, B ; Todisco, F ; Vergni, L. In: Agricultural Water Management. RePEc:eee:agiwat:v:229:y:2020:i:c:s0378377418314689.

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2017On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options. (2017). Oosterlee, Cornelis W ; Leitao, Alvaro ; Grzelak, Lech A. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:293:y:2017:i:c:p:461-479.

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2018Risk constrained stochastic economic dispatch considering dependence of multiple wind farms using pair-copula. (2018). Li, M S ; Wu, Q H ; Ji, T Y ; Lin, Z J. In: Applied Energy. RePEc:eee:appene:v:226:y:2018:i:c:p:967-978.

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2017An SVM-like approach for expectile regression. (2017). Steinwart, Ingo ; Farooq, Muhammad. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:109:y:2017:i:c:p:159-181.

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2017Some copula inference procedures adapted to the presence of ties. (2017). Kojadinovic, Ivan . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:112:y:2017:i:c:p:24-41.

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2017Testing the Gaussian and Students t copulas in a risk management framework. (2017). Lourme, Alexandre ; Maurer, Frantz. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:203-214.

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2018Tests of stochastic monotonicity with improved power. (2018). Seo, Juwon. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:53-70.

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2019The class of copulas arising from squared distributions: Properties and inference. (2019). Durocher, Martin ; Quessy, Jean-Franois . In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:148-166.

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2018Visualizing dependence in high-dimensional data: An application to S&P 500 constituent data. (2018). Hofert, Marius ; Oldford, Wayne. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:161-183.

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2017Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach. (2017). Shahzad, Syed Jawad Hussain ; Mensi, walid ; Zeitun, Rami ; Hammoudeh, Shawkat ; Hussain, Syed Jawad ; Ur, Mobeen. In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:130-147.

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2017Joint price and volumetric risk in wind power trading: A copula approach. (2017). Pircalabu, A ; Hog, E ; Jung, J ; Hvolby, T. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:139-154.

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2019A copula-GARCH approach for analyzing dynamic conditional dependency structure between liquefied petroleum gas freight rate, product price arbitrage and crude oil price. (2019). Lee, Jasmine Siu ; Bai, Xiwen. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:412-427.

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2019Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures. (2019). Gatfaoui, Hayette. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:132-152.

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2019On the conditional dependence structure between oil, gold and USD exchange rates: Nested copula based GJR-GARCH model. (2019). Guesmi, Khaled ; Chevallier, Julien ; Braiek, Sana ; Bedoui, Rihab. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:876-889.

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2019How to effectively estimate the time-varying risk spillover between crude oil and stock markets? Evidence from the expectile perspective. (2019). Zhang, Yue-Jun ; Ma, Shu-Jiao. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303573.

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2018On the study of conditional dependence structure between oil, gold and USD exchange rates. (2018). Goutte, Stéphane ; Guesmi, Khaled ; Braeik, Sana ; Bedoui, Rihab. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:134-146.

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2020An empirical analysis of competitive nonlinear pricing. (2020). Gabrielli, Maria ; Aryal, Gaurab. In: International Journal of Industrial Organization. RePEc:eee:indorg:v:68:y:2020:i:c:s0167718719300669.

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2017Modeling partial Greeks of variable annuities with dependence. (2017). Gan, Guojun ; Valdez, Emiliano A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:118-134.

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2018Copula approaches for modeling cross-sectional dependence of data breach losses. (2018). Eling, Martin ; Jung, Kwangmin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:167-180.

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2019Vine copula-based dependence and portfolio value-at-risk analysis of the cryptocurrency market. (2019). Tiwari, Aviral Kumar ; Boako, Gideon ; Roubaud, David. In: International Economics. RePEc:eee:inteco:v:158:y:2019:i:c:p:77-90.

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2017Multivariate nonparametric test of independence. (2017). Fan, Yanan ; Salopek, Donna ; Penev, Spiridon ; de Micheaux, Pierre Lafaye . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:153:y:2017:i:c:p:189-210.

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2017Asymptotic behavior of the empirical multilinear copula process under broad conditions. (2017). Genest, Christian ; Remillard, Bruno ; Nelehova, Johanna G. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:159:y:2017:i:c:p:82-110.

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2017A new test of independence for bivariate observations. (2017). Bagkavos, D ; Patil, P N. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:160:y:2017:i:c:p:117-133.

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2018Weak convergence of the weighted empirical beta copula process. (2018). Berghaus, Betina ; Segers, Johan. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:166:y:2018:i:c:p:266-281.

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2018Inference for asymptotically independent samples of extremes. (2018). Guillou, Armelle ; Rizzelli, Stefano ; Padoan, Simone A. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:167:y:2018:i:c:p:114-135.

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2018Generalizing distance covariance to measure and test multivariate mutual dependence via complete and incomplete V-statistics. (2018). Jin, ZE ; Matteson, David S. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:168:y:2018:i:c:p:304-322.

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2019A copula approach for dependence modeling in multivariate nonparametric time series. (2019). Hudecova, Arka ; Omelka, Marek ; Neumeyer, Natalie. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:171:y:2019:i:c:p:139-162.

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2019Semi-parametric copula-based models under non-stationarity. (2019). Bouezmarni, Taoufik ; Remillard, Bruno N ; Nasri, Bouchra R. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:173:y:2019:i:c:p:347-365.

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2019Subsampling (weighted smooth) empirical copula processes. (2019). Stemikovskaya, Kristina ; Kojadinovic, Ivan. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:173:y:2019:i:c:p:704-723.

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2017Asymmetric tail dependence between oil price shocks and sectors of Saudi Arabia System. (2017). Trabelsi, Nader. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:16:y:2017:i:c:p:26-41.

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2017Vertical price relationships between different cuts and quality grades in the U.S. beef marketing channel: A wholesale-retail analysis. (2017). Stavrakoudis, Athanassios ; Panagiotou, Dimitrios. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:16:y:2017:i:c:p:53-63.

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2017Conditional dependence between international stock markets: A long memory GARCH-copula model approach. (2017). Mokni, Khaled ; Mansouri, Faysal. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:42-43:y:2017:i::p:116-131.

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2018Univariate dependence among sectors in Chinese stock market and systemic risk implication. (2018). Hao, Jing ; He, Feng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:510:y:2018:i:c:p:355-364.

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2019Leverage effect and dynamics correlation between international crude oil and China’s precious metals. (2019). Qu, Fang ; Chen, Yufeng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119313238.

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2019Assessing the marketing and investment efficiency of Taiwan’s life insurance firms under network structures. (2019). Wu, Ruei-Cian ; Lin, Chung-I, ; Huang, Tai-Hsin. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:71:y:2019:i:c:p:132-147.

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2020Copula-based reliability analysis of degrading systems with dependent failures. (2020). Hong, Yili ; Pan, Rong ; Fang, Guanqi. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:193:y:2020:i:c:s0951832019301309.

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2020Long-term assessment of a floating offshore wind turbine under environmental conditions with multivariate dependence structures. (2020). Zhang, Wei ; Li, Xuan. In: Renewable Energy. RePEc:eee:renene:v:147:y:2020:i:p1:p:764-775.

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2018The dependence structure between Chinese and other major stock markets using extreme values and copulas. (2018). Hussain, Saiful Izzuan ; Li, Steven. In: International Review of Economics & Finance. RePEc:eee:reveco:v:56:y:2018:i:c:p:421-437.

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2017Examining dynamic currency linkages amongst South Asian economies: An empirical study. (2017). Diesting, Florent ; Sehgal, Sanjay ; Pandey, Piyush. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:173-190.

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2018Impact of dependence modeling of non-life insurance risks on capital requirement: D-Vine Copula approach. (2018). Mejdoub, Hanene ; Ben Arab, Mounira . In: Research in International Business and Finance. RePEc:eee:riibaf:v:45:y:2018:i:c:p:208-218.

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2017On the Lp-quantiles for the Student t distribution. (2017). Bernardi, Mauro ; Petrella, Lea ; Bignozzi, Valeria. In: Statistics & Probability Letters. RePEc:eee:stapro:v:128:y:2017:i:c:p:77-83.

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2019Dependence risk analysis in energy, agricultural and precious metals commodities: A pair vine copula approach. (2019). Tiwari, Aviral ; Raheem, Ibrahim ; Kumar, Satish ; Ji, Qiang. In: Working Papers. RePEc:exs:wpaper:19/092.

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2017The accountability imperative for quantifying the uncertainty of emission forecasts : evidence from Mexico. (2017). Rivera, Gissela Landa ; Bakhtiari, Fatemeh ; Morales-Napoles, Oswaldo ; Puig, Daniel. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:1717.

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2017Goodness-of-Fit Tests for Copulas of Multivariate Time Series. (2017). Remillard, Bruno. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:13-:d:93377.

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2019Tail Dependence in Financial Markets: A Dynamic Copula Approach. (2019). Cortese, Federico Pasquale. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:4:p:116-:d:285787.

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2018A System Analysis on Steppe Sustainability and Its Driving Forces—A Case Study in China. (2018). Zhao, Xiangwei ; Pan, Shun ; Duan, Lian ; Yue, Yaojie ; Gao, Qian. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:1:p:233-:d:127603.

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2018A novel multivariate risk measure: the Kendall VaR. (2018). Hassani, Bertrand ; Guegan, Dominique ; Garcin, Matthieu. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01467857.

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2018A novel multivariate risk measure: the Kendall VaR. (2018). Hassani, Bertrand ; Guegan, Dominique ; Garcin, Matthieu. In: Post-Print. RePEc:hal:journl:halshs-01467857.

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2017Time Varying Integration amongst the South Asian Equity Markets: An Empirical Study. (2017). Deisting, Florent ; Pandey, Piyush ; Sehgal, Sanjay. In: Working Papers. RePEc:hal:wpaper:hal-01885142.

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2018A macroeconomic reverse stress test. (2018). Grundke, Peter ; Pliszka, Kamil. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:4:d:10.1007_s11156-017-0655-8.

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2017A novel multivariate risk measure: the Kendall VaR. (2017). Guegan, Dominique ; Garcin, Matthieu ; Hassani, Bertrand. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17008.

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2018A novel multivariate risk measure: the Kendall VaR. (2018). Hassani, Bertrand ; Guegan, Dominique ; Garcin, Matthieu. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17008r.

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2019Testing for independence in arbitrary distributions. (2019). Genest, C ; Murphy, O A ; Remillard, B ; Nelehova, J G. In: Biometrika. RePEc:oup:biomet:v:106:y:2019:i:1:p:47-68..

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2018Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfall. (2018). Eckernkemper, Tobias. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:1:p:63-117..

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2017Vertical price relationships between different cuts and quality grades in the U.S. beef marketing channel: a wholesale-retail analysis. (2017). Stavrakoudis, Athanassios ; Panagiotou, Dimitrios. In: MPRA Paper. RePEc:pra:mprapa:75989.

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2018Measuring Co-Dependencies of Economic Policy Uncertainty in Latin American Countries using Vine Copulas. (2018). Tiwari, Aviral ; Pradhan, Ashis ; GUPTA, RANGAN ; Cekin, Semih Emre. In: Working Papers. RePEc:pre:wpaper:201867.

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2019Исследование зависимости между развитием малого предпринимательства и микрофинансовой обеспеченностью ре. (2019). ***, ; II, ; **, ; Ширяева Л. К. i, ; *, ; Репина Е. Г. i, . In: Журнал Экономика и математические методы (ЭММ). RePEc:scn:cememm:v:55:y:2019:i:2:p:41-57.

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2017The accountability imperative for quantifiying the uncertainty of emission forecasts : evidence from Mexico. (2017). Landa, Gissela ; Bakhtiari, Fatemeh ; Napoles, Oswaldo Morales ; Puig, Daniel. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/5cu79nktr182k9k26ecvt6f8p2.

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2018On the robustness of portfolio allocation under copula misspecification. (2018). Prigent, Jean-Luc ; ben Saida, Abdallah. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-016-2137-0.

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2020Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios. (2020). Peng, Zhun ; Flageollet, Alexis ; Bruneau, Catherine. In: Annals of Operations Research. RePEc:spr:annopr:v:284:y:2020:i:1:d:10.1007_s10479-018-3112-8.

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2017A New Extension of Weibull Distribution with Application to Lifetime Data. (2017). Mesfioui, Mhamed ; Sharma, Vikas Kumar ; Dey, Sanku. In: Annals of Data Science. RePEc:spr:aodasc:v:4:y:2017:i:1:d:10.1007_s40745-016-0094-8.

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2018Copula-based nonlinear modeling of the law of one price for lumber products. (2018). Goodwin, Barry ; Prestemon, Jeffrey P ; Onel, Gulcan ; Holt, Matthew T. In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:3:d:10.1007_s00181-017-1235-4.

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2019Tail dependence between gold and sectorial stocks in China: perspectives for portfolio diversification. (2019). Czudaj, Robert ; Thi-Hong-Van Hoang, ; Berger, Theo ; Beckmann, Joscha. In: Empirical Economics. RePEc:spr:empeco:v:56:y:2019:i:3:d:10.1007_s00181-017-1381-8.

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2018Stock Market Integration Dynamics and its Determinants in the East Asian Economic Community Region. (2018). Deisting, Florent ; Pandey, Piyush ; Sehgal, Sanjay. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:16:y:2018:i:2:d:10.1007_s40953-017-0090-7.

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2019Extremal Economic (Inter)Dependence Studies: A Case of the Eastern European Countries. (2019). Matkovskyy, Roman. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:17:y:2019:i:3:d:10.1007_s40953-018-0151-6.

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2017Rank correlation under categorical confounding. (2017). Plante, Jean-Franois. In: Journal of Statistical Distributions and Applications. RePEc:spr:jstada:v:4:y:2017:i:1:d:10.1186_s40488-017-0076-1.

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2018Modelling bivariate lifetime data using copula. (2018). Nair, Unnikrishnan N ; John, Preethi ; Sankaran, P G. In: METRON. RePEc:spr:metron:v:76:y:2018:i:2:d:10.1007_s40300-018-0135-5.

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2018A comparative frequency analysis of three standardized drought indices in the Poyang Lake basin, China. (2018). Yan, Guixia ; Xiao, Heng ; Li, Denghua ; Wu, Zhiyong. In: Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards. RePEc:spr:nathaz:v:91:y:2018:i:1:d:10.1007_s11069-017-3133-7.

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2017A diagram to detect serial dependencies: an application to transport time series. (2017). Punzo, Antonio ; de Capitani, Lucio ; Bagnato, Luca. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:51:y:2017:i:2:d:10.1007_s11135-016-0426-y.

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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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2019Mutual association measures. (2019). Borroni, Claudio G. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:28:y:2019:i:4:d:10.1007_s10260-018-00448-4.

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2018Serial independence tests for innovations of conditional mean and variance models. (2018). Ghoudi, Kilani ; Remillard, Bruno. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:27:y:2018:i:1:d:10.1007_s11749-016-0521-3.

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2018Copulas-Based Drought Characteristics Analysis and Risk Assessment across the Loess Plateau of China. (2018). She, Dunxian ; Xia, Jun. In: Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA). RePEc:spr:waterr:v:32:y:2018:i:2:d:10.1007_s11269-017-1826-z.

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2019Conditional Dependence Modelling with Regular Vine Copulas. (2019). Omari, Cyprian ; Waititu, Anthony ; Mwita, Peter . In: Journal of Statistical and Econometric Methods. RePEc:spt:stecon:v:8:y:2019:i:1:f:8_1_5.

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2017Time Varying Integration amongst the South Asian Equity Markets: An Empirical Study. (2017). Deisting, Florent ; Pandey, Piyush ; Sehgal, Sanjay. In: Working Papers. RePEc:tac:wpaper:2016-2017_7.

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2018Testing for Serial Independence: Beyond the Portmanteau Approach. (2018). Punzo, Antonio ; de Capitani, Lucio ; Bagnato, Luca. In: The American Statistician. RePEc:taf:amstat:v:72:y:2018:i:3:p:219-238.

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2017Tail dependence between gold and sectorial stocks in China: Perspectives for portfolio diversication. (2017). Czudaj, Robert ; Beckmann, Joscha ; Berger, Theo. In: Chemnitz Economic Papers. RePEc:tch:wpaper:cep012.

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2017Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas. (2017). Laeven, Roger ; Einmahl, John ; Laeven, R. J. A., ; Can, S U. In: Discussion Paper. RePEc:tiu:tiucen:feb9a064-2a9f-47d6-a02b-7e5bfeeb9a63.

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2020Goodness-of-fit testing for copulas: a distribution-free approach. (2020). Laeven, Roger ; Laeven, R. J. A., ; Einmahl, John ; Can, S U. In: Other publications TiSEM. RePEc:tiu:tiutis:211b2be9-b46e-41e2-9b95-18fa92cfda8c.

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2017Estimation of Tail Risk based on Extreme Expectiles. (2017). STUPFLER, Gilles ; Daouia, Abdelaati ; Girard, Stephane. In: TSE Working Papers. RePEc:tse:wpaper:29257.

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2017Extreme M-quantiles as risk measures: From L1 to Lp optimization. (2017). STUPFLER, Gilles ; Daouia, Abdelaati ; Girard, Stephane. In: TSE Working Papers. RePEc:tse:wpaper:32050.

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2018Tail expectile process and risk assessment. (2018). STUPFLER, Gilles ; Girard, Stephane ; Daouia, Abdelaati. In: TSE Working Papers. RePEc:tse:wpaper:32890.

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2017The Joint Distribution of Income and Wealth in Uruguay. (2017). Santos, Guillermo ; Sanroman, Graciela . In: Documentos de Trabajo (working papers). RePEc:ude:wpaper:0717.

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2018An investigation into the dependence structure of major cryptocurrencies. (2018). Saha, Kunal. In: EconStor Preprints. RePEc:zbw:esprep:181878.

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2017A multivariate rank test of independence based on a multiparametric polynomial copula. (2017). Mangold, Benedikt . In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:102015.

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More than 100 citations found, this list is not complete...

Works by Bruno Remillard:


YearTitleTypeCited
2010A simple discretization scheme for nonnegative diffusion processes, with applications to option pricing In: Papers.
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paper1
2007Rank-Based Extensions of the Brock, Dechert, and Scheinkman Test In: Journal of the American Statistical Association.
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article5
2006Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation In: Scandinavian Journal of Statistics.
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article85
2007Testing For Equality Between Two Copulas In: Swiss Finance Institute Research Paper Series.
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paper34
2009Testing for equality between two copulas.(2009) In: Journal of Multivariate Analysis.
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This paper has another version. Agregated cites: 34
article
2009Goodness-of-fit tests for copulas: A review and a power study In: Insurance: Mathematics and Economics.
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article213
1996On Kendalls Process In: Journal of Multivariate Analysis.
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article29
2001A Nonparametric Test of Serial Independence for Time Series and Residuals In: Journal of Multivariate Analysis.
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article13
2006Local efficiency of a Cramer-von Mises test of independence In: Journal of Multivariate Analysis.
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article10
1996A note on tightness In: Statistics & Probability Letters.
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article1
2006On the joint asymptotic behavior of two rank-based estimators of the association parameter in the gamma frailty model In: Statistics & Probability Letters.
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article5
2010On the Robustness of the Snell envelope In: Working Papers.
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paper0
2000EXPLICIT STRONG SOLUTIONS OF MULTIDIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS In: RePAd Working Paper Series.
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1995Relating quantiles and expectiles under weighted-symmetry In: Annals of the Institute of Statistical Mathematics.
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article13
2004Test of independence and randomness based on the empirical copula process In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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article15

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