Bruno Remillard : Citation Profile


Are you Bruno Remillard?

HEC Montréal (École des Hautes Études Commerciales)

8

H index

8

i10 index

512

Citations

RESEARCH PRODUCTION:

11

Articles

4

Papers

RESEARCH ACTIVITY:

   15 years (1995 - 2010). See details.
   Cites by year: 34
   Journals where Bruno Remillard has often published
   Relations with other researchers
   Recent citing documents: 56.    Total self citations: 3 (0.58 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pre14
   Updated: 2021-10-16    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:

Penikas, Henry (9)

Einmahl, John (6)

Nguyen, Duc Khuong (6)

Laeven, Roger (6)

Charpentier, Arthur (6)

Tiwari, Aviral (5)

Stavrakoudis, Athanassios (5)

Fantazzini, Dean (5)

Aloui, Riadh (5)

Durante, Fabrizio (4)

STUPFLER, Gilles (4)

Cites to:

Hallin, Marc (4)

Malevergne, Yannick (2)

Bassett, Gilbert (1)

Tsyrennikov, Viktor (1)

Lord, Roger (1)

Panchenko, Valentyn (1)

Hong, Yongmiao (1)

Platen, Eckhard (1)

Chen, Xiaohong (1)

van Dijk, Dick (1)

Newey, Whitney (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 (2021 and 2020)


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

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2020A global sensitivity analysis method applied to wind farm power output estimation models. (2020). Castaeda, Alberto ; Diaz, Santiago ; Carta, Jose A. In: Applied Energy. RePEc:eee:appene:v:280:y:2020:i:c:s0306261920314203.

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2020Dependence structures and risk spillover in China’s credit bond market: A copula and CoVaR approach. (2020). Yang, Lu ; Hamori, Shigeyuki ; Ho, Kung-Cheng. In: Journal of Asian Economics. RePEc:eee:asieco:v:68:y:2020:i:c:s1049007820300440.

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2021Outer power transformations of hierarchical Archimedean copulas: Construction, sampling and estimation. (2021). Okhrin, Ostap ; Hofert, Marius ; Gorecki, Jan . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:155:y:2021:i:c:s0167947320302000.

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2021Kendall regression coefficient. (2021). Liebscher, Eckhard. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:157:y:2021:i:c:s0167947320302310.

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2020Mixed data sampling expectile regression with applications to measuring financial risk. (2020). Yu, Keming ; Jiang, Cuixia ; Chen, LU ; Xu, Qifa. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:469-486.

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2020A goodness-of-fit test for copulas based on martingale transformation. (2020). Zheng, XU ; Lu, Xiaohui. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:84-117.

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2021Some robust approaches based on copula for monitoring bivariate processes and component-wise assessment. (2021). Zhang, Jiujun ; Mukherjee, Amitava ; Song, Zhi. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:177-196.

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2021Empirical analysis of the dynamic dependence between WTI oil and Chinese energy stocks. (2021). Li, Ping. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988319300428.

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2020Diamonds versus precious metals: What gleams most against USD exchange rates?. (2020). PORCHER, Thomas ; Guesmi, Khaled ; Bedoui, Rihab ; Kalai, Saoussen. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319305288.

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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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2021Stochastic orders and multivariate measures of risk contagion. (2021). Suarez-Llorens, A ; Sordo, M A ; Ortega-Jimenez, P. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:199-207.

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2021Right-truncated Archimedean and related copulas. (2021). Hofert, Marius. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:79-91.

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2020An independence test based on recurrence rates. (2020). Fernandez, Diego ; Kalemkerian, Juan . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:178:y:2020:i:c:s0047259x19301198.

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2021The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data. (2021). Bouzebda, Salim ; Mohammedi, Mustapha ; Laksaci, Ali. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:181:y:2021:i:c:s0047259x20302542.

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2021Asymmetric tail dependence between stock market returns and implied volatility. (2021). Echaust, Krzysztof. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:23:y:2021:i:c:s1703494920300372.

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2021A statistical approach to small area synthetic population generation as a basis for carless evacuation planning. (2021). Cirillo, Cinzia ; Erdogan, Sevgi ; Nejad, Mohammad Motalleb. In: Journal of Transport Geography. RePEc:eee:jotrge:v:90:y:2021:i:c:s0966692320309790.

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2020Dynamics and causality in distribution between spot and future precious metals: A copula approach. (2020). Belkacem, Lotfi ; de Peretti, Christian ; Talbi, Marwa. In: Resources Policy. RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719305215.

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2020Hedging and safe-haven characteristics of Gold against currencies: An investigation based on multivariate dynamic copula theory. (2020). Guesmi, Khaled ; Chevallier, Julien ; Majdoub, Najemeddine ; Bedoui, Rihab ; Nguyen, Quynh Nga. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420719304921.

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

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2020Reliability analysis of flood defenses: The case of the Nezahualcoyotl dike in the aztec city of Tenochtitlan. (2020). Morales-Npoles, Oswaldo ; Torres-Alves, Gina Alexandra. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:203:y:2020:i:c:s0951832020305585.

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2021Nonparametric Bayesian reliability analysis of masked data with dependent competing risks. (2021). Shang, Xiangwen ; Tony, Hon Keung ; Shi, Yimin ; Liu, Bin. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:210:y:2021:i:c:s095183202100065x.

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

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2020Fault detection of wind turbines via multivariate process monitoring based on vine copulas. (2020). Jiang, Cuixia ; Fan, Zhenhua ; Xu, Qifa. In: Renewable Energy. RePEc:eee:renene:v:161:y:2020:i:c:p:939-955.

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2021Dynamic reliability analysis of a floating offshore wind turbine under wind-wave joint excitations via probability density evolution method. (2021). Chen, Jianbing ; Li, Jie ; Sorensen, John Dalsgaard ; Zhang, Zili ; Basu, Biswajit ; Song, Yupeng. In: Renewable Energy. RePEc:eee:renene:v:168:y:2021:i:c:p:991-1014.

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2021Systemic-systematic risk in financial system: A dynamic ranking based on expectiles. (2021). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:330-365.

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2020Stock market dependence in crisis periods: Evidence from oil price shocks and the Qatar blockade. (2020). Benlagha, Noureddine. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531918311115.

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2020Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varying. (2020). Benito, Sonia ; Garcia-Jorcano, Laura. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920300192.

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2020A modified BDS test. (2020). Hui, Yongchang ; Zheng, Shurong ; Bai, Zhidong ; Luo, Wenya. In: Statistics & Probability Letters. RePEc:eee:stapro:v:164:y:2020:i:c:s0167715220300973.

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2021Tail Dependence between Crude Oil Volatility Index and WTI Oil Price Movements during the COVID-19 Pandemic. (2021). Just, Magorzata ; Echaust, Krzysztof. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:14:p:4147-:d:591470.

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2020New Families of Bivariate Copulas via Unit Lomax Distortion. (2020). Sepanski, Jungsywan H ; Abdullah, Fadal. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:106-:d:427624.

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2021Extreme Conditional Expectile Estimation in Heavy-Tailed Heteroscedastic Regression Models. (2021). STUPFLER, Gilles ; Usseglio-Carleve, Antoine ; Girard, Stephane. In: Post-Print. RePEc:hal:journl:hal-03306230.

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2020Conditional dependence between oil prices and CEE stock markets: a copula-GARCH approach Abstract: This study investigates both the constant and time-varying conditional dependency between crude oil a. (2020). Hung, Ngo Thai. In: Eastern Journal of European Studies. RePEc:jes:journl:y:2020:v:11:p:62-86.

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2021Forecasting Volatility for an Optimal Portfolio with Stylized Facts Using Copulas. (2021). Belkacem, Lotfi ; Boubaker, Heni ; Karmous, Aida. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:2:d:10.1007_s10614-020-10041-1.

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2020Nonparametric Archimedean generator estimation with implications for multiple testing. (2020). Dickhaus, Thorsten ; Neumann, Andre. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:104:y:2020:i:2:d:10.1007_s10182-020-00363-8.

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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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2021On coverage limits and deductibles for SAI loss severities. (2021). Li, Xiaohu ; You, Yinping ; Fang, Rui. In: Annals of Operations Research. RePEc:spr:annopr:v:297:y:2021:i:1:d:10.1007_s10479-020-03770-x.

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2020Implications of ambiguity in Antarctic ice sheet dynamics for future coastal erosion estimates: a probabilistic assessment. (2020). de Vries, Sierd ; Katsman, Caroline A ; Bars, Dewi ; Verschuur, Jasper ; Stefan, ; Drijfhout, Sybren S ; Ranasinghe, Roshanka. In: Climatic Change. RePEc:spr:climat:v:162:y:2020:i:2:d:10.1007_s10584-020-02769-4.

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2021Adaptive stochastic risk estimation of firm operating profit. (2021). Anakolu, Ethem ; Akca, Ahmet. In: Economia e Politica Industriale: Journal of Industrial and Business Economics. RePEc:spr:epolin:v:48:y:2021:i:3:d:10.1007_s40812-021-00184-z.

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2020New families of bivariate copulas via unit weibull distortion. (2020). Sepanski, Jungsywan H. In: Journal of Statistical Distributions and Applications. RePEc:spr:jstada:v:7:y:2020:i:1:d:10.1186_s40488-020-00110-z.

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2021On Variability and Interdependence of Local Porosity and Local Tortuosity in Porous Materials: a Case Study for Sack Paper. (2021). Zojer, Karin ; Charry, Eduardo Machado ; Neumann, Matthias ; Schmidt, Volker . In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:23:y:2021:i:2:d:10.1007_s11009-019-09761-1.

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2020Coincidence probability analysis of hydrologic low-flow under the changing environment in the Wei River Basin. (2020). Yang, Jie ; Hu, Hui ; Wang, Xin ; Xu, Guoxin ; Chang, Jianxia ; Yao, Jun. In: Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards. RePEc:spr:nathaz:v:103:y:2020:i:2:d:10.1007_s11069-020-04051-3.

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2021A probabilistic approach to estimating residential losses from different flood types. (2021). Kreibich, Heidi ; Paprotny, Dominik ; Schroter, Kai ; Merz, Bruno ; Bertin, Xavier ; Carisi, Francesca ; Castellarin, Attilio ; Wagenaar, Dennis ; Morales-Napoles, Oswaldo. In: Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards. RePEc:spr:nathaz:v:105:y:2021:i:3:d:10.1007_s11069-020-04413-x.

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Risk variation of reservoir regulation during flood season based on bivariate statistical approach under climate change: a case study in the Chengbihe reservoir, China. (2021). Du, YI ; Mo, Chongxun ; Wang, Dagang. In: Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards. RePEc:spr:nathaz:v:108:y:2021:i:2:d:10.1007_s11069-021-04746-1.

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2021New Measure of the Bivariate Asymmetry. (2021). Kolev, Nikolai ; Bahraoui, Tarik. In: Sankhya A: The Indian Journal of Statistics. RePEc:spr:sankha:v:83:y:2021:i:1:d:10.1007_s13171-019-00197-w.

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2021Convergence Between Developed and Developing Countries: A Centennial Perspective. (2021). Paprotny, Dominik. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:153:y:2021:i:1:d:10.1007_s11205-020-02488-4.

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2020Joint and conditional dependence modelling of peak district heating demand and outdoor temperature: a copula-based approach. (2020). Righetti, Maurizio ; Menapace, Andrea ; Marta, F. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:29:y:2020:i:2:d:10.1007_s10260-019-00488-4.

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2021Counterdiagonal/nonpositive tail dependence in Vine copula constructions: application to portfolio management. (2021). Diaz-Hernandez, Adan ; Flores, Yuri Salazar. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:30:y:2021:i:2:d:10.1007_s10260-020-00527-5.

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2020Nonparametric tests for independence: a review and comparative simulation study with an application to malnutrition data in India. (2020). Maxand, Simone ; Herwartz, Helmut. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:5:d:10.1007_s00362-018-1026-9.

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2021Goodness-of-fit test of copula functions for semi-parametric univariate time series models. (2021). Lin, Huazhen ; Zhou, Qian M ; Zhang, Shulin. In: Statistical Papers. RePEc:spr:stpapr:v:62:y:2021:i:4:d:10.1007_s00362-019-01153-4.

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2020Bayesian Stochastic Dynamic Programming for Hydropower Generation Operation Based on Copula Functions. (2020). Fang, Guo-Hua ; Tan, Qiao-Feng ; Ji, YI ; Wang, Chao ; Lei, Xiao-Hui ; Wen, Xin. In: Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA). RePEc:spr:waterr:v:34:y:2020:i:5:d:10.1007_s11269-019-02449-8.

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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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2021Detecting departures from meta-ellipticity for multivariate stationary time series. (2021). Aleksey, Min ; Miriam, Jaser ; Axel, Bucher . In: Dependence Modeling. RePEc:vrs:demode:v:9:y:2021:i:1:p:121-140:n:6.

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2021Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case. (2021). Billio, Monica ; Dominique, Guegan ; Lorenzo, Frattarolo. In: Dependence Modeling. RePEc:vrs:demode:v:9:y:2021:i:1:p:43-61:n:3.

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2020Predicting extreme surges from sparse data using a copula‐based hierarchical Bayesian spatial model. (2020). Beck, N ; Mailhot, M ; Jalbert, J ; Genest, C. In: Environmetrics. RePEc:wly:envmet:v:31:y:2020:i:5:n:e2616.

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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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article6
2006Goodness?of?fit Procedures for Copula Models Based on the Probability Integral Transformation In: Scandinavian Journal of Statistics.
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article96
2007Testing For Equality Between Two Copulas In: Swiss Finance Institute Research Paper Series.
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paper49
2009Testing for equality between two copulas.(2009) In: Journal of Multivariate Analysis.
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This paper has another version. Agregated cites: 49
article
2009Goodness-of-fit tests for copulas: A review and a power study In: Insurance: Mathematics and Economics.
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article256
1996On Kendalls Process In: Journal of Multivariate Analysis.
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article36
2001A Nonparametric Test of Serial Independence for Time Series and Residuals In: Journal of Multivariate Analysis.
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article15
2006Local efficiency of a Cramer-von Mises test of independence In: Journal of Multivariate Analysis.
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article12
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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paper0
1995Relating quantiles and expectiles under weighted-symmetry In: Annals of the Institute of Statistical Mathematics.
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article17
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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article18

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