Is this page useful for you? Then, help us to keep the service working. Please have a look to our donations page ... Thanks for your help!!

Dependence Modeling / De Gruyter

Citation Profile [Updated: 2022-01-09 21:43:50]
5 Years H
4
Impact Factor
0.21
5 Years IF
0.15
Data available in this report

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators
Raw Data

 

IF AIF CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1990 0 0.09 0 0 0 0 0 0 0 0 0 0 0.04
1991 0 0.08 0 0 0 0 0 0 0 0 0 0 0.04
1992 0 0.09 0 0 0 0 0 0 0 0 0 0 0.04
1993 0 0.11 0 0 0 0 0 0 0 0 0 0 0.05
1994 0 0.12 0 0 0 0 0 0 0 0 0 0 0.06
1995 0 0.19 0 0 0 0 0 0 0 0 0 0 0.08
1996 0 0.22 0 0 0 0 0 0 0 0 0 0 0.1
1997 0 0.22 0 0 0 0 0 0 0 0 0 0 0.09
1998 0 0.26 0 0 0 0 0 0 0 0 0 0 0.12
1999 0 0.27 0 0 0 0 0 0 0 0 0 0 0.13
2000 0 0.32 0 0 0 0 0 0 0 0 0 0 0.14
2001 0 0.35 0 0 0 0 0 0 0 0 0 0 0.15
2002 0 0.37 0 0 0 0 0 0 0 0 0 0 0.19
2003 0 0.4 0 0 0 0 0 0 0 0 0 0 0.19
2004 0 0.44 0 0 0 0 0 0 0 0 0 0 0.2
2005 0 0.45 0 0 0 0 0 0 0 0 0 0 0.21
2006 0 0.46 0 0 0 0 0 0 0 0 0 0 0.2
2007 0 0.42 0 0 0 0 0 0 0 0 0 0 0.18
2008 0 0.44 0 0 0 0 0 0 0 0 0 0 0.2
2009 0 0.43 0 0 0 0 0 0 0 0 0 0 0.21
2010 0 0.43 0 0 0 0 0 0 0 0 0 0 0.18
2011 0 0.45 0 0 0 0 0 0 0 0 0 0 0.2
2012 0 0.45 0 0 0 0 0 0 0 0 0 0 0.19
2013 0 0.5 0 0 6 6 6 0 0 0 0 0 0.21
2014 0.5 0.51 0.23 0.5 7 13 3 3 3 6 3 6 3 0 0 0.2
2015 0.08 0.5 0.07 0.08 17 30 8 2 5 13 1 13 1 0 1 0.06 0.19
2016 0 0.5 0.02 0 24 54 21 1 6 24 30 0 1 0.04 0.18
2017 0.1 0.5 0.08 0.09 22 76 6 6 12 41 4 54 5 2 33.3 0 0.18
2018 0.15 0.54 0.11 0.11 17 93 8 10 22 46 7 76 8 5 50 1 0.06 0.21
2019 0 0.58 0.05 0.05 21 114 7 6 28 39 87 4 1 16.7 1 0.05 0.21
2020 0.21 0.75 0.14 0.15 45 159 1 23 51 38 8 101 15 11 47.8 2 0.04 0.29
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
SC: selft citations in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y
50 most cited documents in this series
#YearTitleCited
12016VaR bounds for joint portfolios with dependence constraints. (2016). Giovanni, Puccetti ; Dennis, Manko ; Ludger, Ruschendorf. In: Dependence Modeling. RePEc:vrs:demode:v:4:y:2016:i:1:p:14:n:21.

Full description at Econpapers || Download paper

9
22018Copulas, credit portfolios, and the broken heart syndrome. (2018). Puccetti, Giovanni ; Matthias, Scherer ; Giovanni, Puccetti. In: Dependence Modeling. RePEc:vrs:demode:v:6:y:2018:i:1:p:114-130:n:7.

Full description at Econpapers || Download paper

5
32019Structural change in the link between oil and the European stock market: implications for risk management. (2019). Ojea, Ferreiro Javier. In: Dependence Modeling. RePEc:vrs:demode:v:7:y:2019:i:1:p:53-125:n:4.

Full description at Econpapers || Download paper

4
42016On an asymmetric extension of multivariate Archimedean copulas based on quadratic form. (2016). Rulliere, Didier ; Bernardino, DI. In: Dependence Modeling. RePEc:vrs:demode:v:4:y:2016:i:1:p:20:n:19.

Full description at Econpapers || Download paper

4
52013On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators. (2013). Rulliere, Didier ; Elena, Di Bernardino . In: Dependence Modeling. RePEc:vrs:demode:v:1:y:2013:i::p:1-36:n:1.

Full description at Econpapers || Download paper

4
62015Building bridges between Mathematics, Insurance and Finance. (2015). Durante, Fabrizio ; Fabrizio, Durante ; Matthias, Scherer ; Giovanni, Puccetti . In: Dependence Modeling. RePEc:vrs:demode:v:3:y:2015:i:1:p:12:n:2.

Full description at Econpapers || Download paper

3
72016New copulas based on general partitions-of-unity and their applications to risk management. (2016). Dietmar, Pfeifer ; Come, Girschig ; Andreas, Mandle ; Awoumlac, Tsatedem Herve . In: Dependence Modeling. RePEc:vrs:demode:v:4:y:2016:i:1:p:123-140:n:6.

Full description at Econpapers || Download paper

3
82014Solution to an open problem about a transformation on the space of copulas. (2014). Durante, Fabrizio ; Fabrizio, Durante ; Wolfgang, Trutschnig ; Juan, Fernandez-Sanchez. In: Dependence Modeling. RePEc:vrs:demode:v:2:y:2014:i:1:p:8:n:5.

Full description at Econpapers || Download paper

3
92016An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios. (2016). Guojun, Gan ; Emiliano, Valdez. In: Dependence Modeling. RePEc:vrs:demode:v:4:y:2016:i:1:p:19:n:22.

Full description at Econpapers || Download paper

3
102019Volatility filtering in estimation of kurtosis (and variance). (2019). Anatolyev, Stanislav. In: Dependence Modeling. RePEc:vrs:demode:v:7:y:2019:i:1:p:1-23:n:1.

Full description at Econpapers || Download paper

2
112015An analysis of the Rüschendorf transform - with a view towards Sklar’s Theorem. (2015). Oertel, Frank ; Frank, Oertel . In: Dependence Modeling. RePEc:vrs:demode:v:3:y:2015:i:1:p:13:n:8.

Full description at Econpapers || Download paper

2
122018Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas. (2018). Lehnert, Thorsten ; Thorsten, Lehnert ; Song, Jinxi ; Xisong, Jin. In: Dependence Modeling. RePEc:vrs:demode:v:6:y:2018:i:1:p:19-46:n:2.

Full description at Econpapers || Download paper

2
132016Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio. (2016). Vanduffel, Steven ; Durante, Fabrizio ; Steven, Vanduffel ; Matthias, Scherer ; Giovanni, Puccetti ; Fabrizio, Durante. In: Dependence Modeling. RePEc:vrs:demode:v:4:y:2016:i:1:p:14:n:14.

Full description at Econpapers || Download paper

2
142015Quantile of a Mixture with Application to Model Risk Assessment. (2015). Vanduffel, Steven ; Carole, Bernard ; Steven, Vanduffel . In: Dependence Modeling. RePEc:vrs:demode:v:3:y:2015:i:1:p:10:n:12.

Full description at Econpapers || Download paper

2
152017About tests of the “simplifying” assumption for conditional copulas. (2017). Jean-David, Fermanian ; Alexis, Derumigny. In: Dependence Modeling. RePEc:vrs:demode:v:5:y:2017:i:1:p:154-197:n:11.

Full description at Econpapers || Download paper

2
162013Prediction of time series by statistical learning: general losses and fast rates. (2013). Olivier, Wintenberger ; Xiaoyin, Li ; Pierre, Alquier. In: Dependence Modeling. RePEc:vrs:demode:v:1:y:2013:i:2013:p:65-93:n:4.

Full description at Econpapers || Download paper

1
172020Lorenz-generated bivariate Archimedean copulas. (2020). Cornelis, Oosterlee ; Pasquale, Cirillo ; Andrea, Fontanari. In: Dependence Modeling. RePEc:vrs:demode:v:8:y:2020:i:1:p:186-209:n:14.

Full description at Econpapers || Download paper

1
182015A Journey from Statistics and Probability to Risk Theory An interview with Ludger Rüschendorf. (2015). Durante, Fabrizio ; Giovanni, Puccetti ; Matthias, Scherer. In: Dependence Modeling. RePEc:vrs:demode:v:3:y:2015:i:1:p:14:n:13.

Full description at Econpapers || Download paper

1
192017Inference for copula modeling of discrete data: a cautionary tale and some facts. (2017). Olivier, Faugeras. In: Dependence Modeling. RePEc:vrs:demode:v:5:y:2017:i:1:p:121-132:n:8.

Full description at Econpapers || Download paper

1
202014Prediction of time series by statistical learning: general losses and fast rates. (2014). Wintenberger, Olivier ; Pierre, Alquier ; Olivier, Wintenberger ; Xiaoyin, Li. In: Dependence Modeling. RePEc:vrs:demode:v:1:y:2014:i::p:65-93:n:4.

Full description at Econpapers || Download paper

1
212017My introduction to copulas: An interview with Roger Nelsen. (2017). Puccetti, Giovanni ; Durante, Fabrizio ; Matthias, Scherer ; Giovanni, Puccetti ; Fabrizio, Durante ; Steven, Vanduffel . In: Dependence Modeling. RePEc:vrs:demode:v:5:y:2017:i:1:p:88-98:n:6.

Full description at Econpapers || Download paper

1
222020Bayesian credibility premium with GB2 copulas. (2020). Emiliano, Valdez ; Himchan, Jeong. In: Dependence Modeling. RePEc:vrs:demode:v:8:y:2020:i:1:p:157-171:n:22.

Full description at Econpapers || Download paper

1
232017On 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.

Full description at Econpapers || Download paper

1
242013Dependence of Stock Returns in Bull and Bear Markets. (2013). Jadran, Dobric ; Friedrich, Schmid ; Gabriel, Frahm . In: Dependence Modeling. RePEc:vrs:demode:v:1:y:2013:i::p:94-110:n:5.

Full description at Econpapers || Download paper

1
252017A two-component copula with links to insurance. (2017). , Maynard ; Yu G., . In: Dependence Modeling. RePEc:vrs:demode:v:5:y:2017:i:1:p:295-303:n:17.

Full description at Econpapers || Download paper

1
262016Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances. (2016). Pierre, Devolder ; Adrien, Lebegue . In: Dependence Modeling. RePEc:vrs:demode:v:4:y:2016:i:1:p:22:n:18.

Full description at Econpapers || Download paper

1
272018The strong Fatou property of risk measures. (2018). Foivos, Xanthos ; Niushan, Gao ; Shengzhong, Chen. In: Dependence Modeling. RePEc:vrs:demode:v:6:y:2018:i:1:p:183-196:n:12.

Full description at Econpapers || Download paper

1
282013Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence. (2013). Carole, Bernard ; Jinyuan, Zhang ; Niall, MacGillivray ; Yuntao, Liu . In: Dependence Modeling. RePEc:vrs:demode:v:1:y:2013:i::p:37-53:n:2.

Full description at Econpapers || Download paper

1
292017The Vine Philosopher: An interview with Roger Cooke. (2017). Puccetti, Giovanni ; Durante, Fabrizio ; Matthias, Scherer ; Giovanni, Puccetti ; Fabrizio, Durante ; Steven, Vanduffel . In: Dependence Modeling. RePEc:vrs:demode:v:5:y:2017:i:1:p:256-267:n:15.

Full description at Econpapers || Download paper

1
302019A latent class analysis towards stability and changes in breadwinning patterns among coupled households. (2019). Pennoni, Fulvia ; Miki, Nakai ; Fulvia, Pennoni. In: Dependence Modeling. RePEc:vrs:demode:v:7:y:2019:i:1:p:234-246:n:12.

Full description at Econpapers || Download paper

1
31A note on bivariate Archimax copulas. (2018). Durante, Fabrizio ; Carlo, Sempi ; Fernandez, Sanchez Juan ; Fabrizio, Durante. In: Dependence Modeling. RePEc:vrs:demode:v:6:y:2018:i:1:p:178-182:n:11.

Full description at Econpapers || Download paper

1
322015Seven Proofs for the Subadditivity of Expected Shortfall. (2015). Paul, Embrechts ; Ruodu, Wang . In: Dependence Modeling. RePEc:vrs:demode:v:3:y:2015:i:1:p:15:n:9.

Full description at Econpapers || Download paper

1
332019Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo. (2019). Louis, Belisle ; Martin, Burda . In: Dependence Modeling. RePEc:vrs:demode:v:7:y:2019:i:1:p:133-149:n:6.

Full description at Econpapers || Download paper

1
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12016VaR bounds for joint portfolios with dependence constraints. (2016). Giovanni, Puccetti ; Dennis, Manko ; Ludger, Ruschendorf. In: Dependence Modeling. RePEc:vrs:demode:v:4:y:2016:i:1:p:14:n:21.

Full description at Econpapers || Download paper

7
22018Copulas, credit portfolios, and the broken heart syndrome. (2018). Puccetti, Giovanni ; Matthias, Scherer ; Giovanni, Puccetti. In: Dependence Modeling. RePEc:vrs:demode:v:6:y:2018:i:1:p:114-130:n:7.

Full description at Econpapers || Download paper

5
32019Structural change in the link between oil and the European stock market: implications for risk management. (2019). Ojea, Ferreiro Javier. In: Dependence Modeling. RePEc:vrs:demode:v:7:y:2019:i:1:p:53-125:n:4.

Full description at Econpapers || Download paper

4
42016New copulas based on general partitions-of-unity and their applications to risk management. (2016). Dietmar, Pfeifer ; Come, Girschig ; Andreas, Mandle ; Awoumlac, Tsatedem Herve . In: Dependence Modeling. RePEc:vrs:demode:v:4:y:2016:i:1:p:123-140:n:6.

Full description at Econpapers || Download paper

3
52016On an asymmetric extension of multivariate Archimedean copulas based on quadratic form. (2016). Rulliere, Didier ; Bernardino, DI. In: Dependence Modeling. RePEc:vrs:demode:v:4:y:2016:i:1:p:20:n:19.

Full description at Econpapers || Download paper

3
62019Volatility filtering in estimation of kurtosis (and variance). (2019). Anatolyev, Stanislav. In: Dependence Modeling. RePEc:vrs:demode:v:7:y:2019:i:1:p:1-23:n:1.

Full description at Econpapers || Download paper

2
72015An analysis of the Rüschendorf transform - with a view towards Sklar’s Theorem. (2015). Oertel, Frank ; Frank, Oertel . In: Dependence Modeling. RePEc:vrs:demode:v:3:y:2015:i:1:p:13:n:8.

Full description at Econpapers || Download paper

2
82018Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas. (2018). Lehnert, Thorsten ; Thorsten, Lehnert ; Song, Jinxi ; Xisong, Jin. In: Dependence Modeling. RePEc:vrs:demode:v:6:y:2018:i:1:p:19-46:n:2.

Full description at Econpapers || Download paper

2
92015Building bridges between Mathematics, Insurance and Finance. (2015). Durante, Fabrizio ; Fabrizio, Durante ; Matthias, Scherer ; Giovanni, Puccetti . In: Dependence Modeling. RePEc:vrs:demode:v:3:y:2015:i:1:p:12:n:2.

Full description at Econpapers || Download paper

2
102013On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators. (2013). Rulliere, Didier ; Elena, Di Bernardino . In: Dependence Modeling. RePEc:vrs:demode:v:1:y:2013:i::p:1-36:n:1.

Full description at Econpapers || Download paper

2
112014Solution to an open problem about a transformation on the space of copulas. (2014). Durante, Fabrizio ; Fabrizio, Durante ; Wolfgang, Trutschnig ; Juan, Fernandez-Sanchez. In: Dependence Modeling. RePEc:vrs:demode:v:2:y:2014:i:1:p:8:n:5.

Full description at Econpapers || Download paper

2
Citing documents used to compute impact factor: 8
YearTitle
2020Insurance applications of dependence modeling: An interview with Edward (Jed) Frees. (2020). Matthias, Scherer ; Christian, Genest. In: Dependence Modeling. RePEc:vrs:demode:v:8:y:2020:i:1:p:93-106:n:5.

Full description at Econpapers || Download paper

2020State dependent correlations in the Vasicek default model. (2020). , Metzler. In: Dependence Modeling. RePEc:vrs:demode:v:8:y:2020:i:1:p:298-329:n:17.

Full description at Econpapers || Download paper

2020State dependent correlations in the Vasicek default model. (2020). , Metzler. In: Dependence Modeling. RePEc:vrs:demode:v:8:y:2020:i:1:p:298-329:n:6.

Full description at Econpapers || Download paper

2020Insurance applications of dependence modeling: An interview with Edward (Jed) Frees. (2020). Matthias, Scherer ; Christian, Genest. In: Dependence Modeling. RePEc:vrs:demode:v:8:y:2020:i:1:p:93-106:n:15.

Full description at Econpapers || Download paper

2020Tail dependence in emerging ASEAN-6 equity markets: empirical evidence from quantitative approaches. (2020). Duc, Toan Luu ; Duong, Duy. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-019-0168-7.

Full description at Econpapers || Download paper

2020Risk Measures Estimation Under Wasserstein Barycenter. (2020). Caro-Lopera, Francisco J ; Loubes, Jean-Michel ; Arias-Serna, Andrea M. In: Papers. RePEc:arx:papers:2008.05824.

Full description at Econpapers || Download paper

2020Disentangling the role of the exchange rate in oil-related scenarios for the European stock market. (2020). Ferreiro, Javier Ojea. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s014098832030116x.

Full description at Econpapers || Download paper

2020Analysing the course of public trust via hidden Markov models: a focus on the Polish society. (2020). Genge, Ewa ; Pennoni, Fulvia. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:29:y:2020:i:2:d:10.1007_s10260-019-00483-9.

Full description at Econpapers || Download paper

Recent citations
Recent citations received in 2020
YearCiting document
2020Predictive compound risk models with dependence. (2020). Valdez, Emiliano A ; Jeong, Himchan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:94:y:2020:i:c:p:182-195.

Full description at Econpapers || Download paper

2020Two symmetric and computationally efficient Gini correlations. (2020). Yongli, Sang ; Courtney, Vanderford ; Xin, Dang. In: Dependence Modeling. RePEc:vrs:demode:v:8:y:2020:i:1:p:373-395:n:20.

Full description at Econpapers || Download paper

Recent citations received in 2019
YearCiting document
2019Disentangling the role of the exchange rate in oil-related scenarios for the European stock market. (2019). Ferreiro, Javier Ojea. In: Working Paper Series. RePEc:ecb:ecbwps:20192296.

Full description at Econpapers || Download paper

Recent citations received in 2018
YearCiting document
2018Risk sharing for capital requirements with multidimensional security markets. (2018). Svindland, Gregor ; Liebrich, Felix-Benedikt. In: Papers. RePEc:arx:papers:1809.10015.

Full description at Econpapers || Download paper

Recent citations received in 2017
YearCiting document