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: 2020-06-03 07:38:54]
5 Years H
2
Impact Factor
0.03
5 Years IF
0.06
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 0.08 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 0.1 0 0 0 0 0 0 0 0 0 0 0.05
1994 0 0.11 0 0 0 0 0 0 0 0 0 0 0.06
1995 0 0.2 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 0.23 0 0 0 0 0 0 0 0 0 0 0.1
1998 0 0.27 0 0 0 0 0 0 0 0 0 0 0.12
1999 0 0.29 0 0 0 0 0 0 0 0 0 0 0.14
2000 0 0.34 0 0 0 0 0 0 0 0 0 0 0.15
2001 0 0.36 0 0 0 0 0 0 0 0 0 0 0.16
2002 0 0.4 0 0 0 0 0 0 0 0 0 0 0.21
2003 0 0.41 0 0 0 0 0 0 0 0 0 0 0.2
2004 0 0.46 0 0 0 0 0 0 0 0 0 0 0.21
2005 0 0.47 0 0 0 0 0 0 0 0 0 0 0.22
2006 0 0.47 0 0 0 0 0 0 0 0 0 0 0.21
2007 0 0.42 0 0 0 0 0 0 0 0 0 0 0.19
2008 0 0.45 0 0 0 0 0 0 0 0 0 0 0.21
2009 0 0.44 0 0 0 0 0 0 0 0 0 0 0.21
2010 0 0.44 0 0 0 0 0 0 0 0 0 0 0.18
2011 0 0.46 0 0 0 0 0 0 0 0 0 0 0.21
2012 0 0.47 0 0 0 0 0 0 0 0 0 0 0.19
2013 0 0.53 0 0 4 4 2 0 0 0 0 0 0.22
2014 0.5 0.55 0.18 0.5 7 11 0 2 2 4 2 4 2 0 0 0.21
2015 0.09 0.55 0.07 0.09 16 27 2 2 4 11 1 11 1 0 1 0.06 0.21
2016 0 0.56 0.02 0 24 51 10 1 5 23 27 0 1 0.04 0.2
2017 0.08 0.58 0.05 0.08 22 73 2 4 9 40 3 51 4 0 0 0.21
2018 0.09 0.7 0.06 0.05 17 90 2 5 14 46 4 73 4 0 1 0.06 0.28
2019 0.03 0.88 0.05 0.06 21 111 0 6 20 39 1 86 5 0 1 0.05 0.33
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

4
22016On 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
32015Quantile 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
42016An 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

2
52019Structural 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

1
62014Prediction 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
72017Inference 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
82018Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas. (2018). Xisong, Jin ; Thorsten, Lehnert. In: Dependence Modeling. RePEc:vrs:demode:v:6:y:2018:i:1:p:19-46:n:2.

Full description at Econpapers || Download paper

1
92013Dependence 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
102017On 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
112016New 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

1
122018The strong Fatou property of risk measures. (2018). Shengzhong, Chen ; Foivos, Xanthos ; Niushan, Gao. In: Dependence Modeling. RePEc:vrs:demode:v:6:y:2018:i:1:p:183-196:n:12.

Full description at Econpapers || Download paper

1
132013Bounds 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
142016Risk 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
152015Seven 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
16A 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
172013On 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

1
182017About tests of the “simplifying” assumption for conditional copulas. (2017). Alexis, Derumigny ; Jean-David, Fermanian. In: Dependence Modeling. RePEc:vrs:demode:v:5:y:2017:i:1:p:154-197:n:11.

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

4
22016An 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

2
32016On 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

2
Citing documents used to compute impact factor: 1
YearTitle
2019Functional, randomized and smoothed multivariate quantile regions. (2019). Ruschendorf, Ludger ; Faugeras, Olivier . In: TSE Working Papers. RePEc:tse:wpaper:123569.

Full description at Econpapers || Download paper

Recent citations
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

Recent citations received in 2016
YearCiting document
2016Compositions of Conditional Risk Measures and Solvency Capital. (2016). Devolder, Pierre ; Lebegue, Adrien . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:4:p:49-:d:85319.

Full description at Econpapers || Download paper