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Citation Profile [Updated: 2024-06-03 11:54:30]
5 Years H Index
5
Impact Factor (IF)
0.1
5 Years IF
0.07
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
2013 0 0.56 0 0 6 6 9 0 0 0 0 0 0.24
2014 0.5 0.55 0.23 0.5 7 13 3 3 3 6 3 6 3 0 0 0.23
2015 0.08 0.55 0.07 0.08 17 30 12 2 5 13 1 13 1 0 1 0.06 0.23
2016 0 0.53 0.04 0 23 53 43 2 7 24 30 0 2 0.09 0.21
2017 0.1 0.54 0.09 0.09 22 75 12 7 14 40 4 53 5 2 28.6 0 0.22
2018 0.22 0.56 0.16 0.15 15 90 15 14 28 45 10 75 11 5 35.7 1 0.07 0.24
2019 0 0.57 0.09 0.1 21 111 11 10 38 37 84 8 2 20 1 0.05 0.23
2020 0.25 0.69 0.21 0.24 45 156 3 33 71 36 9 98 24 15 45.5 2 0.04 0.33
2021 0.06 0.83 0.13 0.14 22 178 2 23 94 66 4 126 18 5 21.7 0 0.31
2022 0.01 0.89 0.07 0.04 20 198 0 13 107 67 1 125 5 0 0 0.27
2023 0.1 1.03 0.06 0.07 10 208 0 13 120 42 4 123 8 0 0 0.3
IF: Two years Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for all series in RePEc in year y
CIF: Cumulative impact factor
IF5: Five years 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.

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14
22016Multivariate measures of concordance for copulas and their marginals. (2016). , Taylor . In: Dependence Modeling. RePEc:vrs:demode:v:4:y:2016:i:1:p:13:n:13.

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8
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.

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7
42018Copulas, 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.

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6
52016Extreme value distributions for dependent jointly ln,p-symmetrically distributed random variables. (2016). , Muller . In: Dependence Modeling. RePEc:vrs:demode:v:4:y:2016:i:1:p:33:n:2.

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5
62016An 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.

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5
72013On 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.

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4
82013Prediction 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.

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4
92016On 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.

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4
102016New 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.

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4
112015Building 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.

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4
122014Solution 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.

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3
132018Predictive analytics of insurance claims using multivariate decision trees. (2018). Emiliano, Valdez ; Zhiyu, Quan. In: Dependence Modeling. RePEc:vrs:demode:v:6:y:2018:i:1:p:377-407:n:22.

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3
142018Large 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.

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3
152015Quantile 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.

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3
162019Volatility 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.

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3
172015Seven 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.

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2
182016Distributions 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.

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2
192015An 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.

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2
202021Detection of arbitrage opportunities in multi-asset derivatives markets. (2021). Yanez, Sarmiento Paulo ; Antonis, Papapantoleon. In: Dependence Modeling. RePEc:vrs:demode:v:9:y:2021:i:1:p:439-459:n:18.

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2
212017On 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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2
222016Bregman superquantiles. Estimation methods and applications. (2016). , Labopin-Richard . In: Dependence Modeling. RePEc:vrs:demode:v:4:y:2016:i:1:p:33:n:4.

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2
232017Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets. (2017). Emiliano, Valdez ; Guojun, Gan . In: Dependence Modeling. RePEc:vrs:demode:v:5:y:2017:i:1:p:354-374:n:21.

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2
242017About 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.

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2
25A 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.

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1
262020Bayesian 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.

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1
272017A 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.

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1
282020Copula modeling for discrete random vectors. (2020). Gery, Geenens. In: Dependence Modeling. RePEc:vrs:demode:v:8:y:2020:i:1:p:417-440:n:22.

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1
292017On capital allocation for stochastic arrangement increasing actuarial risks. (2017). Xiaohu, LI ; Xiaoqing, Pan. In: Dependence Modeling. RePEc:vrs:demode:v:5:y:2017:i:1:p:145-153:n:10.

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1
302013Dependence of Stock Returns in Bull and Bear Markets. (2013). Friedrich, Schmid ; Gabriel, Frahm ; Jadran, Dobric . In: Dependence Modeling. RePEc:vrs:demode:v:1:y:2013:i:2013:p:94-110:n:5.

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1
312015A 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.

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1
322016Risk 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.

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1
332017The 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.

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1
342014Prediction 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.

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1
352018Ordering risk bounds in factor models. (2018). Ludger, Ruschendorf ; Jonathan, Ansari. In: Dependence Modeling. RePEc:vrs:demode:v:6:y:2018:i:1:p:259-287:n:15.

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1
362020Copula modeling for discrete random vectors. (2020). Gery, Geenens. In: Dependence Modeling. RePEc:vrs:demode:v:8:y:2020:i:1:p:417-440:n:16.

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1
372017Inference 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.

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1
382018Risk bounds with additional information on functionals of the risk vector. (2018). , Ruschendorf. In: Dependence Modeling. RePEc:vrs:demode:v:6:y:2018:i:1:p:102-113:n:6.

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1
392019A 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.

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1
402017New copulas based on general partitions-of-unity and their applications to risk management (part II). (2017). Olena, Ragulina ; Andreas, Mandle ; Dietmar, Pfeifer. In: Dependence Modeling. RePEc:vrs:demode:v:5:y:2017:i:1:p:246-255:n:14.

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1
412013Dependence 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.

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1
422020Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference. (2020). Alfred, Muller ; Carole, Bernard. In: Dependence Modeling. RePEc:vrs:demode:v:8:y:2020:i:1:p:239-253:n:4.

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1
432022Dependence modeling in stochastic frontier analysis. (2022). Artem, Prokhorov ; Christopher, Parmeter ; Mikhail, Mamonov . In: Dependence Modeling. RePEc:vrs:demode:v:10:y:2022:i:1:p:123-144:n:3.

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1
442017My 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.

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1
452019Copula 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.

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1
462021Generating unfavourable VaR scenarios under Solvency II with patchwork copulas. (2021). Olena, Ragulina ; Dietmar, Pfeifer. In: Dependence Modeling. RePEc:vrs:demode:v:9:y:2021:i:1:p:327-346:n:2.

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1
472017Multivariate extensions of expectiles risk measures. (2017). Rulliere, Didier ; Khalil, Said ; Veronique, Maume-Deschamps . In: Dependence Modeling. RePEc:vrs:demode:v:5:y:2017:i:1:p:20-44:n:2.

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1
482013Bounds 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.

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1
492018The 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.

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1
502015High level quantile approximations of sums of risks. (2015). , Cuberos . In: Dependence Modeling. RePEc:vrs:demode:v:3:y:2015:i:1:p:18:n:10.

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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
22019Structural 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

3
32021Detection of arbitrage opportunities in multi-asset derivatives markets. (2021). Yanez, Sarmiento Paulo ; Antonis, Papapantoleon. In: Dependence Modeling. RePEc:vrs:demode:v:9:y:2021:i:1:p:439-459:n:18.

Full description at Econpapers || Download paper

2
42017Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets. (2017). Emiliano, Valdez ; Guojun, Gan . In: Dependence Modeling. RePEc:vrs:demode:v:5:y:2017:i:1:p:354-374:n:21.

Full description at Econpapers || Download paper

2
52016An 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
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
Citing documents used to compute impact factor: 4
YearTitle
2023Assessing the accuracy of efficiency rankings obtained from a stochastic frontier model. (2023). Furmanov, Kirill ; Nikolskiy, Ilya. In: Applied Econometrics. RePEc:ris:apltrx:0481.

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2023Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information. (2022). Sester, Julian ; Neufeld, Ariel ; Lutkebohmert, Eva ; Ansari, Jonathan. In: Papers. RePEc:arx:papers:2204.01071.

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2023Model-Free Bounds for Multi-Asset Options Using Option-Implied Information and Their Exact Computation. (2023). Xiang, Qikun ; Papapantoleon, Antonis ; Neufeld, Ariel. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:4:p:2051-2068.

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2023On the Diversification Effect in Solvency II for Extremely Dependent Risks. (2023). Zeng, Jia ; Yuen, Fei Lung ; Phillip, Sheung Chi ; Cheung, Ka Chun ; Chen, Yongzhao. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:8:p:143-:d:1210898.

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Recent citations
Recent citations received in 2021

YearCiting document

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.

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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.

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