Dependence Modeling / De Gruyter
Citation Profile [Updated: 2024-11-03 20:16:59]
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]
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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 | 0.21 | 0.5 | 8 | 14 | 3 | 3 | 3 | 6 | 3 | 6 | 3 | 0 | 0 | 0.23 | ||
| 2015 | 0.07 | 0.55 | 0.06 | 0.07 | 17 | 31 | 13 | 2 | 5 | 14 | 1 | 14 | 1 | 0 | 1 | 0.06 | 0.23 | |
| 2016 | 0 | 0.53 | 0.04 | 0 | 23 | 54 | 43 | 2 | 7 | 25 | 31 | 0 | 2 | 0.09 | 0.21 | |||
| 2017 | 0.1 | 0.54 | 0.09 | 0.09 | 22 | 76 | 12 | 7 | 14 | 40 | 4 | 54 | 5 | 2 | 28.6 | 0 | 0.22 | |
| 2018 | 0.22 | 0.55 | 0.15 | 0.14 | 15 | 91 | 15 | 14 | 28 | 45 | 10 | 76 | 11 | 5 | 35.7 | 1 | 0.07 | 0.24 |
| 2019 | 0 | 0.57 | 0.09 | 0.09 | 21 | 112 | 11 | 10 | 38 | 37 | 85 | 8 | 2 | 20 | 1 | 0.05 | 0.23 | |
| 2020 | 0.25 | 0.68 | 0.21 | 0.24 | 45 | 157 | 3 | 33 | 71 | 36 | 9 | 98 | 24 | 15 | 45.5 | 2 | 0.04 | 0.32 |
| 2021 | 0.06 | 0.81 | 0.12 | 0.13 | 22 | 179 | 2 | 22 | 93 | 66 | 4 | 126 | 17 | 5 | 22.7 | 0 | 0.3 | |
| 2022 | 0.01 | 0.86 | 0.06 | 0.04 | 20 | 199 | 0 | 12 | 105 | 67 | 1 | 125 | 5 | 0 | 0 | 0.26 | ||
| 2023 | 0.1 | 0.92 | 0.06 | 0.07 | 13 | 212 | 0 | 13 | 118 | 42 | 4 | 123 | 8 | 0 | 0 | 0.27 |
| 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
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2016 | VaR 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 | 14 |
| 2 | 2016 | Multivariate 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. Full description at Econpapers || Download paper | 8 |
| 3 | 2019 | Structural 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 | 7 |
| 4 | 2018 | Copulas, 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 | 6 |
| 5 | 2016 | An 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 | 5 |
| 6 | 2016 | Extreme 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. Full description at Econpapers || Download paper | 5 |
| 7 | 2016 | New 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 | 4 |
| 8 | 2015 | Building 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 | 4 |
| 9 | 2015 | Quantile 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 | 4 |
| 10 | 2013 | On 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 |
| 11 | 2013 | Prediction 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 | 4 |
| 12 | 2016 | On 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 |
| 13 | 2018 | Large 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 | 3 |
| 14 | 2019 | Volatility 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 | 3 |
| 15 | 2014 | Solution 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 |
| 16 | 2018 | Predictive 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. Full description at Econpapers || Download paper | 3 |
| 17 | 2017 | On 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 | 2 |
| 18 | 2016 | Bregman superquantiles. Estimation methods and applications. (2016). , Labopin-Richard . In: Dependence Modeling. RePEc:vrs:demode:v:4:y:2016:i:1:p:33:n:4. Full description at Econpapers || Download paper | 2 |
| 19 | 2017 | Valuation 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 |
| 20 | 2017 | About tests of the âsimplifyingâ 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 |
| 21 | 2015 | Seven 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 | 2 |
| 22 | 2016 | Distributions with given marginals: the beginnings: An interview with Giorgio Dallââ¬â¢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 |
| 23 | 2015 | An analysis of the Rüschendorf transform - with a view towards Sklarââ¬â¢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 |
| 24 | 2021 | Detection 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 |
| 25 | 2013 | Dependence 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 |
| 26 | 2020 | Dependence 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. Full description at Econpapers || Download paper | 1 |
| 27 | 2022 | Dependence 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. Full description at Econpapers || Download paper | 1 |
| 28 | 2017 | My 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 |
| 29 | 2019 | Copula 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 |
| 30 | 2021 | Generating 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. Full description at Econpapers || Download paper | 1 |
| 31 | 2017 | Multivariate 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. Full description at Econpapers || Download paper | 1 |
| 32 | 2013 | Bounds 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 |
| 33 | 2018 | The 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 |
| 34 | 2015 | High 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. Full description at Econpapers || Download paper | 1 |
| 35 | 2020 | Lorenz-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 |
| 36 | 2021 | Sklarâs theorem, copula products, and ordering results in factor models. (2021). Ludger, Ruschendorf ; Jonathan, Ansari. In: Dependence Modeling. RePEc:vrs:demode:v:9:y:2021:i:1:p:267-306:n:3. Full description at Econpapers || Download paper | 1 |
| 37 | A 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 | |
| 38 | 2020 | Bayesian 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 |
| 39 | 2017 | A 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 |
| 40 | 2020 | Copula 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. Full description at Econpapers || Download paper | 1 |
| 41 | 2017 | On 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. Full description at Econpapers || Download paper | 1 |
| 42 | 2013 | Dependence 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. Full description at Econpapers || Download paper | 1 |
| 43 | 2015 | A 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 |
| 44 | 2016 | Risk 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 |
| 45 | 2017 | The 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 |
| 46 | 2014 | Prediction 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 |
| 47 | 2018 | Ordering 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. Full description at Econpapers || Download paper | 1 |
| 48 | 2020 | Copula 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. Full description at Econpapers || Download paper | 1 |
| 49 | 2017 | Inference 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 |
| 50 | 2018 | Risk 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. Full description at Econpapers || Download paper | 1 |
50 most relevant documents in this series (papers most cited in the last two years)
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2016 | VaR 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 |
| 2 | 2019 | Structural 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 |
| 3 | 2015 | Quantile 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 |
| 4 | 2021 | Detection 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 |
| 5 | 2017 | Valuation 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 |
| 6 | 2019 | Volatility 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 |
| 7 | 2016 | An 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 |
Citing documents used to
compute impact factor: 4
| Year | Title | |
|---|---|---|
| 2023 | Assessing the accuracy of efficiency rankings obtained from a stochastic frontier model. (2023). Furmanov, Kirill ; Nikolskiy, Ilya. In: Applied Econometrics. RePEc:ris:apltrx:0481. Full description at Econpapers || Download paper | |
| 2023 | Improved 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. Full description at Econpapers || Download paper | |
| 2023 | On 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. Full description at Econpapers || Download paper | |
| 2023 | Model-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. Full description at Econpapers || Download paper |
Recent citations
Recent citations received in 2021
| Year | Citing document |
|---|
Recent citations received in 2020
| Year | Citing document | |
|---|---|---|
| 2020 | Predictive 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 | |
| 2020 | Two 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 |
10 most frequent citing series