Dependence Modeling / De Gruyter
Citation Profile [Updated: 2025-11-20 18:08:17]
5 Years H Index
5
Impact Factor (IF)
0
5 Years IF
0.02
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]
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trace new citations] [Missing
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Main indicators
Raw Data
| 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). Puccetti, Giovanni ; Ludger, Ruschendorf ; Giovanni, Puccetti ; Dennis, Manko . In: Dependence Modeling. RePEc:vrs:demode:v:4:y:2016:i:1:p:14:n:21. Full description at Econpapers || Download paper | 15 |
| 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). Emiliano, Valdez ; Guojun, Gan. 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). , Richter. In: Dependence Modeling. RePEc:vrs:demode:v:4:y:2016:i:1:p:33:n:2. Full description at Econpapers || Download paper | 5 |
| 7 | 2013 | Prediction of time series by statistical learning: general losses and fast rates. (2013). Wintenberger, Olivier ; Olivier, Wintenberger ; Yin, Lixiao ; 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 | 5 |
| 8 | 2015 | Building bridges between Mathematics, Insurance and Finance: An interview with Paul Embrechts. (2015). Puccetti, Giovanni ; Durante, Fabrizio ; Matthias, Scherer ; Giovanni, Puccetti ; Fabrizio, Durante. 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 ; Steven, Vanduffel ; Carole, Bernard. 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 | 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 |
| 12 | 2016 | New copulas based on general partitions-of-unity and their applications to risk management. (2016). Awoumlac, Tsatedem Herve ; Dietmar, Pfeifer ; Andreas, Mandle ; Come, Girschig. In: Dependence Modeling. RePEc:vrs:demode:v:4:y:2016:i:1:p:123-140:n:6. Full description at Econpapers || Download paper | 4 |
| 13 | 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 |
| 14 | 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 |
| 15 | 2014 | Solution to an open problem about a transformation on the space of copulas. (2014). Durante, Fabrizio ; Wolfgang, Trutschnig ; Juan, Fernandez-Sanchez ; Fabrizio, Durante. 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 | Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas. (2018). Lehnert, Thorsten ; Thorsten, Lehnert ; Song, Jinxi. In: Dependence Modeling. RePEc:vrs:demode:v:6:y:2018:i:1:p:19-46:n:2. Full description at Econpapers || Download paper | 3 |
| 17 | 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 | 3 |
| 18 | 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 |
| 19 | 2020 | Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference. (2020). Müller, Alfred ; 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 | 2 |
| 20 | 2015 | Seven Proofs for the Subadditivity of Expected Shortfall. (2015). Ruodu, Wang ; Paul, Embrechts . In: Dependence Modeling. RePEc:vrs:demode:v:3:y:2015:i:1:p:15:n:9. Full description at Econpapers || Download paper | 2 |
| 21 | 2016 | Distributions with given marginals: the beginnings: An interview with Giorgio DallâAglio. (2016). Vanduffel, Steven ; Puccetti, Giovanni ; 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 |
| 22 | 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 |
| 23 | 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 |
| 24 | 2015 | An analysis of the Rüschendorf transform - with a view towards Sklarâs 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 |
| 25 | 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 |
| 26 | 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 |
| 27 | 2013 | Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence. (2013). Jinyuan, Zhang ; Niall, MacGillivray ; Yuntao, Liu ; Carole, Bernard. In: Dependence Modeling. RePEc:vrs:demode:v:1:y:2013:i::p:37-53:n:2. Full description at Econpapers || Download paper | 1 |
| 28 | 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 | |
| 29 | 2015 | High level quantile approximations of sums of risks. (2015). , Maume-Deschamps . In: Dependence Modeling. RePEc:vrs:demode:v:3:y:2015:i:1:p:18:n:10. 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 | 2023 | An optimal transport-based characterization of convex order. (2023). Erica, Zhang ; Johannes, Wiesel. In: Dependence Modeling. RePEc:vrs:demode:v:11:y:2023:i:1:p:15:n:1. Full description at Econpapers || Download paper | 1 |
| 32 | 2017 | A two-component copula with links to insurance. (2017). 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 |
| 33 | 2017 | On capital allocation for stochastic arrangement increasing actuarial risks. (2017). Xiaoqing, Pan ; Xiaohu, LI. In: Dependence Modeling. RePEc:vrs:demode:v:5:y:2017:i:1:p:145-153:n:10. Full description at Econpapers || Download paper | 1 |
| 34 | 2019 | A latent class analysis towards stability and changes in breadwinning patterns among coupled households. (2019). Pennoni, Fulvia ; Fulvia, Pennoni ; Miki, Nakai. In: Dependence Modeling. RePEc:vrs:demode:v:7:y:2019:i:1:p:234-246:n:12. Full description at Econpapers || Download paper | 1 |
| 35 | 2016 | Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances. (2016). Adrien, Lebegue ; Pierre, Devolder . In: Dependence Modeling. RePEc:vrs:demode:v:4:y:2016:i:1:p:22:n:18. 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 | 2022 | Dependence modeling in stochastic frontier analysis. (2022). Parmeter, Christopher ; 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 |
| 38 | 2017 | The Vine Philosopher: An interview with Roger Cooke. (2017). Vanduffel, Steven ; Puccetti, Giovanni ; Durante, Fabrizio ; Steven, Vanduffel ; Matthias, Scherer ; Giovanni, Puccetti ; Fabrizio, Durante. In: Dependence Modeling. RePEc:vrs:demode:v:5:y:2017:i:1:p:256-267:n:15. Full description at Econpapers || Download paper | 1 |
| 39 | 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 |
| 40 | 2020 | Lorenz-generated bivariate Archimedean copulas. (2020). Cornelis, Oosterlee ; Andrea, Fontanari ; Pasquale, Cirillo. In: Dependence Modeling. RePEc:vrs:demode:v:8:y:2020:i:1:p:186-209:n:14. Full description at Econpapers || Download paper | 1 |
| 41 | 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 |
| 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 | 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 |
| 44 | 2015 | A Journey from Statistics and Probability to Risk Theory An interview with Ludger Rüschendorf. (2015). Puccetti, Giovanni ; Durante, Fabrizio ; Matthias, Scherer ; Giovanni, Puccetti. In: Dependence Modeling. RePEc:vrs:demode:v:3:y:2015:i:1:p:14:n:13. Full description at Econpapers || Download paper | 1 |
| 45 | 2019 | Exponential inequalities for nonstationary Markov chains. (2019). Xiequan, Fan ; Paul, Doukhan ; Pierre, Alquier. In: Dependence Modeling. RePEc:vrs:demode:v:7:y:2019:i:1:p:150-168:n:7. Full description at Econpapers || Download paper | 1 |
| 46 | 2016 | Robustness regions for measures of risk aggregation. (2016). Millossovich, Pietro ; Andreas, Tsanakas ; Silvana, Pesenti ; Pietro, Millossovich . In: Dependence Modeling. RePEc:vrs:demode:v:4:y:2016:i:1:p:20:n:20. Full description at Econpapers || Download paper | 1 |
| 47 | 2021 | On partially Schur-constant models and their associated copulas. (2021). Claude, Lefevre. In: Dependence Modeling. RePEc:vrs:demode:v:9:y:2021:i:1:p:225-242:n:6. Full description at Econpapers || Download paper | 1 |
| 48 | 2017 | New copulas based on general partitions-of-unity and their applications to risk management (part II). (2017). Olena, Ragulina ; Dietmar, Pfeifer ; Andreas, Mandle. In: Dependence Modeling. RePEc:vrs:demode:v:5:y:2017:i:1:p:246-255:n:14. Full description at Econpapers || Download paper | 1 |
| 49 | 2014 | Prediction of time series by statistical learning: general losses and fast rates. (2014). Wintenberger, Olivier ; Olivier, Wintenberger ; Yin, Lixiao ; Pierre, Alquier. In: Dependence Modeling. RePEc:vrs:demode:v:1:y:2014:i::p:65-93:n:4. Full description at Econpapers || Download paper | 1 |
| 50 | 2020 | Lorenz-generated bivariate Archimedean copulas. (2020). Oosterlee, Cornelis ; Cornelis, Oosterlee ; Andrea, Fontanari ; Pasquale, Cirillo. In: Dependence Modeling. RePEc:vrs:demode:v:8:y:2020:i:1:p:186-209:n:11. 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). Puccetti, Giovanni ; Ludger, Ruschendorf ; Giovanni, Puccetti ; Dennis, Manko . In: Dependence Modeling. RePEc:vrs:demode:v:4:y:2016:i:1:p:14:n:21. Full description at Econpapers || Download paper | 3 |
| 2 | 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 |
| 3 | 2015 | Quantile of a Mixture with Application to Model Risk Assessment. (2015). Vanduffel, Steven ; Steven, Vanduffel ; Carole, Bernard. In: Dependence Modeling. RePEc:vrs:demode:v:3:y:2015:i:1:p:10:n:12. Full description at Econpapers || Download paper | 2 |
| 4 | 2020 | Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference. (2020). Müller, Alfred ; 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 | 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 | 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 |
Citing documents used to
compute impact factor:
| Year | Title |
|---|
Recent citations
Recent citations received in 2021
| Year | Citing document |
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10 most frequent citing series