Dependence Modeling / De Gruyter
Citation Profile [Updated: 2026-05-04 07:00:09]
5 Years H Index
5
Impact Factor (IF)
0.17
5 Years IF
0.09
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 | 0.54 | 0 | 0 | 6 | 6 | 11 | 0 | 0 | 0 | 0 | 0 | 0.23 | |||||
| 2014 | 0.5 | 0.53 | 0.21 | 0.5 | 8 | 14 | 3 | 3 | 3 | 6 | 3 | 6 | 3 | 0 | 0 | 0.22 | ||
| 2015 | 0.07 | 0.52 | 0.06 | 0.07 | 17 | 31 | 14 | 2 | 5 | 14 | 1 | 14 | 1 | 0 | 1 | 0.06 | 0.22 | |
| 2016 | 0 | 0.5 | 0.04 | 0 | 24 | 55 | 47 | 2 | 7 | 25 | 31 | 0 | 2 | 0.08 | 0.2 | |||
| 2017 | 0.1 | 0.51 | 0.09 | 0.09 | 22 | 77 | 13 | 7 | 14 | 41 | 4 | 55 | 5 | 2 | 28.6 | 0 | 0.2 | |
| 2018 | 0.22 | 0.52 | 0.15 | 0.14 | 17 | 94 | 15 | 14 | 28 | 46 | 10 | 77 | 11 | 5 | 35.7 | 1 | 0.06 | 0.22 |
| 2019 | 0 | 0.53 | 0.09 | 0.09 | 21 | 115 | 13 | 10 | 38 | 39 | 88 | 8 | 2 | 20 | 1 | 0.05 | 0.21 | |
| 2020 | 0.24 | 0.63 | 0.21 | 0.24 | 45 | 160 | 6 | 33 | 71 | 38 | 9 | 101 | 24 | 15 | 45.5 | 2 | 0.04 | 0.3 |
| 2021 | 0.06 | 0.73 | 0.12 | 0.13 | 22 | 182 | 6 | 22 | 93 | 66 | 4 | 129 | 17 | 5 | 22.7 | 0 | 0.27 | |
| 2022 | 0.01 | 0.72 | 0.06 | 0.04 | 20 | 202 | 0 | 12 | 105 | 67 | 1 | 127 | 5 | 0 | 0 | 0.22 | ||
| 2023 | 0.1 | 0.67 | 0.06 | 0.06 | 14 | 216 | 2 | 14 | 119 | 42 | 4 | 125 | 8 | 0 | 0 | 0.19 | ||
| 2024 | 0 | 0.73 | 0.03 | 0.02 | 10 | 226 | 0 | 7 | 126 | 34 | 122 | 2 | 0 | 0 | 0.22 | |||
| 2025 | 0.17 | 0.96 | 0.07 | 0.09 | 6 | 232 | 0 | 17 | 143 | 24 | 4 | 111 | 10 | 0 | 0 | 0.28 |
| 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 | 16 |
| 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 | 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 | 6 |
| 5 | 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 |
| 6 | 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 |
| 7 | 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 |
| 8 | 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 |
| 9 | 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 |
| 10 | 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 |
| 11 | 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 |
| 12 | 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 |
| 13 | 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 |
| 14 | 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 |
| 15 | 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 |
| 16 | 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 |
| 17 | 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 |
| 18 | 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 |
| 19 | 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 | 2 |
| 20 | 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 | 2 |
| 21 | 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 |
| 22 | 2021 | Counterexamples to the classical central limit theorem for triplewise independent random variables having a common arbitrary margin. (2021). Frederic, Ouimet ; Pierre, De Micheaux ; Boglioni, Beaulieu Guillaume. In: Dependence Modeling. RePEc:vrs:demode:v:9:y:2021:i:1:p:424-438:n:20. Full description at Econpapers || Download paper | 2 |
| 23 | 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 | 2 |
| 24 | 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 |
| 25 | 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 |
| 26 | 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 |
| 27 | 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 |
| 28 | 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 |
| 29 | 2023 | Mutual volatility transmission between assets and trading places. (2023). Mark, Trede ; Andreas, Masuhr. In: Dependence Modeling. RePEc:vrs:demode:v:11:y:2023:i:1:p:15:n:1005. Full description at Econpapers || Download paper | 2 |
| 30 | 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 |
| 31 | 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 |
| 32 | 2021 | Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case. (2021). Billio, Monica ; Dominique, Guegan ; Lorenzo, Frattarolo. In: Dependence Modeling. RePEc:vrs:demode:v:9:y:2021:i:1:p:43-61:n:3. Full description at Econpapers || Download paper | 1 |
| 33 | 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 |
| 34 | 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 |
| 35 | 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 |
| 36 | 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 |
| 37 | 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 |
| 38 | 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 |
| 39 | 2017 | My introduction to copulas: An interview with Roger Nelsen. (2017). Vanduffel, Steven ; 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 |
| 40 | 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 |
| 41 | 2019 | Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo. (2019). Martin, Burda ; Louis, Belisle. In: Dependence Modeling. RePEc:vrs:demode:v:7:y:2019:i:1:p:133-149:n:6. Full description at Econpapers || Download paper | 1 |
| 42 | 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 |
| 43 | 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 |
| 44 | 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 |
| 45 | 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 |
| 46 | 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 |
| 47 | 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::p:94-110:n:5. Full description at Econpapers || Download paper | 1 |
| 48 | 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 | |
| 49 | 2015 | Forecasting time series with multivariate copulas. (2015). Clarence, Simard ; Bruno, Remillard . In: Dependence Modeling. RePEc:vrs:demode:v:3:y:2015:i:1:p:24:n:5. Full description at Econpapers || Download paper | 1 |
| 50 | 2019 | On kernel-based estimation of conditional Kendallâs tau: finite-distance bounds and asymptotic behavior. (2019). Jean-David, Fermanian ; Alexis, Derumigny. In: Dependence Modeling. RePEc:vrs:demode:v:7:y:2019:i:1:p:292-321:n:16. 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 | 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 |
| 2 | 2021 | Counterexamples to the classical central limit theorem for triplewise independent random variables having a common arbitrary margin. (2021). Frederic, Ouimet ; Pierre, De Micheaux ; Boglioni, Beaulieu Guillaume. In: Dependence Modeling. RePEc:vrs:demode:v:9:y:2021:i:1:p:424-438:n:20. Full description at Econpapers || Download paper | 2 |
| 3 | 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 | 2 |
| 4 | 2023 | Mutual volatility transmission between assets and trading places. (2023). Mark, Trede ; Andreas, Masuhr. In: Dependence Modeling. RePEc:vrs:demode:v:11:y:2023:i:1:p:15:n:1005. Full description at Econpapers || Download paper | 2 |
| 5 | 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 | 2 |
| 6 | 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 |
| 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 | 2 |
Citing documents used to
compute impact factor: 4
| Year | Title | |
|---|---|---|
| 2025 | Convex Order and Arbitrage. (2025). Zhang, Erica. In: Papers. RePEc:arx:papers:2510.01599. Full description at Econpapers || Download paper | |
| 2025 | Intraday volatility transmission in global energy markets: A Bayesian nonparametric approach. (2025). Zaharieva, Martina Danielova ; Virbickait, Audron ; Santos, Andr Portela. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:39:y:2025:i:c:s2405851325000406. Full description at Econpapers || Download paper | |
| 2025 | The Ethical Commitment of Business Strategy: ESG-Related Factors as Drivers of the SDGs. (2025). Ziane, Ydriss ; Lpez-Cabarcos, Ngeles M ; Lpez-Prez, Luisa M ; Pieiro-Chousa, Juan. In: Journal of Business Ethics. RePEc:kap:jbuset:v:202:y:2025:i:4:d:10.1007_s10551-025-06002-z. Full description at Econpapers || Download paper | |
| 2025 | Robust Bernoulli mixture models for credit portfolio risk. (2024). Lutkebohmert, Eva ; Ansari, Jonathan. In: Papers. RePEc:arx:papers:2411.11522. Full description at Econpapers || Download paper |
Recent citations
Recent citations received in 2023
| Year | Citing document |
|---|
10 most frequent citing series