Dependence Modeling

2013 - 2025

Current editor(s): Giovanni Puccetti

From De Gruyter
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Volume 13, issue 1, 2025

On bivariate Archimedean copulas with fractal support pp. 13

Sánchez Juan Fernández and Trutschnig Wolfgang

Generalized Hoeffding-Fréchet functionals and mass transportation pp. 15

Rüschendorf Ludger

A point on discrete versus continuous state-space Markov chains pp. 23

Muia Mathias and Longla Martial

Tree-based conditional copula estimation pp. 25

Bonacina Francesco, Lopez Olivier and Thomas Maud

Dependence modeling in general insurance using local Gaussian correlations and hidden Markov models pp. 29

Afazali Zabibu, Gundersen Kristian, Kasozi Juma, Omala Saint Kizito and Støve Bård

Fast estimation of Kendall's Tau and conditional Kendall's Tau matrices under structural assumptions pp. 46

Rutger van der Spek and Derumigny Alexis

Volume 12, issue 1, 2024

Special Issue: 40th Linz Seminar on Fuzzy Set Theory. Copulas – Theory and Applications pp. 2

Durante Fabrizio, Saminger-Platz Susanne and Trutschnig Wolfgang

Invariance properties of limiting point processes and applications to clusters of extremes pp. 12

Janßen Anja and Segers Johan

Sharp bounds on the survival function of exchangeable min-stable multivariate exponential sequences pp. 12

Mai Jan-Frederik

Using sums-of-squares to prove Gaussian product inequalities pp. 13

Russell Oliver and Sun Wei

Geometry of generators of triangular norms and copulas pp. 16

Houšková Kamila and Navara Mirko

Assessing copula models for mixed continuous-ordinal variables pp. 18

Pan Shenyi and Joe Harry

On the construction of stationary processes and random fields pp. 27

Lee Jeonghwa

Decomposition and graphical correspondence analysis of checkerboard copulas pp. 31

Grothe Oliver and Rieger Jonas

On comprehensive families of copulas involving the three basic copulas and transformations thereof pp. 36

Saminger-Platz Susanne, Kolesárová Anna, Šeliga Adam, Mesiar Radko and Klement Erich Peter

Dependence properties of bivariate copula families pp. 36

Ansari Jonathan and Rockel Marcus

Volume 11, issue 1, 2023

Consistency of mixture models with a prior on the number of components pp. 9

Miller Jeffrey W.

Functions operating on several multivariate distribution functions pp. 11

Ressel Paul

Characterization of pre-idempotent Copulas pp. 12

Chamnan Wongtawan and Sumetkijakan Songkiat

A link between Kendall’s τ, the length measure and the surface of bivariate copulas, and a consequence to copulas with self-similar support pp. 14

Sánchez Juan Fernández and Trutschnig Wolfgang

An optimal transport-based characterization of convex order pp. 15

Wiesel Johannes and Zhang Erica

Mutual volatility transmission between assets and trading places pp. 15

Masuhr Andreas and Trede Mark

A nonparametric test for comparing survival functions based on restricted distance correlation pp. 15

Zhang Qingyang

When copulas and smoothing met: An interview with Irène Gijbels pp. 16

Genest Christian and Scherer Matthias

Test of bivariate independence based on angular probability integral transform with emphasis on circular-circular and circular-linear data pp. 17

Fernández-Durán Juan José and Gregorio-Domínguez María Mercedes

Abel-Gontcharoff polynomials, parking trajectories and ruin probabilities pp. 17

Lefèvre Claude and Picard Philippe

Constructing models for spherical and elliptical densities pp. 19

Liebscher Eckhard

Joint lifetime modeling with matrix distributions pp. 22

Albrecher Hansjörg, Bladt Martin and Müller Alaric J. A.

On copulas with a trapezoid support pp. 23

Jaworski Piotr

Testing for explosive bubbles: a review pp. 26

Skrobotov Anton

Volume 10, issue 1, 2022

Nonparametric C- and D-vine-based quantile regression pp. 1-21

Tepegjozova Marija, Zhou Jing, Claeskens Gerda and Czado Claudia

A topological proof of Sklar’s theorem in arbitrary dimensions pp. 22-28

Benth Fred Espen, Nunno Giulia Di and Schroers Dennis

About the exact simulation of bivariate (reciprocal) Archimax copulas pp. 29-47

Mai Jan-Frederik

The stopped clock model pp. 48-57

Ferreira Helena and Ferreira Marta

Disentangling the impact of mean reversion in estimating policy response with dynamic panels pp. 58-86

Galina Besstremyannaya and Golovan Sergei

Time series with infinite-order partial copula dependence pp. 87-107

Bladt Martin and McNeil Alexander J.

On correlated measurement errors in the Schwartz–Smith two-factor model pp. 108-122

Han Jun S., Kordzakhia Nino, Shevchenko Pavel V. and Trück Stefan

Dependence modeling in stochastic frontier analysis pp. 123-144

Mamonov Mikhail E., Christopher Parmeter and Prokhorov Artem B.

Technical and allocative inefficiency in production systems: a vine copula approach pp. 145-158

Zhai Jian, James Robert and Artem Prokhorov

Equity returns and sentiment pp. 159-176

Huang Zibin and Ibragimov Rustam

Networks of causal relationships in the U.S. stock market pp. 177-190

Shirokikh Oleg, Pastukhov Grigory, Semenov Alexander, Butenko Sergiy, Veremyev Alexander, Pasiliao Eduardo L. and Boginski Vladimir

Predictability of cryptocurrency returns: evidence from robust tests pp. 191-206

He Siyun and Ibragimov Rustam

Applying spline-based phase analysis to macroeconomic dynamics pp. 207-214

Lyudmila Gadasina and Lyudmila Vyunenko

Analyzing and forecasting financial series with singular spectral analysis pp. 215-224

Makshanov Andrey, Musaev Alexander and Grigoriev Dmitry

Stable tail dependence functions – some basic properties pp. 225-235

Ressel Paul

A combinatorial proof of the Gaussian product inequality beyond the MTP2 case pp. 236-244

Genest Christian and Ouimet Frédéric

Maximal asymmetry of bivariate copulas and consequences to measures of dependence pp. 245-269

Griessenberger Florian and Trutschnig Wolfgang

Fast inference methods for high-dimensional factor copulas pp. 270-289

Verhoijsen Alex and Krupskiy Pavel

Multiple inflated negative binomial regression for correlated multivariate count data pp. 290-307

Mathews Joseph, Bhattacharya Sumangal, Sen Sumen and Das Ishapathik

Implementing Markovian models for extendible Marshall–Olkin distributions pp. 308-343

Sloot Henrik