Dependence Modeling

2013 - 2023

Current editor(s): Giovanni Puccetti

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Volume 11, month January, 2023

Joint lifetime modeling with matrix distributions pp. 22

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

Testing for explosive bubbles: a review pp. 26

Skrobotov Anton

Volume 10, month January, 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 Prokhorov Artem

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, Boginski Vladimir and Pasiliao Eduardo L.

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, Das Ishapathik and Sen Sumen

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

Sloot Henrik

Volume 9, month January, 2021

Generalized Bernoulli process with long-range dependence and fractional binomial distribution pp. 1-12

Lee Jeonghwa

Polynomial bivariate copulas of degree five: characterization and some particular inequalities pp. 13-42

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

Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case pp. 43-61

Monica Billio, Frattarolo Lorenzo and Guégan Dominique

Explaining predictive models using Shapley values and non-parametric vine copulas pp. 62-81

Aas Kjersti, Nagler Thomas, Jullum Martin and Løland Anders

Study of partial and average conditional Kendall’s tau pp. 82-120

Gijbels Irène and Matterne Margot

Detecting departures from meta-ellipticity for multivariate stationary time series pp. 121-140

Bücher Axel, Jaser Miriam and Min Aleksey

Generalized Bernoulli process: simulation, estimation, and application pp. 141-155

Lee Jeonghwa

Asymptotic normality of the relative error regression function estimator for censored and time series data pp. 156-178

Bouhadjera Feriel and Saïd Elias Ould

Hoeffding–Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application pp. 179-198

Mercadier Cécile and Ressel Paul

Special Issue on copulas in memory of Abe Sklar (1925-2020) pp. 199-199

Giovanni Puccetti

A tribute to Abe Sklar pp. 200-224

Genest Christian

On partially Schur-constant models and their associated copulas pp. 225-242

Lefèvre Claude

On copulas of self-similar Ito processes pp. 243-266

Jaworski Piotr and Krzywda Marcin

Sklar’s theorem, copula products, and ordering results in factor models pp. 267-306

Ansari Jonathan and Rüschendorf Ludger

On convergence of associative copulas and related results pp. 307-326

Kasper Thimo M., Fuchs Sebastian and Trutschnig Wolfgang

Generating unfavourable VaR scenarios under Solvency II with patchwork copulas pp. 327-346

Pfeifer Dietmar and Ragulina Olena

New results on perturbation-based copulas pp. 347-373

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

On a general class of gamma based copulas pp. 374-384

Arnold Barry C. and Arvanitis Matthew

Dispersive order comparisons on extreme order statistics from homogeneous dependent random vectors pp. 385-393

Mesfioui Mhamed and Trufin Julien

Diagonal sections of copulas, multivariate conditional hazard rates and distributions of order statistics for minimally stable lifetimes pp. 394-423

Foschi Rachele, Nappo Giovanna and Spizzichino Fabio L.

Counterexamples to the classical central limit theorem for triplewise independent random variables having a common arbitrary margin pp. 424-438

Beaulieu Guillaume Boglioni, Lafaye de Micheaux Pierre and Ouimet Frédéric

Detection of arbitrage opportunities in multi-asset derivatives markets pp. 439-459

Papapantoleon Antonis and Sarmiento Paulo Yanez

Volume 8, month January, 2020

Relations between ageing and dependence for exchangeable lifetimes with an extension for the IFRA/DFRA property pp. 1-33

Nappo Giovanna and Spizzichino Fabio

Relations between ageing and dependence for exchangeable lifetimes with an extension for the IFRA/DFRA property pp. 1-33

Nappo Giovanna and Spizzichino Fabio

The gentleman copulist: An interview with Carlo Sempi pp. 34-44

Genest Christian and Scherer Matthias

The gentleman copulist: An interview with Carlo Sempi pp. 34-44

Genest Christian and Scherer Matthias

Modelling with star-shaped distributions pp. 45-69

Liebscher Eckhard and Richter Wolf-Dieter

Modelling with star-shaped distributions pp. 45-69

Liebscher Eckhard and Richter Wolf-Dieter

Checkerboard copula defined by sums of random variables pp. 70-92

Kuzmenko Viktor, Salam Romel and Uryasev Stan

Checkerboard copula defined by sums of random variables pp. 70-92

Kuzmenko Viktor, Salam Romel and Uryasev Stan

Insurance applications of dependence modeling: An interview with Edward (Jed) Frees pp. 93-106

Genest Christian and Scherer Matthias

Insurance applications of dependence modeling: An interview with Edward (Jed) Frees pp. 93-106

Genest Christian and Scherer Matthias

The deFinetti representation of generalised Marshall–Olkin sequences pp. 107-118

Sloot Henrik

The deFinetti representation of generalised Marshall–Olkin sequences pp. 107-118

Sloot Henrik

Bayesian estimation of generalized partition of unity copulas pp. 119-131

Masuhr Andreas and Trede Mark

Bayesian estimation of generalized partition of unity copulas pp. 119-131

Masuhr Andreas and Mark Trede

Bivariate box plots based on quantile regression curves pp. 132-156

Navarro Jorge

Bivariate box plots based on quantile regression curves pp. 132-156

Navarro Jorge

Bayesian credibility premium with GB2 copulas pp. 157-171

Jeong Himchan and Valdez Emiliano A.

Bayesian credibility premium with GB2 copulas pp. 157-171

Jeong Himchan and Valdez Emiliano A.

Optimizing effective numbers of tests by vine copula modeling pp. 172-185

Steffen Nico and Dickhaus Thorsten

Lorenz-generated bivariate Archimedean copulas pp. 186-209

Fontanari Andrea, Cirillo Pasquale and Cornelis Oosterlee

The de Finetti structure behind some norm-symmetric multivariate densities with exponential decay pp. 210-220

Mai Jan-Frederik

Nonparametric relative recursive regression pp. 221-238

Slaoui Yousri and Khardani Salah

Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference pp. 239-253

Bernard Carole and Müller Alfred

Quadratic transformation of multivariate aggregation functions pp. 254-261

Boonmee Prakassawat and Tasena Santi

Erratum regarding “Optimizing effective numbers of tests by vine copula modeling” pp. 262-262

Steffen Nico and Dickhaus Thorsten

Detecting and modeling critical dependence structures between random inputs of computer models pp. 263-297

Benoumechiara Nazih, Bousquet Nicolas, Michel Bertrand and Saint-Pierre Philippe

State dependent correlations in the Vasicek default model pp. 298-329

Metzler A.

A new extreme value copula and new families of univariate distributions based on Freund’s exponential model pp. 330-360

Guzmics Sándor and Pflug Georg Ch.

Multivariate medial correlation with applications pp. 361-372

Ferreira Helena and Ferreira Marta

Two symmetric and computationally efficient Gini correlations pp. 373-395

Vanderford Courtney, Sang Yongli and Dang Xin

On quantile based co-risk measures and their estimation pp. 396-416

Fuchs Sebastian and Trutschnig Wolfgang

Copula modeling for discrete random vectors pp. 417-440

Geenens Gery