Economics at your fingertips  

Dependence Modeling

2013 - 2019

Current editor(s): Giovanni Puccetti

From De Gruyter
Bibliographic data for series maintained by Peter Golla ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 7, issue March, 2019

A simple proof of Pitman–Yor’s Chinese restaurant process from its stick-breaking representation pp. 45-52 Downloads
Lawless Caroline and Arbel Julyan

Volume 7, issue February, 2019

Volatility filtering in estimation of kurtosis (and variance) pp. 1-23 Downloads
Stanislav Anatolyev
Modelling cascading effects for systemic risk: Properties of the Freund copula pp. 24-44 Downloads
Guzmics Sándor and Pflug Georg Ch.

Volume 7, issue January, 2019

Structural change in the link between oil and the European stock market: implications for risk management pp. 53-125 Downloads
Ferreiro Javier Ojea
On the lower bound of Spearman’s footrule pp. 126-132 Downloads
Fuchs Sebastian and McCord Yann

Volume 6, issue December, 2018

A Journey Beyond The Gaussian World: An interview with Harry Joe pp. 288-297 Downloads
Genest Christian and Giovanni Puccetti
Transformation Of A Copula Using The Associated Co-Copula pp. 298-308 Downloads
Girard Stéphane
The Default Risk Charge approach to regulatory risk measurement processes pp. 309-330 Downloads
Bonollo Michele, Persio Luca Di and Prezioso Luca
Testing the symmetry of a dependence structure with a characteristic function pp. 331-355 Downloads
Quessy Jean-François and Bahraoui Tarik
A multivariate version of Williamson’s theorem, ℓ1-symmetric survival functions, and generalized Archimedean copulas pp. 356-368 Downloads
Ressel Paul
A sharp inequality for Kendall’s τ and Spearman’s ρ of Extreme-Value Copulas pp. 369-376 Downloads
Trutschnig Wolfgang and Mroz Thomas
Predictive analytics of insurance claims using multivariate decision trees pp. 377-407 Downloads
Quan Zhiyu and Valdez Emiliano A.

Volume 6, issue November, 2018

Strong uniform consistency rates of conditional quantile estimation in the single functional index model under random censorship pp. 197-227 Downloads
Kadiri Nadia, Rabhi Abbes and Bouchentouf Amina Angelika
Law invariant risk measures and information divergences pp. 228-258 Downloads
Lacker Daniel
Ordering risk bounds in factor models pp. 259-287 Downloads
Ansari Jonathan and Rüschendorf Ludger

Volume 6, issue October, 2018

A note on bivariate Archimax copulas pp. 178-182 Downloads
Fabrizio Durante, Sánchez Juan Fernández and Sempi Carlo
The strong Fatou property of risk measures pp. 183-196 Downloads
Chen Shengzhong, Gao Niushan and Xanthos Foivos

Volume 6, issue June, 2018

Risk bounds with additional information on functionals of the risk vector pp. 102-113 Downloads
Rüschendorf L.
Copulas, credit portfolios, and the broken heart syndrome pp. 114-130 Downloads
Giovanni Puccetti and Scherer Matthias

Volume 6, issue May, 2016

Portfolio selection based on graphs: Does it align with Markowitz-optimal portfolios? pp. 63-87 Downloads
Hüttner Amelie, Mai Jan-Frederik and Mineo Stefano
Domination of sample maxima and related extremal dependence measures pp. 88-101 Downloads
Hashorva Enkelejd

Volume 6, issue February, 2018

Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family pp. 1-18 Downloads
Cooray Kahadawala
Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas pp. 19-46 Downloads
Jin Xisong and Thorsten Lehnert
Maximum asymmetry of copulas revisited pp. 47-62 Downloads
Kamnitui Noppadon, Trutschnig Wolfgang and Fernández-Sánchez Juan

Volume 5, issue December, 2017

The Vine Philosopher: An interview with Roger Cooke pp. 256-267 Downloads
Fabrizio Durante, Giovanni Puccetti, Scherer Matthias and Vanduffel Steven
A joint regression modeling framework for analyzing bivariate binary data in R pp. 268-294 Downloads
Marra Giampiero and Radice Rosalba
A two-component copula with links to insurance pp. 295-303 Downloads
Ismail S., Reinert G., Yu G. and Maynard T.
CMPH: a multivariate phase-type aggregate loss distribution pp. 304-315 Downloads
Ren Jiandong and Zitikis Ricardas
Measuring herd behavior: properties and pitfalls pp. 316-329 Downloads
Lee Woojoo and Ahn Jae Youn
A simple non-parametric goodness-of-fit test for elliptical copulas pp. 330-353 Downloads
Jaser Miriam, Min Aleksey and Haug Stephan
Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets pp. 354-374 Downloads
Gan Guojun and Valdez Emiliano A.
Dependent defaults and losses with factor copula models pp. 375-399 Downloads
Ackerer Damien and Vatter Thibault

Volume 5, issue October, 2017

New copulas based on general partitions-of-unity and their applications to risk management (part II) pp. 246-255 Downloads
Pfeifer Dietmar, Mändle Andreas and Ragulina Olena

Volume 5, issue August, 2017

About tests of the “simplifying” assumption for conditional copulas pp. 154-197 Downloads
Derumigny Alexis and Fermanian Jean-David
Copula-Based Dependence Measures For Piecewise Monotonicity pp. 198-220 Downloads
Liebscher Eckhard
Exact distributions of order statistics from ln,p-symmetric sample distributions pp. 221-245 Downloads
Müller K. and Richter W.-D.

Volume 5, issue January, 2017

On Conditional Value at Risk (CoVaR) for tail-dependent copulas pp. 1-19 Downloads
Jaworski Piotr
Multivariate extensions of expectiles risk measures pp. 20-44 Downloads
Maume-Deschamps Véronique, Said Khalil and Didier Rulliere
Characterizations of bivariate conic, extreme value, and Archimax copulas pp. 45-58 Downloads
Saminger-Platz Susanne, Klement Erich Peter, Arias-García José De Jesús and Mesiar Radko
VaR bounds in models with partial dependence information on subgroups pp. 59-74 Downloads
Rüschendorf Ludger and Witting Julian
Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas pp. 75-87 Downloads
Górecki J., Hofert M. and Holeňa M.
My introduction to copulas: An interview with Roger Nelsen pp. 88-98 Downloads
Fabrizio Durante, Giovanni Puccetti, Scherer Matthias and Vanduffel Steven
Nonparametric estimation of simplified vine copula models: comparison of methods pp. 99-120 Downloads
Nagler Thomas, Czado Claudia and Schellhase Christian
Inference for copula modeling of discrete data: a cautionary tale and some facts pp. 121-132 Downloads
Faugeras Olivier P.
On Truncation Invariant Copulas and their Estimation pp. 133-144 Downloads
Jaworski Piotr
On capital allocation for stochastic arrangement increasing actuarial risks pp. 145-153 Downloads
Pan Xiaoqing and Li Xiaohu

Volume 4, issue December, 2016

Bounds on integrals with respect to multivariate copulas pp. 11 Downloads
Preischl Michael
VaR bounds for joint portfolios with dependence constraints pp. 14 Downloads
Giovanni Puccetti, Rüschendorf Ludger and Manko Dennis
Lévy copulae for financial returns pp. 18 Downloads
Okhrin Ostap
An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios pp. 19 Downloads
Gan Guojun and Valdez Emiliano A.
On an asymmetric extension of multivariate Archimedean copulas based on quadratic form pp. 20 Downloads
Di Bernardino Elena and Didier Rulliere
Robustness regions for measures of risk aggregation pp. 20 Downloads
Pesenti Silvana M., Pietro Millossovich and Tsanakas Andreas
Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances pp. 22 Downloads
Devolder Pierre and Lebègue Adrien

Volume 4, issue November, 2016

Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio pp. 14 Downloads
Fabrizio Durante, Giovanni Puccetti, Scherer Matthias and Steven Vanduffel
A proximity based macro stress testing framework pp. 26 Downloads
Waelchli Boris

Volume 4, issue October, 2016

Baire category results for quasi–copulas pp. 9 Downloads
Fabrizio Durante, Fernández-Sánchez Juan and Trutschnig Wolfgang
Copula–Induced Measures of Concordance pp. 10 Downloads
Fuchs Sebastian
Multivariate measures of concordance for copulas and their marginals pp. 13 Downloads
Taylor M. D.
Joint weak hazard rate order under non-symmetric copulas pp. 15 Downloads
Pellerey Franco and Spizzichino Fabio

Volume 4, issue September, 2016

Global correlation and uncertainty accounting pp. 184-189 Downloads
Roger Cooke, Saatchi Sassan and Hagen Stephen

Volume 4, issue July, 2016

New copulas based on general partitions-of-unity and their applications to risk management pp. 123-140 Downloads
Pfeifer Dietmar, Tsatedem Hervé Awoumlac, Mändle Andreas and Girschig Côme
On the control of the difference between two Brownian motions: a dynamic copula approach pp. 141-160 Downloads
Deschatre Thomas
On the control of the difference between two Brownian motions: an application to energy markets modeling pp. 161-183 Downloads
Deschatre Thomas

Volume 4, issue May, 2016

Stat Trek pp. 109-122 Downloads
Fabrizio Durante, Giovanni Puccetti, Scherer Matthias and Steven Vanduffel

Volume 4, issue March, 2016

Bregman superquantiles. Estimation methods and applications pp. 33 Downloads
Labopin-Richard T., Gamboa F., Garivier A. and Iooss B.

Volume 4, issue February, 2016

A Biconvex Form for Copulas pp. 13 Downloads
Fuchs Sebastian
Exact distributions of order statistics of dependent random variables from ln,p-symmetric sample distributions, n ∈ {3,4} pp. 29 Downloads
Müller K. and Richter W.-D.
Extreme value distributions for dependent jointly ln,p-symmetrically distributed random variables pp. 33 Downloads
Müller K. and Richter W.-D.
Page updated 2019-06-15