Dependence Modeling

0.4(top 50%)

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196(top 50%)

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654(top 50%)

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12(top 50%)

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769

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17(top 50%)

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Top Articles

#	Title	Journal	Year	Citations
1	Nonparametric estimation of simplified vine copula models: comparison of methods	Dependence Modeling	2017	29
2	Seven Proofs for the Subadditivity of Expected Shortfall	Dependence Modeling	2015	28
3	Predictive analytics of insurance claims using multivariate decision trees	Dependence Modeling	2018	26
4	Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets	Dependence Modeling	2017	23
5	An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios	Dependence Modeling	2016	22
6	Multivariate extensions of expectiles risk measures	Dependence Modeling	2017	22
7	Inference for copula modeling of discrete data: a cautionary tale and some facts	Dependence Modeling	2017	21
8	About tests of the “simplifying” assumption for conditional copulas	Dependence Modeling	2017	20
9	On Conditional Value at Risk (CoVaR) for tail-dependent copulas	Dependence Modeling	2017	18
10	On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators	Dependence Modeling	2013	17
11	VaR bounds for joint portfolios with dependence constraints	Dependence Modeling	2016	17
12	A joint regression modeling framework for analyzing bivariate binary data in R	Dependence Modeling	2017	16
13	Stochastic comparisons and bounds for conditional distributions by using copula properties	Dependence Modeling	2018	16
14	Copula modeling for discrete random vectors	Dependence Modeling	2020	16
15	Multivariate Extreme Value Theory - A Tutorial with Applications to Hydrology and Meteorology	Dependence Modeling	2014	15
16	Copulas, credit portfolios, and the broken heart syndrome	Dependence Modeling	2018	13
17	VaR bounds in models with partial dependence information on subgroups	Dependence Modeling	2017	12
18	Quantifying the impact of different copulas in a generalized CreditRisk+ framework An empirical study	Dependence Modeling	2014	12
19	New copulas based on general partitions-of-unity and their applications to risk management	Dependence Modeling	2016	10
20	The strong Fatou property of risk measures	Dependence Modeling	2018	10
21	Prediction of time series by statistical learning: general losses and fast rates	Dependence Modeling	2013	9
22	Portfolio selection based on graphs: Does it align with Markowitz-optimal portfolios?	Dependence Modeling	2018	9
23	Are law-invariant risk functions concave on distributions?	Dependence Modeling	2013	8
24	Multivariate measures of concordance for copulas and their marginals	Dependence Modeling	2016	8
25	Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas	Dependence Modeling	2017	8
26	New copulas based on general partitions-of-unity and their applications to risk management (part II)	Dependence Modeling	2017	8
27	Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations	Dependence Modeling	2018	8
28	On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior	Dependence Modeling	2019	8
29	Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence	Dependence Modeling	2013	8
30	Extreme value distributions for dependent jointly ln,p-symmetrically distributed random variables	Dependence Modeling	2016	7
31	Robustness regions for measures of risk aggregation	Dependence Modeling	2016	7
32	Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas	Dependence Modeling	2018	7
33	Forecasting time series with multivariate copulas	Dependence Modeling	2015	6
34	Exact distributions of order statistics of dependent random variables from ln,p-symmetric sample distributions, n ∈ {3,4}	Dependence Modeling	2016	6
35	A simple non-parametric goodness-of-fit test for elliptical copulas	Dependence Modeling	2017	6
36	Testing the symmetry of a dependence structure with a characteristic function	Dependence Modeling	2018	6
37	Volatility filtering in estimation of kurtosis (and variance)	Dependence Modeling	2019	6
38	New copulas based on general partitions-of-unity (part III) — the continuous case	Dependence Modeling	2019	6
39	Polynomial bivariate copulas of degree five: characterization and some particular inequalities	Dependence Modeling	2021	6
40	Nonparametric C- and D-vine-based quantile regression	Dependence Modeling	2022	6
41	Dependence of Stock Returns in Bull and Bear Markets	Dependence Modeling	2013	5
42	On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions	Dependence Modeling	2015	5
43	On capital allocation for stochastic arrangement increasing actuarial risks	Dependence Modeling	2017	5
44	Maximum asymmetry of copulas revisited	Dependence Modeling	2018	5
45	A sharp inequality for Kendall’s τ and Spearman’s ρ of Extreme-Value Copulas	Dependence Modeling	2018	5
46	Ordering risk bounds in factor models	Dependence Modeling	2018	5
47	Strong uniform consistency rates of conditional quantile estimation in the single functional index model under random censorship	Dependence Modeling	2018	5
48	Structural change in the link between oil and the European stock market: implications for risk management	Dependence Modeling	2019	5
49	Exponential inequalities for nonstationary Markov chains	Dependence Modeling	2019	5
50	Copulas, stable tail dependence functions, and multivariate monotonicity	Dependence Modeling	2019	5

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