Concepedia

Dependence Modeling

Dependence Modeling is a statistical framework within financial econometrics that specifies the structure and strength of stochastic relationships among financial assets, distinguishing itself from marginal modeling by focusing exclusively on the joint behavior and tail dependencies captured through copula functions and related multivariate techniques.

5K

Publications

447.1K

Citations

7.3K

Authors

2.4K

Institutions

Publications per year

2017–2026

1.3K

Parents

Children

Publications

5K

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text

, , +11

Statistical analysis of cointegration vectors

Søren Johansen · Journal of Economic Dynamics and Control · 1988 · 16.8K citations

, , +13

A simple panel unit root test in the presence of cross‐section dependence

M. Hashem Pesaran · Journal of Applied Econometrics · 2007 · 12K citations · Full text

, , +16

Dynamic Conditional Correlation

Robert F. Engle · Journal of Business and Economic Statistics · 2002 · 7.1K citations

, , +16

Regression Diagnostics -- Identifying Influential Data and Sources of Collinearity

Chris Beaumont, D. A. Belsley, E. Kuh et al. · Journal of the Operational Research Society · 1981 · 6.5K citations

, , +13

1–5 of 5K

Authors

7.3K

  1. CG
    Christian Genest

    Université Laval, Canada

    41 publications · 8.4K citations

    31

    h-index

  2. CC
    Claudia Czado

    Technical University of Munich, Germany

    50 publications · 5.7K citations

    29

    h-index

  3. MH
    M. Hashem Pesaran

    University of Southern California, United States

    33 publications · 27.1K citations

    27

    h-index

  4. HJ
    Harry Joe

    University of British Columbia, Canada

    36 publications · 7.2K citations

    26

    h-index

  5. AK
    Aviral Kumar Tiwari

    Rajagiri Hospital, India

    27 publications · 1.7K citations

    25

    h-index

1–5 of 7.3K

Institutions

2.4K

  1. Technical University of Munich

    Munich, Germany

    35 h-index

    136 publications

    10.8K citations

  2. University of Chicago

    Chicago, United States

    34 h-index

    62 publications

    12.7K citations

  3. Université Laval

    Québec, Canada

    34 h-index

    105 publications

    15.5K citations

  4. ETH Zurich

    Zurich, Switzerland

    30 h-index

    74 publications

    7.1K citations

  5. University of British Columbia

    Vancouver, Canada

    29 h-index

    67 publications

    8.6K citations

  6. UCLouvain

    Louvain-la-Neuve, Belgium

    29 h-index

    66 publications

    3.2K citations

  7. University of Southern California

    Los Angeles, United States

    28 h-index

    48 publications

    11.6K citations

  8. Montpellier Business School

    Montpellier, France

    28 h-index

    47 publications

    4.2K citations

1–8 of 2.4K

Venues

  1. Journal of the American Statistical Association

    111 publications · 18.1K citations

    58

    h-index

  2. Journal of Econometrics

    110 publications · 45.5K citations

    54

    h-index

  3. SSRN Electronic Journal

    Repository · 264 publications · 13.4K citations

    54

    h-index

  4. Journal of Multivariate Analysis

    140 publications · 8.1K citations

    50

    h-index

  5. Insurance Mathematics and Economics

    109 publications · 7.2K citations

    40

    h-index

1–5