Impact Factor: 0.7

Open Access Published since October 21, 2013

Dependence Modeling

ISSN: 2300-2298

Edited by: Giovanni Puccetti

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About this journal

The journal Dependence Modeling aims at providing a medium for exchanging results and ideas in the area of multivariate dependence modeling.

It is an open access fully peer-reviewed journal providing the readers with free, instant, and permanent access to all content worldwide.

Dependence Modeling is listed by Web of Science (Emerging Sources Citation Index), Scopus, MathSciNet and Zentralblatt Math.

The journal presents different types of articles:

"Research Articles" on fundamental theoretical aspects, as well as on significant applications in science, engineering, economics, finance, insurance and other fields.

"Review Articles" which present the existing literature on the specific topic from new perspectives.

"Interview articles" limited to two papers per year, covering interviews with milestone personalities in the field of Dependence Modeling.

Aims and Scope

The journal topics include (but are not limited to):　

Copula methods

Multivariate distributions

Estimation and goodness-of-fit tests

Measures of association

Quantitative risk management

Risk measures and stochastic orders

Time series

Environmental sciences

Computational methods and software

Extreme-value theory

Limit laws

Mass Transportations

Your Benefits

Why submit

As an Author of Dependence Modeling, You benefit from

Fast, fair and constructive peer review

quick online publication of accepted papers (continuous publication model)

language correction services upon acceptance for authors from non-English speaking regions

no limitations on colour figures and word count in published articles

all articles are freely available to the academic community worldwide without any restrictions

promotion of published papers to readers and citers

distribution to open access directories (such as DOAJ) and thousands of libraries worldwide

liberal policies on copyrights (authors retain copyright) and on self-archiving (no embargo periods)

secure archiving by De Gruyter and the independent archiving service Portico

Article Processing Charges

In order to sustain the publishing process, each article accepted for publication in Dependence Modeling is subject to an Article Processing Charge of €1000. This fee is used to cover the costs of the peer-review process, professional typesetting and copyediting, as well as online hosting, long-term preservation, and extensive promotion to potential readers. There is no submission fee. Information regarding payment of the charge will be provided following acceptance for publication. For more information please go to Article Processing Charges.

Publication Ethics and Editorial Policies

Detailed information on Editorial Policy, Publication Ethics, Instructions for Authors etc. can be found in the Supplementary Materials section.

For more information on De Gruyter Publishing Ethics, please see the De Gruyter Guidelines online here.

Special Issues

Call for Papers

40th Linz Seminar on Fuzzy Set Theory - deadline extended to December 31, 2023

Special Issue on Ten Years of Dependence Modelling

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Supplementary Materials

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Volume 11 Issue 1

January 2023

Research Articles

Open Access January 11, 2023

Joint lifetime modeling with matrix distributions

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

Article number: 20220153

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Abstract

Acyclic phase-type (PH) distributions have been a popular tool in survival analysis, thanks to their natural interpretation in terms of aging toward its inevitable absorption. In this article, we consider an extension to the bivariate setting for the modeling of joint lifetimes. In contrast to previous models in the literature that were based on a separate estimation of the marginal behavior and the dependence structure through a copula, we propose a new time-inhomogeneous version of a multivariate PH (mIPH) class that leads to a model for joint lifetimes without that separation. We study properties of mIPH class members and provide an adapted estimation procedure that allows for right-censoring and covariate information. We show that initial distribution vectors in our construction can be tailored to reflect the dependence of the random variables and use multinomial regression to determine the influence of covariates on starting probabilities. Moreover, we highlight the flexibility and parsimony, in terms of needed phases, introduced by the time inhomogeneity. Numerical illustrations are given for the data set of joint lifetimes of Frees et al., where 10 phases turn out to be sufficient for a reasonable fitting performance. As a by-product, the proposed approach enables a natural causal interpretation of the association in the aging mechanism of joint lifetimes that goes beyond a statistical fit.

Open Access March 9, 2023

Consistency of mixture models with a prior on the number of components

Jeffrey W. Miller

Article number: 20220150

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Abstract

This article establishes general conditions for posterior consistency of Bayesian finite mixture models with a prior on the number of components. That is, we provide sufficient conditions under which the posterior concentrates on neighborhoods of the true parameter values when the data are generated from a finite mixture over the assumed family of component distributions. Specifically, we establish almost sure consistency for the number of components, the mixture weights, and the component parameters, up to a permutation of the component labels. The approach taken here is based on Doob’s theorem, which has the advantage of holding under extraordinarily general conditions, and the disadvantage of only guaranteeing consistency at a set of parameter values that has probability one under the prior. However, we show that in fact, for commonly used choices of prior, this yields consistency at Lebesgue-almost all parameter values, which is satisfactory for most practical purposes. We aim to formulate the results in a way that maximizes clarity, generality, and ease of use.

Open Access October 17, 2023

Mutual volatility transmission between assets and trading places

Andreas Masuhr, Mark Trede

Article number: 20220155

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Abstract

This article proposes a framework to model the mutual volatility transmission between multiple assets and multiple trading places in different time zones. The model is estimated using a dataset containing daily returns of three stock indices – the MSCI Japan, the EuroStoxx 50, and the S&P 500 – each traded at three major trading places: the stock exchanges in Tokyo, London, and New York. Strong volatility transmission effects can be observed between New York and Tokyo, whereas current volatility in New York mostly depends on past volatility in New York. For the assets in consideration, spillovers are strong across trading zones, but weak across assets, suggesting a close connection between market places but only a loose volatility link between international stock indices. Volatility impulse response functions indicate a long-lasting and comparably large response of volatility in Tokyo, whereas they suggest a quicker volatility decay in London and New York.

Open Access October 17, 2023

Functions operating on several multivariate distribution functions

Paul Ressel

Article number: 20230104

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Abstract

Functions f f on [ 0 , 1 ] m {\left[0,1]}^{m} such that every composition f ∘ ( g 1 , … , g m ) f\circ \left({g}_{1},\ldots ,{g}_{m}) with d d -dimensional distribution functions g 1 , … , g m {g}_{1},\ldots ,{g}_{m} is again a distribution function, turn out to be characterized by a very natural monotonicity condition, which for d = 2 d=2 means ultramodularity. For m = 1 m=1 (and d = 2 d=2 ), this is equivalent with increasing convexity.

Open Access October 18, 2023

An optimal transport-based characterization of convex order

Johannes Wiesel, Erica Zhang

Article number: 20230102

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Abstract

For probability measures μ , ν \mu ,\nu , and ρ \rho , define the cost functionals C ( μ , ρ ) ≔ sup π ∈ Π ( μ , ρ ) ∫ ⟨ x , y ⟩ π ( d x , d y ) and C ( ν , ρ ) ≔ sup π ∈ Π ( ν , ρ ) ∫ ⟨ x , y ⟩ π ( d x , d y ) , C\left(\mu ,\rho ):= \mathop{\sup }\limits_{\pi \in \Pi \left(\mu ,\rho )}\int \langle x,y\rangle \pi \left({\rm{d}}x,{\rm{d}}y)\hspace{1.0em}{\rm{and}}\hspace{1em}C\left(\nu ,\rho ):= \mathop{\sup }\limits_{\pi \in \Pi \left(\nu ,\rho )}\int \langle x,y\rangle \pi \left({\rm{d}}x,{\rm{d}}y), where ⟨ ⋅ , ⋅ ⟩ \langle \cdot ,\cdot \rangle denotes the scalar product and Π ( ⋅ , ⋅ ) \Pi \left(\cdot ,\cdot ) is the set of couplings. We show that two probability measures μ \mu and ν \nu on R d {{\mathbb{R}}}^{d} with finite first moments are in convex order (i.e., μ ≼ c ν \mu {\preccurlyeq }_{c}\nu ) iff C ( μ , ρ ) ≤ C ( ν , ρ ) C\left(\mu ,\rho )\le C\left(\nu ,\rho ) holds for all probability measures ρ \rho on R d {{\mathbb{R}}}^{d} with bounded support. This generalizes a result by Carlier. Our proof relies on a quantitative bound for the infimum of ∫ f d ν − ∫ f d μ \int f{\rm{d}}\nu -\int f{\rm{d}}\mu over all 1-Lipschitz functions f f , which is obtained through optimal transport (OT) duality and the characterization result of OT (couplings) by Rüschendorf, by Rachev, and by Brenier. Building on this result, we derive new proofs of well known one-dimensional characterizations of convex order. We also describe new computational methods for investigating convex order and applications to model-independent arbitrage strategies in mathematical finance.

Open Access October 20, 2023

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

Juan José Fernández-Durán, María Mercedes Gregorio-Domínguez

Article number: 20230103

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Abstract

The probability integral transform of a continuous random variable X X with distribution function F X {F}_{X} is a uniformly distributed random variable U = F X ( X ) U={F}_{X}\left(X) . We define the angular probability integral transform (APIT) as θ U = 2 π U = 2 π F X ( X ) {\theta }_{U}=2\pi U=2\pi {F}_{X}\left(X) , which corresponds to a uniformly distributed angle on the unit circle. For circular (angular) random variables, the sum modulus 2 π \pi of absolutely continuous independent circular uniform random variables is a circular uniform random variable, that is, the circular uniform distribution is closed under summation modulus 2 π \pi , and it is a stable continuous distribution on the unit circle. If we consider the sum (difference) of the APITs of two random variables, X 1 {X}_{1} and X 2 {X}_{2} , and test for the circular uniformity of their sum (difference) modulus 2 π \pi , this is equivalent to test of independence of the original variables. In this study, we used a flexible family of nonnegative trigonometric sums (NNTS) circular distributions, which include the uniform circular distribution as a member of the family, to evaluate the power of the proposed independence test by generating samples from NNTS alternative distributions that could be at a closer proximity with respect to the circular uniform null distribution.

Open Access November 10, 2023

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

Juan Fernández Sánchez, Wolfgang Trutschnig

Article number: 20230105

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Abstract

Working with shuffles, we establish a close link between Kendall’s τ \tau , the so-called length measure, and the surface area of bivariate copulas and derive some consequences. While it is well known that Spearman’s ρ \rho of a bivariate copula A A is a rescaled version of the volume of the area under the graph of A A , in this contribution we show that the other famous concordance measure, Kendall’s τ \tau , allows for a simple geometric interpretation as well – it is inextricably linked to the surface area of A A .

Review Article

Open Access February 21, 2023

Testing for explosive bubbles: a review

Anton Skrobotov

Article number: 20220152

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Abstract

This review discusses methods of testing for explosive bubbles in time series. A large number of recently developed testing methods under various assumptions about innovation of errors are covered. The review also considers the methods for dating explosive (bubble) regimes. Special attention is devoted to time-varying volatility in the errors. Moreover, the modelling of possible relationships between time series with explosive regimes is discussed.

Interview

Open Access March 14, 2023

When copulas and smoothing met: An interview with Irène Gijbels

Christian Genest, Matthias Scherer

Article number: 20220154

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Special Issue on 10 years of Dependence Modeling

Open Access August 14, 2023

On copulas with a trapezoid support

Piotr Jaworski

Article number: 20230101

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Abstract

A family of bivariate copulas given by: for v + 2 u < 2 v+2u\lt 2 , C ( u , v ) = F ( 2 F − 1 ( v ∕ 2 ) + F − 1 ( u ) ) C\left(u,v)=F\left(2{F}^{-1}\left(v/2)+{F}^{-1}\left(u)) , where F F is a strictly increasing cumulative distribution function of a symmetric, continuous random variable, and for v + 2 u ≥ 2 v+2u\ge 2 , C ( u , v ) = u + v − 1 C\left(u,v)=u+v-1 , is introduced. The basic properties and necessary conditions for absolute continuity of C C are discussed. Several examples are provided.

Open Access November 14, 2023

Characterization of pre-idempotent Copulas

Wongtawan Chamnan, Songkiat Sumetkijakan

Article number: 20230106

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Abstract

Copulas C C for which ( C t C ) 2 = C t C {({C}^{t}C)}^{2}={C}^{t}C are called pre-idempotent copulas, of which well-studied examples are idempotent copulas and complete dependence copulas. As such, we shall work mainly with the topology induced by the modified Sobolev norm, with respect to which the class ℛ {\mathcal{ {\mathcal R} }} of pre-idempotent copulas is closed and the class of factorizable copulas is a dense subset of ℛ {\mathcal{ {\mathcal R} }} . Identifying copulas with Markov operators on L 2 {L}^{2} , the one-to-one correspondence between pre-idempotent copulas and partial isometries is one of our main tools. In the same spirit as Darsow and Olsen’s work on idempotent copulas, we obtain an explicit characterization of pre-idempotent copulas, which is split into cases according to the atomicity of its associated σ \sigma -algebras, where the nonatomic case gives all factorizable copulas and the totally atomic case yields conjugates of ordinal sums of copies of the product copula.

Open Access November 29, 2023

Abel-Gontcharoff polynomials, parking trajectories and ruin probabilities

Claude Lefèvre, Philippe Picard

Article number: 20230107

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Abstract

The central mathematical tool discussed is a non-standard family of polynomials, univariate and bivariate, called Abel-Goncharoff polynomials. First, we briefly summarize the main properties of this family of polynomials obtained in the previous work. Then, we extend the remarkable links existing between these polynomials and the parking functions which are a classic object in combinatorics and computer science. Finally, we use the polynomials to determine the non-ruin probabilities over a finite horizon for a bivariate risk process, in discrete and continuous time, assuming that claim amounts are dependent via a partial Schur-constancy property.

Journal Impact Factor	0.7	2022, Journal Citation Reports (Clarivate, 2023)
5-year Journal Impact Factor	0.9	2022, Journal Citation Reports (Clarivate, 2023)
Journal Citation Indicator	0.31	2022, Journal Citation Reports (Clarivate, 2023)
CiteScore	0.9	2022, Scopus (Elsevier B.V., 2023)
SCImago Journal Rank	0.236	2022, SJR (Scimago Lab, 2023; Data Source: Scopus)
Source Normalized Impact per Paper	0.605	2022, CWTS Journal Indicators (CWTS B.V., 2023; Data Source: Scopus)
Mathematical Citation Quotient	0.22

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MANUSCRIPTS
Dependence Modeling encourages the submission of both substantial full-length bodies of work and shorter manuscripts that report novel findings. There are no specific length restrictions for the overall manuscript or individual sections; however, we urge the authors to present and discuss their findings in a concise and accessible manner.

All submissions must be made via online submission system Editorial Manager. In case of problems, please contact the Managing Editor of this journal (Ewa.Sarzynska@degruyter.com).

SUBMISSION OF MANUSCRIPTS
Manuscripts have to be written in LATEX, AMS-TEX, AMS-LATEX. We do not accept papers in Plain TEX format. For an initial submission, the authors are strongly advised to upload their entire manuscript, including tables and figures, as a single PDF file. Authors are strongly advised to submit the final version of the paper using the journal’s LaTex Template.

For detailed information, please see Instruction for Authors

EDITORIAL POLICY
Unpublished material: Submission of a manuscript implies that the work described is not copyrighted, published or submitted elsewhere, except in abstract form. The corresponding author should ensure that all authors approve the manuscript before its submission.

Ethical conduct of research: The authors must describe and confirm safeguards to meet ethical standards when applicable. See Editorial Policy for details.

Conflict of interest: When authors submit a manuscript, they are responsible for recognizing and disclosing financial and/or other conflicts of interest that might bias their work and/or could inappropriately influence his/her judgment. If no specified acknowledgement is given, the Editors assume that no conflict of interest exists. Authors are encouraged to fill in the ICMJE Conflicts of Interest Form (available here) and send it in the electronic format to the Managing Editor.

Copyright: All authors retain copyright, unless – due to their local circumstances – their work is not copyrighted. The copyrights are governed by the Creative-Commons Attribution Only license (CC-BY) which is compliant with Plan-S. The corresponding author grants the journal the license to use of the article, by signing the License To Publish. Scanned copy of license should be sent to the journal, as soon as possible.

Authorship: Authorship should be limited to those who have made a significant contribution to the conception, design, execution, or interpretation of the reported study. All those who have made significant contributions should be listed as co-authors. Where there are others who have participated in certain substantive aspects of the research project, they should be named in an Acknowledgement section. The corresponding author should ensure that all appropriate co-authors (according to the above definition) and no inappropriate co-authors are included in the author list of the manuscript, and that all co-authors have seen and approved the final version of the paper and have agreed to its submission for publication.

Peer Review process: Our standard policy requires each paper reporting primary research or secondary analysis of primary research, together with relevant supplementary materials if requested by Referees, to be reviewed by at least two Referees and the peer-review process is single-blind. The Editors reserve the right to decline the submitted manuscript without review, if the studies reported are not sufficiently novel or important to merit publication in the journal. Manuscripts deemed unsuitable (insufficient originality or of limited interest to the target audience) are returned to the author(s) without review. The Editor seeks advice from experts in the appropriate field. Research articles and communications are refereed by a minimum of two reviewers, review papers by at least three. Authors are requested to suggest persons competent to review their manuscript. However, please note that this will be treated only as a suggestion, and the final selection of reviewers is exclusively the Editor's decision. The final decision of acceptance in made by Managing Editor or, in case of conflict, by the Editor-in-Chief.

Scientific Misconduct: This journal publishes only original manuscripts that are not also published or going to be published elsewhere. Multiple submissions/publications, or redundant publications (re-packaging in different words of data already published by the same authors) will be rejected. If they are detected only after publication, the journal reserves the right to publish a Retraction Note. In each particular case Editors will follow COPE’s Core Practices and implement the advices.

Editorial

Editor-in-Chief
Giovanni Puccetti, Università degli Studi di Milano, Italy　

Associate Editors
Fabrizio Durante, Università del Salento, Italy
Matthias Scherer, Technische Universität München, Germany
Steven Vanduffel, Vrije Universiteit Brussel, Belgium

Honorary Board Members:
Roger Cooke, Resources for the Future, USA
Claudia Czado, Technische Universität München, Germany
Paul Embrechts, ETH Zürich, Switzerland
Edward (Jed) Frees, University of Wisconsin-Madison, USA & Australian National University,
Australia
Christian Genest, McGill University, Canada
Harry Joe, University of British Columbia, Canada
Roger Nelsen, Lewis & Clark College, USA
Ludger Rüschendorf, Albert-Ludwigs-Universität Freiburg, Germany
Carlo Sempi, Università del Salento, Italy

Editorial Advisory Board Members:
Beatrice Acciaio, ETH Zürich, Switzerland
Concepcion Ausin, Universidad Carlos III de Madrid, Spain
Carole Bernard, Vrije Universiteit Brussel, Belgium & Grenoble EM, France
Corina Constantinescu, University of Liverpool, UK
Elena di Bernardino, Université Côte d'Azur, France
Sebastian Engelke, Université de Genève, Switzerland
Jean-David Fermanian, ENSAE Paris, France
Juan Fernández-Sánchez, Universidad de Almería, Spain
Sebastian Fuchs, Universität Salzburg, Austria
Stéphane Girard, Inria Grenoble Rhône-Alpes, France
Ingrid Hobæk Haff, University of Oslo, Norway
Enkelejd Hashorva, Université de Lausanne, Switzerland
Taizhong Hu, University of Science and Technology of China
Lei Hua, Northern Illinois University, USA
Piotr Jaworski, Uniwersytet Warszawski, Poland
Shogo Kato, The Institute of Statistical Mathematics, Japan
Nadja Klein, Humboldt-Universität zu Berlin, Germany
Pavel Krupskiy, University of Melbourne, Australia
Dorota Kurowicka, TU Delft, Netherlands
Woojoo Lee, Seoul National University, Republic of Korea
Jan-Frederik Mai, XAIA Investment, Germany
Mélina Mailhot, Concordia University, Canada
Giampiero Marra, University College London, UK
Ostap Okhrin, Technische Universität Dresden, Germany
Artem Prokhorov, The University of Sydney Business School, Australia
Jean-Francois Quessy, Université du Québec à Trois-Rivières, Canada
Peng Shi, University of Wisconsin-Madison, USA
Wolfgang Trutschnig, Universität Salzburg, Austria
Emiliano Valdez, University of Connecticut, USA
Ruodu Wang, University of Waterloo, Canada
Johannes Wiesel, Columbia University, USA

Assistant Editor
Andrew Chernih, University of New South Wales, Australia

Publisher
DE GRUYTER Poland
Bogumiła Zuga 32A Str.
01-811 Warsaw, Poland
T: +48 22 701 50 15

Editorial Contact
Giovanni Puccetti
demo.editorial@degruyter.com

(Deutsch)

Type: Journal
Language: English
Publisher: De Gruyter Open Access
First published: October 21, 2013
Publication Frequency: 1 Issue per Year
Audience: researchers in the field of multivariate dependence modeling