Regime switches in the dependence structure of multidimensional financial data (Q1623563): Difference between revisions

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+Pair-copula constructions of multiple dependence
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+Beyond simplified pair-copula constructions
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+Efficient Bayesian inference for stochastic time-varying copula models
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+Probability density decomposition for conditionally dependent random variables modeled by vines
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+Vines -- a new graphical model for dependent random variables.
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+Truncated regular vines in high dimensions with application to financial data
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+Chapter 1 Dating Business Cycle Turning Points
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+Selection of Vine Copulas
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+Maximum likelihood estimation of mixed C-vines with application to exchange rates
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+Q4139463
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+Selecting and estimating regular vine copulae and application to financial returns
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models
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+Q5480569
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+On the simplified pair-copula construction -- simply useful or too simplistic?
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+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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+Analysis of time series subject to changes in regime
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+Comparison of estimators for pair-copula constructions
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+Parameter estimation for pair-copula constructions
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+Tail dependence functions and vine copulas
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+Q4493303
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+Generating random correlation matrices based on vines and extended onion method
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+Vine copulas with asymmetric tail dependence and applications to financial return data
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+Regime switching for dynamic correlations
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+Bayesian Measures of Model Complexity and Fit
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+Simplified pair copula constructions -- limitations and extensions
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+On the convergence properties of the EM algorithm
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