Estimating standard errors in regular vine copula models
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Cites work
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- An adaptive algorithm for the approximate calculation of multiple integrals
- Computing the nearest correlation matrix--a problem from finance
- Derivatives and Fisher information of bivariate copulas
- Invariance Theorems for Fisher Information
- Maximum likelihood estimation of mixed C-vines with application to exchange rates
- Maximum likelihood estimation of models for residual covariance in spatial regression
- Modeling longitudinal data using a pair-copula decomposition of serial dependence
- Pair copula constructions for multivariate discrete data
- Pair-copula constructions of multiple dependence
- Parameter estimation for pair-copula constructions
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Regime switches in the dependence structure of multidimensional financial data
- Remarks on algorithm 006: An adaptive algorithm for numerical integration over an N-dimensional rectangular region
- Selecting and estimating regular vine copulae and application to financial returns
- Simplified pair copula constructions -- limitations and extensions
- Uncertainty Analysis with High Dimensional Dependence Modelling
- Vines -- a new graphical model for dependent random variables.
Cited in
(8)- Efficient information based goodness-of-fit tests for vine copula models with fixed margins: a comprehensive review
- Conditional copula simulation for systemic risk stress testing
- Generalized information matrix tests for copulas
- Comorbidity of chronic diseases in the elderly: patterns identified by a copula design for mixed responses
- pyvine: the Python package for regular vine copula modeling, sampling and testing
- A goodness-of-fit test for regular vine copula models
- Testing the simplifying assumption in high-dimensional vine copulas
- A Bayesian hierarchical copula model
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