Pair-copula constructions of multiple dependence
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Cites work
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
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- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bivariate extreme statistics. I
- Comparison of semiparametric and parametric methods for estimating copulas
- Completion problem with partial correlation vines
- Dependence structures for multivariate high-frequency data in finance
- Distribution-free continuous Bayesian belief nets
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Generalized autoregressive conditional heteroscedasticity
- Hierarchies of Archimedean copulas
- Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
- Modelling failure-time associations in data with multiple levels of clustering
- Multivariate survival distributions
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
- Remarks on Some Nonparametric Estimates of a Density Function
- Sampling algorithms for generating joint uniform distributions using the Vine-Copula method
- Sampling from Archimedean copulas
- Sampling nested Archimedean copulas
- Statistical Inference Procedures for Bivariate Archimedean Copulas
- The likelihood function of stationary autoregressive-moving average models
- The meta-elliptical distributions with given marginals
- The t Copula and Related Copulas
- Vines -- a new graphical model for dependent random variables.
Cited in
(only showing first 100 items - show all)- scientific article; zbMATH DE number 7670293 (Why is no real title available?)
- Efficient capital management using an internal model: a case of non-life insurance
- Estimation of high-order moment-independent importance measures for Shapley value analysis
- Dependence modeling with copulas
- Testing the regular variation model for multivariate extremes with flexible circular and spherical distributions
- Comparison of estimators for pair-copula constructions
- In mixed company: Bayesian inference for bivariate conditional copula models with discrete and continuous outcomes
- A goodness-of-fit test for regular vine copula models
- Risk aggregation in non-life insurance: standard models vs. internal models
- Derivatives and Fisher information of bivariate copulas
- An application of vine-based regression to flight landing data
- Nonparametric estimation of pair-copula constructions with the empirical pair-copula
- Quantifying the risk using copulae with nonparametric marginals
- Statistical arbitrage with vine copulas
- Space‐efficient estimation of empirical tail dependence coefficients for bivariate data streams
- Financial dependence analysis: applications of vine copulas
- Pair copula constructions for multivariate discrete data
- An algorithm for constructing high dimensional distributions from distributions of lower dimension
- About tests of the ``simplifying assumption for conditional copulas
- Estimating non-simplified vine copulas using penalized splines
- pyvine: the Python package for regular vine copula modeling, sampling and testing
- Vine copulas with asymmetric tail dependence and applications to financial return data
- Modeling Dependence in High Dimensions With Factor Copulas
- Sampling from conditional distributions of simplified vines
- Risk-Sharing and Contingent Premia in the Presence of Systematic Risk: The Case Study of the UK COVID-19 Economic Losses
- Modeling spatial tail dependence with Cauchy convolution processes
- Detecting and modeling critical dependence structures between random inputs of computer models
- Variational inference for high dimensional structured factor copulas
- Prediction based on conditional distributions of vine copulas
- Modelling mortality dependence with regime-switching copulas
- Total loss estimation using copula-based regression models
- Spatial pair-copula model of grade for an anisotropic gold deposit
- Modelling mortality dependence: an application of dynamic vine copula
- Modeling longitudinal data using a pair-copula decomposition of serial dependence
- Approximate Bayesian analysis for c-vine copula-based dependent model with multiple competing risks
- Parameter estimation for pair-copula constructions
- Bayesian ridge estimators based on a vine copula-based prior in Poisson and negative binomial regression models
- Constructing hierarchical archimedean copulas with Lévy subordinators
- Distribution modeling for reliability analysis: impact of multiple dependences and probability model selection
- Multivariate dependence analysis via tree copula models: an application to one-year forward energy contracts
- Bayesian ridge estimators based on copula-based joint prior distributions for logistic regression parameters
- Copula-based measures of asymmetry between the lower and upper tail probabilities
- Measuring market and credit risk under Solvency II: evaluation of the standard technique versus internal models for stock and bond markets
- Ordering results for elliptical distributions with applications to risk bounds
- Model distances for vine copulas in high dimensions
- Pairwise and global dependence in trivariate copula models
- How simplifying and flexible is the simplifying assumption in pair-copula constructions -- analytic answers in dimension three and a glimpse beyond
- Modeling multivariate extreme events using self-exciting point processes
- An unsupervised feature extraction and fusion framework for multi-source data based on copula theory
- Mixture of D-vine copulas for modeling dependence
- Bayesian inference for conditional copulas using Gaussian process single index models
- Worst-Case Expected Shortfall with Univariate and Bivariate Marginals
- Vine copula specifications for stationary multivariate Markov chains
- A streaming algorithm for bivariate empirical copulas
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- Pair-copula constructions for non-Gaussian DAG models
- A multivariate volatility vine copula model
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- Nonparametric estimation of simplified vine copula models: comparison of methods
- Factor copula models for item response data
- Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition
- Robust optimization of mixed CVaR STARR ratio using copulas
- Multivariate option pricing using copulae
- Robust pair-copula based forecasts of realized volatility
- (sfi)\(^2\) statistics for innovation -- the experience of the Oslo centre in industrial statistics
- COPAR -- multivariate time series modeling using the copula autoregressive model
- Single-index copulas
- Conditional normal extreme-value copulas
- Vine copula based likelihood estimation of dependence patterns in multivariate event time data
- Some comments on copula-based regression
- Estimating standard errors in regular vine copula models
- A wee exploration of techniques for risk assessments of extreme events. EVA (2023) Conference Data Challenge: Wee Extremes group
- Conditional copula simulation for systemic risk stress testing
- CD-vine model for capturing complex dependence
- Vine-copula GARCH model with dynamic conditional dependence
- Nonstationary modelling of tail dependence of two subjects' concentration
- scientific article; zbMATH DE number 7660127 (Why is no real title available?)
- Hierarchical Kendall copulas: properties and inference
- A mixed C-vine copula model for hedging price and volumetric risk in wind power trading
- A supervised deep learning method for nonparametric density estimation
- On the copula for multivariate extreme value distributions
- Detecting departures from meta-ellipticity for multivariate stationary time series
- Explaining predictive models using Shapley values and non-parametric vine copulas
- A general construction of multivariate dependence structures with nonmonotone mappings and its applications
- Understanding relationships with the aggregate zonal imbalance using copulas
- Statistical disclosure control for continuous variables using an extended skew-t copula
- Vine copula modeling dependence among cyber risks: a dangerous regulatory paradox
- Empirical evidence linking futures price movements of biofuel crops and conventional energy fuel
- Robust and efficient estimating equations for longitudinal data partial linear models and its applications
- The new family of Fisher copulas to model upper tail dependence and radial asymmetry: properties and application to high-dimensional rainfall data
- New copulas based on general partitions-of-unity and their applications to risk management. II.
- Generalized information matrix tests for copulas
- Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
- Improvements of Rackwitz–Fiessler Method for Correlated Structural Reliability Analysis
- Vine copula regression for observational studies
- Multivariate dependent interval finite element analysis via convex hull pair constructions and the extended transformation method
- Selection of sparse vine copulas in high dimensions with the Lasso
- Selection of vine copulas
- Specification of informative prior distributions for multinomial models using vine copulas
- Spatial composite likelihood inference using local C-vines
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