Eike Christian Brechmann

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
VineCopula	2025-03-24	Software
COPAR -- multivariate time series modeling using the copula autoregressive model Applied Stochastic Models in Business and Industry	2024-07-18	Paper
VineCopula	2023-07-10	Software
A multivariate volatility vine copula model Econometric Reviews	2022-02-24	Paper
Parsimonious parameterization of correlation matrices using truncated vines and factor analysis Computational Statistics and Data Analysis	2018-11-23	Paper
Selecting and estimating regular vine copulae and application to financial returns Computational Statistics and Data Analysis	2018-11-08	Paper
Sampling from hierarchical Kendall copulas	2015-07-13	Paper
Truncation of vine copulas using fit indices Journal of Multivariate Analysis	2015-06-18	Paper
Bayesian Risk Analysis Risk - A Multidisciplinary Introduction	2014-06-30	Paper
Conditional copula simulation for systemic risk stress testing Insurance Mathematics & Economics	2014-06-23	Paper
Total loss estimation using copula-based regression models Insurance Mathematics & Economics	2014-06-23	Paper
Hierarchical Kendall copulas: properties and inference The Canadian Journal of Statistics	2014-04-30	Paper
Risk management with high-dimensional vine copulas: an analysis of the Euro Stoxx 50 Statistics & Risk Modeling	2014-01-22	Paper
A mixed copula model for insurance claims and claim sizes Scandinavian Actuarial Journal	2013-12-13	Paper
Selection of vine copulas Copulae in Mathematical and Quantitative Finance	2013-09-20	Paper
Selecting and estimating regular vine copulae and application to financial returns Computational Statistics and Data Analysis	2013-03-01	Paper
Truncated regular vines in high dimensions with application to financial data The Canadian Journal of Statistics	2012-03-22	Paper

Research outcomes over time

This page was built for person: Eike Christian Brechmann