Model selection in sparse high-dimensional vine copula models with an application to portfolio risk

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Publication:2001097

DOI10.1016/j.jmva.2019.03.004zbMath1419.62126arXiv1801.09739OpenAlexW2962860740WikidataQ128128747 ScholiaQ128128747MaRDI QIDQ2001097

C. Bumann, Claudia Czado, Thomas Nagler

Publication date: 2 July 2019

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.09739



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