Probability density decomposition for conditionally dependent random variables modeled by vines
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Publication:2349802
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- Robust optimization of mixed CVaR STARR ratio using copulas
- Multivariate option pricing using copulae
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- COPAR -- multivariate time series modeling using the copula autoregressive model
- Generalized diagonal band copulas
- Estimating standard errors in regular vine copula models
- Conditional copula simulation for systemic risk stress testing
- CD-vine model for capturing complex dependence
- Vine-copula GARCH model with dynamic conditional dependence
- 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
- Linking representations for multivariate extremes via a limit set
- Explaining predictive models using Shapley values and non-parametric vine copulas
- Vine copula modeling dependence among cyber risks: a dangerous regulatory paradox
- Empirical evidence linking futures price movements of biofuel crops and conventional energy fuel
- Generalized information matrix tests for copulas
- Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
- 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
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- Spatial composite likelihood inference using local C-vines
- Toward a copula theory for multivariate regular variation
- Model selection for discrete regular vine copulas
- Vine copula approximation: a generic method for coping with conditional dependence
- Structured factor copula models: theory, inference and computation
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- Measuring the bullwhip effect with market competition among retailers: a simulation study
- Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
- Dependence modelling in ultra high dimensions with vine copulas and the graphical Lasso
- Truncated regular vines in high dimensions with application to financial data
- Bayesian model selection for D-vine pair-copula constructions
- Gradient-boosted generalized linear models for conditional vine copulas
- Copula-based Black-Litterman portfolio optimization
- Inference with combining rules from multiple differentially private synthetic datasets
- Modeling dependence structure among European markets and among Asian-Pacific markets: a regime switching regular vine copula approach
- Conditional quantile reproducibility of multivariate distributions and simplified pair copula construction
- Tail order and intermediate tail dependence of multivariate copulas
- Regular vines with strongly chordal pattern of (conditional) independence
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- Modeling influenza-like illness activity in the United States
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- Dependent defaults and losses with factor copula models
- Deviation measure in second‐order stochastic dominance with an application to enhanced indexing
- Robust omega ratio optimization using regular vines
- Modeling longevity risk with generalized dynamic factor models and vine-copulae
- Portfolio optimization of energy commodity futures returns with minimum information copula
- Technical and allocative inefficiency in production systems: a vine copula approach
- Efficient information based goodness-of-fit tests for vine copula models with fixed margins: a comprehensive review
- A geometric investigation into the tail dependence of vine copulas
- An empirical analysis of multivariate copula models
- Bayesian Nonparametric Modeling of Conditional Multidimensional Dependence Structures
- Generalized additive models for conditional dependence structures
- Default probability estimation via pair copula constructions
- Efficient assessment method for structural safety of long-span arch bridges using subset simulation and copula model
- Sectoral dependence and financial contagion in the BRICS grouping: an application of the r-vine copulas
- Multivariate extreme value copulas with factor and tree dependence structures
- Forecasting VaR and ES of stock index portfolio: a vine copula method
- Trivariate-ARMA–GARCH type–Vine Copula model for time series forecasting
- Structure learning in Bayesian networks using regular vines
- Comorbidity of chronic diseases in the elderly: patterns identified by a copula design for mixed responses
- A method for constructing asymmetric pair-copula and its application
- Pair-copula constructions of multiple dependence
- Selecting and estimating regular vine copulae and application to financial returns
- Generalized Additive Models for Pair-Copula Constructions
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