Bayesian model selection for D-vine pair-copula constructions
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Cites work
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Cited in
(31)- Nonparametric estimation of pair-copula constructions with the empirical pair-copula
- Modeling longitudinal data using a pair-copula decomposition of serial dependence
- Multivariate dependence analysis via tree copula models: an application to one-year forward energy contracts
- Sequential Bayesian model selection of regular vine copulas
- Multivariate dynamic copula construction based on a vine structure
- Mixture of D-vine copulas for modeling dependence
- Pair-copula constructions for non-Gaussian DAG models
- A multivariate volatility vine copula model
- Copula diagnostics for asymmetries and conditional dependence
- Selection of vine copulas
- Bayesian model selection of regular vine copulas
- Specification of informative prior distributions for multinomial models using vine copulas
- Model selection for discrete regular vine copulas
- Vine copula approximation: a generic method for coping with conditional dependence
- Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
- Truncated regular vines in high dimensions with application to financial data
- Structure learning in Bayesian networks using regular vines
- Analysis of paediatric visual acuity using Bayesian copula models with sinh-arcsinh marginal densities
- Pair-copula constructions of multiple dependence
- Selecting and estimating regular vine copulae and application to financial returns
- A nonparametric Bayesian approach to copula estimation
- Bayesian model choice of grouped t-copula
- On the quantification and efficient propagation of imprecise probabilities with copula dependence
- Extreme dependence in investor attention and stock returns -- consequences for forecasting stock returns and measuring systemic risk
- Flexible pair-copula estimation in D-vines using bivariate penalized splines
- Beyond simplified pair-copula constructions
- Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation
- SCOMDY models based on pair-copula constructions with application to exchange rates
- On the simplified pair-copula construction -- simply useful or too simplistic?
- Copula directed acyclic graphs
- A mixture of regular vines for multiple dependencies
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