Beyond simplified pair-copula constructions
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Publication:443776
DOI10.1016/J.JMVA.2012.02.001zbMATH Open1243.62067OpenAlexW2080936878WikidataQ56865724 ScholiaQ56865724MaRDI QIDQ443776FDOQ443776
Authors: Elif F. Acar, Christian Genest, Johanna Nešlehová 
Publication date: 13 August 2012
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2012.02.001
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- Comparison of estimators for pair-copula constructions
- On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
Cited In (57)
- Modeling Dependence in High Dimensions With Factor Copulas
- COPAR -- multivariate time series modeling using the copula autoregressive model
- When copulas and smoothing met: an interview with Irène Gijbels
- Median and quantile conditional copulas
- Additive models for conditional copulas
- Pair copula constructions for multivariate discrete data
- Comparison of estimators for pair-copula constructions
- In mixed company: Bayesian inference for bivariate conditional copula models with discrete and continuous outcomes
- Semiparametric estimation of conditional copulas
- Nonparametric estimation of pair-copula constructions with the empirical pair-copula
- Derivatives and Fisher information of bivariate copulas
- 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
- Estimation of a copula when a covariate affects only marginal distributions
- Parameter estimation for pair-copula constructions
- Score tests for covariate effects in conditional copulas
- Model distances for vine copulas in high dimensions
- How simplifying and flexible is the simplifying assumption in pair-copula constructions -- analytic answers in dimension three and a glimpse beyond
- Vine copula specifications for stationary multivariate Markov chains
- A multivariate volatility vine copula model
- Pair-copula constructions for non-Gaussian DAG models
- Bayesian inference for conditional copulas using Gaussian process single index models
- Copula diagnostics for asymmetries and conditional dependence
- Conditional copula simulation for systemic risk stress testing
- Study of partial and average conditional Kendall's tau
- On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior
- Selection of vine copulas
- On a construction of multivariate distributions given some multidimensional marginals
- A copula-based risk aggregation model
- 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
- Copula-based Black-Litterman portfolio optimization
- Regular vines with strongly chordal pattern of (conditional) independence
- Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
- Efficient information based goodness-of-fit tests for vine copula models with fixed margins: a comprehensive review
- EM algorithm in Gaussian copula with missing data
- The class of multivariate max-id copulas with \(\ell_{1}\)-norm symmetric exponent measure
- Generalized Additive Models for Pair-Copula Constructions
- Pair-copula constructions of multiple dependence
- Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas
- A flexible and tractable class of one-factor copulas
- Approximate Bayesian conditional copulas
- Regime switches in the dependence structure of multidimensional financial data
- The shifting dependence dynamics between the G7 stock markets
- Truncation of vine copulas using fit indices
- On Kendall's regression
- Nonparametric testing for no covariate effects in conditional copulas
- On multivariate asymmetric dependence using multivariate skew-normal copula-based regression
- Simplified pair copula constructions -- limitations and extensions
- A review of copula models for economic time series
- On the weak convergence of the empirical conditional copula under a simplifying assumption
- Partial and average copulas and association measures
- On the simplified pair-copula construction -- simply useful or too simplistic?
- Construction of leading economic index for recession prediction using vine copulas
- On the structure and estimation of hierarchical Archimedean copulas
- Copula Regression for Compound Distributions with Endogenous Covariates with Applications in Insurance Deductible Pricing
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