Beyond simplified pair-copula constructions
From MaRDI portal
Publication:443776
DOI10.1016/j.jmva.2012.02.001zbMath1243.62067WikidataQ56865724 ScholiaQ56865724MaRDI QIDQ443776
Elif F. Acar, Johanna G. Nešlehová, Christian Genest
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
62F12: Asymptotic properties of parametric estimators
62H12: Estimation in multivariate analysis
62H20: Measures of association (correlation, canonical correlation, etc.)
62H05: Characterization and structure theory for multivariate probability distributions; copulas
Related Items
The shifting dependence dynamics between the G7 stock markets, Vine Copula Specifications for Stationary Multivariate Markov Chains, On a construction of multivariate distributions given some multidimensional marginals, A copula‐based risk aggregation model, Nonparametric testing for no covariate effects in conditional copulas, Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas, A flexible and tractable class of one-factor copulas, Simplified pair copula constructions -- limitations and extensions, A review of copula models for economic time series, Semiparametric estimation of conditional copulas, In mixed company: Bayesian inference for bivariate conditional copula models with discrete and continuous outcomes, On the structure and estimation of hierarchical Archimedean copulas, Derivatives and Fisher information of bivariate copulas, Partial and average copulas and association measures, Regime switches in the dependence structure of multidimensional financial data, Nonparametric estimation of pair-copula constructions with the empirical pair-copula, Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas, EM algorithm in Gaussian copula with missing data, Bayesian inference for conditional copulas using Gaussian process single index models, On multivariate asymmetric dependence using multivariate skew-normal copula-based regression, About tests of the ``simplifying assumption for conditional copulas, Model distances for vine copulas in high dimensions, Estimating non-simplified vine copulas using penalized splines, Vine copula approximation: a generic method for coping with conditional dependence, On the weak convergence of the empirical conditional copula under a simplifying assumption, The class of multivariate max-id copulas with \(\ell_{1}\)-norm symmetric exponent measure, Model selection in sparse high-dimensional vine copula models with an application to portfolio risk, Score tests for covariate effects in conditional copulas, Conditional copula simulation for systemic risk stress testing, pyvine: the Python package for regular vine copula modeling, sampling and testing, How simplifying and flexible is the simplifying assumption in pair-copula constructions -- analytic answers in dimension three and a glimpse beyond, Copula-based Black-Litterman portfolio optimization, On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior, On Kendall's regression, Study of partial and average conditional Kendall's tau, Truncation of vine copulas using fit indices, Efficient information based goodness-of-fit tests for vine copula models with fixed margins: a comprehensive review, Selection of Vine Copulas, Estimation of a Copula when a Covariate Affects only Marginal Distributions
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Pair-copula constructions of multiple dependence
- Semiparametric estimation of conditional copulas
- Comparison of estimators for pair-copula constructions
- An introduction to copulas.
- On the simplified pair-copula construction -- simply useful or too simplistic?
- Vines -- a new graphical model for dependent random variables.
- Parameter estimation for pair-copula constructions
- Dependence Calibration in Conditional Copulas: A Nonparametric Approach
- On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
- Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- Semiparametric estimation in copula models
