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Claudia Czado · Study
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Author
Claudia Czado
48 works
· latest 2023
· 2 institutions
cluster: provisional
ORCID 0000-0002-6329-5438
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48
Citations
7,404
Works here
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Most cited in this library
Pair-copula constructions of multiple dependence
2007 · 2,055 citations
Selecting and estimating regular vine copulae and application to financial returns
2012 · 743 citations
Analyzing Dependent Data with Vine Copulas
2019 · 315 citations
Truncated regular vines in high dimensions with application to financial data
2012 · 279 citations
Pair-Copula Constructions of Multivariate Copulas
2010 · 263 citations
Works
48 shown
ESG, risk, and (tail) dependence
International Review of Financial Analysis
·
2023
·
4 authors
·
Open access
61
citations
The pitfalls of (non-definitive) Environmental, Social, and Governance scoring methodology
Global Finance Journal
·
2022
·
4 authors
·
Open access
44
citations
Vine Copula Based Modeling
Annual Review of Statistics and Its Application
·
2021
·
2 authors
·
review
·
Open access
199
citations
ESGM: ESG scores and the Missing pillar
Corporate Social Responsibility and Environmental Management
·
2021
·
4 authors
·
Open access
96
citations
Analyzing Dependent Data with Vine Copulas: A Practical Guide With R
CERN Document Server (European Organization for Nuclear Research)
·
2019
·
1 author
43
citations
Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
Journal of Multivariate Analysis
·
2019
·
3 authors
·
Open access
72
citations
Analyzing Dependent Data with Vine Copulas
Lecture notes in statistics
·
2019
·
1 author
·
book
315
citations
Examination and visualisation of the simplifying assumption for vine copulas in three dimensions
Australian & New Zealand Journal of Statistics
·
2017
·
3 authors
·
Open access
39
citations
Regime Switching Vine Copula Models for Global Equity and Volatility Indices
Econometrics
·
2017
·
4 authors
·
Open access
56
citations
Nonparametric estimation of simplified vine copula models: comparison of methods
PUB – Publications at Bielefeld University (Bielefeld University)
·
2017
·
3 authors
·
Open access
50
citations
D-vine copula based quantile regression
Computational Statistics & Data Analysis
·
2016
·
2 authors
·
Open access
183
citations
Model selection for discrete regular vine copulas
Computational Statistics & Data Analysis
·
2016
·
4 authors
39
citations
Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas
Journal of Multivariate Analysis
·
2016
·
2 authors
·
Open access
147
citations
Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models
Applied Stochastic Models in Business and Industry
·
2016
·
3 authors
45
citations
Comorbidity of chronic diseases in the elderly: Patterns identified by a copula design for mixed responses
Computational Statistics & Data Analysis
·
2015
·
4 authors
39
citations
Spatial composite likelihood inference using local C-vines
Journal of Multivariate Analysis
·
2015
·
2 authors
·
Open access
34
citations
R-Vine Models for Spatial Time Series with an Application to Daily Mean Temperature
Biometrics
·
2015
·
2 authors
·
Open access
85
citations
Sequential Bayesian Model Selection of Regular Vine Copulas
Bayesian Analysis
·
2015
·
1 author
·
Open access
59
citations
Conditional quantiles and tail dependence
Journal of Multivariate Analysis
·
2015
·
2 authors
·
Open access
74
citations
COPAR—multivariate time series modeling using the copula autoregressive model
Applied Stochastic Models in Business and Industry
·
2014
·
2 authors
82
citations
Flexible dependence modeling of operational risk losses and its impact on total capital requirements
Journal of Banking & Finance
·
2013
·
3 authors
·
Open access
58
citations
Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50
Statistics & Risk Modeling
·
2013
·
2 authors
163
citations
Conditional copula simulation for systemic risk stress testing
Insurance Mathematics and Economics
·
2013
·
3 authors
·
Open access
73
citations
Total loss estimation using copula-based regression models
Insurance Mathematics and Economics
·
2013
·
4 authors
72
citations
Selection strategies for regular vine copulae
French digital mathematics library (Numdam)
·
2013
·
2 authors
37
citations
Simplified pair copula constructions—Limitations and extensions
Journal of Multivariate Analysis
·
2013
·
3 authors
·
Open access
151
citations
Regime switches in the dependence structure of multidimensional financial data
Computational Statistics & Data Analysis
·
2013
·
2 authors
42
citations
Selection of Vine Copulas
Lecture notes in statistics
·
2013
·
3 authors
·
chapter
99
citations
Selecting and estimating regular vine copulae and application to financial returns
Computational Statistics & Data Analysis
·
2012
·
4 authors
·
Open access
743
citations
Pair Copula Constructions for Multivariate Discrete Data
Journal of the American Statistical Association
·
2012
·
3 authors
194
citations
Maximum likelihood estimation of mixed C-vines with application to exchange rates
Statistical Modelling
·
2012
·
3 authors
·
Open access
201
citations
Truncated regular vines in high dimensions with application to financial data
Canadian Journal of Statistics
·
2012
·
3 authors
279
citations
Pair‐copula constructions for non‐Gaussian DAG models
Canadian Journal of Statistics
·
2012
·
1 author
·
Open access
46
citations
Selecting and estimating regular vine copulae and application to financial returns
arXiv (Cornell University)
·
2012
·
4 authors
·
preprint
·
Open access
31
citations
Efficient Bayesian inference for stochastic time-varying copula models
Computational Statistics & Data Analysis
·
2011
·
2 authors
48
citations
Bayesian model selection for D-vine pair-copula constructions
Canadian Journal of Statistics
·
2011
·
2 authors
55
citations
A mixed copula model for insurance claims and claim sizes
Scandinavian Actuarial Journal
·
2011
·
4 authors
125
citations
Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence
Journal of the American Statistical Association
·
2010
·
4 authors
172
citations
Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructions
Journal of Financial Econometrics
·
2010
·
2 authors
201
citations
Bankruptcy prediction in Norway: a comparison study
Applied Economics Letters
·
2010
·
3 authors
·
Open access
57
citations
Pair-Copula Constructions of Multivariate Copulas
Lecture notes in statistics
·
2010
·
1 author
·
chapter
263
citations
An Exponential Continuous-Time GARCH Process
Journal of Applied Probability
·
2007
·
2 authors
·
Open access
33
citations
Spatial modelling of claim frequency and claim size in non-life insurance
Scandinavian Actuarial Journal
·
2007
·
2 authors
96
citations
Pair-copula constructions of multiple dependence
Insurance Mathematics and Economics
·
2007
·
4 authors
·
Open access
2,055
citations
Modelling count data with overdispersion and spatial effects
Statistical Papers
·
2006
·
2 authors
·
Open access
132
citations
Calculation of LTC Premiums Based on Direct Estimates of Transition Probabilities
Astin Bulletin
·
2005
·
2 authors
·
Open access
16
citations
Bayesian Poisson log-bilinear mortality projections
Insurance Mathematics and Economics
·
2005
·
3 authors
·
Open access
162
citations
Application of survival analysis methods to long-term care insurance
Insurance Mathematics and Economics
·
2002
·
1 author
·
Open access
38
citations