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Selection of Vine Copulas · Study

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ChapterSelection of Vine Copulas

Claudia Czado2013

Chapter2013

Selection of Vine Copulas

Claudia Czado · Eike Christian Brechmann · Lutz F. Gruber

99 citations·0/0 files stored·Lecture notes in statistics

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Financial Risk and Volatility Modeling Statistical Distribution Estimation and Applications Statistical Methods and Inference

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References

2007Pair-copula constructions of multiple dependence 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions 1996Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters 2012Selecting and estimating regular vine copulae and application to financial returns 2006Uncertainty Analysis with High Dimensional Dependence Modelling 2004Asymptotic efficiency of the two-stage estimation method for copula-based models 2013Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine 2010Modeling Multivariate Distributions with Continuous Margins Using the copula R Package

Cited by

2015Are Sharia stocks, gold and U.S. Treasury hedges and/or safe havens for the oil-based GCC markets?2015R-Vine Models for Spatial Time Series with an Application to Daily Mean Temperature 2016Pair-Copula Constructions for Financial Applications: A Review 2014COPAR—multivariate time series modeling using the copula autoregressive model 2013Conditional copula simulation for systemic risk stress testing

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2016Pair-Copula Constructions for Financial Applications: A Reviewarticle · 18 shared references 2013Selection strategies for regular vine copulaearticle · 18 shared references 2016Modeling high‐dimensional time‐varying dependence using dynamic D‐vine modelsarticle · 17 shared references 2016Extreme risk modeling: An EVT–pair-copulas approach for financial stress testsarticle · 14 shared references 2012Pair‐copula constructions for non‐Gaussian DAG modelsarticle · 13 shared references 2013Regime switches in the dependence structure of multidimensional financial dataarticle · 13 shared references

Details

Year2013

Typechapter

Published2013-01-01

VenueLecture notes in statistics

ISSN-L0930-0325

Languageen

Citations99

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/978-3-642-35407-6_2

openalex_workW156493003

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2014Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach

2015Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios

2020Vine copula selection using mutual information for hydrological dependence modeling