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Selection of Vine Copulas

16 references·16 citing·27 second hopsampled

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References

2007Pair-copula constructions of multiple dependence2,055 cited
1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions1,227 cited
1996Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters777 cited
2012Selecting and estimating regular vine copulae and application to financial returns743 cited
2006Uncertainty Analysis with High Dimensional Dependence Modelling665 cited
2004Asymptotic efficiency of the two-stage estimation method for copula-based models602 cited
2013Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine499 cited
2010Modeling Multivariate Distributions with Continuous Margins Using the copula R Package395 cited
2010Dependence Modeling: Vine Copula Handbook325 cited
2009Modeling International Financial Returns with a Multivariate Regime-switching Copula293 cited
2008Models for construction of multivariate dependence – a comparison study291 cited
2012Truncated regular vines in high dimensions with application to financial data279 cited
2010Pair-Copula Constructions of Multivariate Copulas263 cited
2009On the simplified pair-copula construction — Simply useful or too simplistic?224 cited

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2010Vine copulas with asymmetric tail dependence and applications to financial return data214 cited

2010Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructions201 cited

Cited by

2015Are Sharia stocks, gold and U.S. Treasury hedges and/or safe havens for the oil-based GCC markets?115 cited
2015R-Vine Models for Spatial Time Series with an Application to Daily Mean Temperature85 cited
2014COPAR—multivariate time series modeling using the copula autoregressive model82 cited
2016Pair-Copula Constructions for Financial Applications: A Review82 cited
2013Conditional copula simulation for systemic risk stress testing73 cited
2020Vine copula selection using mutual information for hydrological dependence modeling61 cited
2015Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios61 cited
2014Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach61 cited
2013Flexible dependence modeling of operational risk losses and its impact on total capital requirements58 cited
2014Hierarchical Kendall copulas: Properties and inference50 cited
2014Are oil and gas stocks from the Australian market riskier than coal and uranium stocks? Dependence risk analysis and portfolio optimization46 cited
2016Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models45 cited
2015Truncation of vine copulas using fit indices43 cited
2013Regime switches in the dependence structure of multidimensional financial data42 cited
2018Statistical arbitrage with vine copulas40 cited
2015Comorbidity of chronic diseases in the elderly: Patterns identified by a copula design for mixed responses39 cited