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Pair-Copula Constructions of Multivariate Copulas · Study

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ChapterPair-Copula Constructions of Multivariate Copulas

Claudia Czado2010

Chapter2010

Pair-Copula Constructions of Multivariate Copulas

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

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Financial Risk and Volatility Modeling Statistical Distribution Estimation and Applications Bayesian Modeling and Causal Inference

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References

1974Spatial Interaction and the Statistical Analysis of Lattice Systems 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2007Pair-copula constructions of multiple dependence 2007Goodness-of-fit tests for copulas: A review and a power study 1993Statistical Inference Procedures for Bivariate Archimedean Copulas 2009Generating random correlation matrices based on vines and extended onion method 2003Modelling Dependence with Copulas and Applications to Risk Management 1990ARCH models as diffusion approximations

Cited by

2012Maximum likelihood estimation of mixed C-vines with application to exchange rates 2012Pair Copula Constructions for Multivariate Discrete Data 2016D-vine copula based quantile regression 2010Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence 2016Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas 2018

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Details

Year2010

Typechapter

Published2010-01-01

VenueLecture notes in statistics

ISSN-L0930-0325

Languageen

Citations263

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/978-3-642-12465-5_4

openalex_workW2228307171

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Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets

2018A general framework for data-driven uncertainty quantification under complex input dependencies using vine copulas

2012Estimation of Copula Models With Discrete Margins via Bayesian Data Augmentation