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Estimating non-simplified vine copulas using penalized splines · Study

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ArticleEstimating non-simplified vine copulas using penalized splines

Unknown author2017

OA

Articlegreen2017

Estimating non-simplified vine copulas using penalized splines

Unknown author

25 citations·0/0 files stored·Statistics and Computing

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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 2012Selecting and estimating regular vine copulae and application to financial returns 2008Models for construction of multivariate dependence – a comparison study 2012Truncated regular vines in high dimensions with application to financial data 2009On the simplified pair-copula construction — Simply useful or too simplistic?2009An empirical analysis of multivariate copula models 2013Simplified pair copula constructions—Limitations and extensions 2016Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas

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2022Testing the simplifying assumption in high-dimensional vine copulas

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2017About tests of the “simplifying” assumption for conditional copulasarticle · 10 shared references 2016Pair-Copula Constructions for Financial Applications: A Reviewarticle · 9 shared references 2013Selection of Vine Copulaschapter · 8 shared references 2018Generalized Additive Models for Pair-Copula Constructionsarticle · 8 shared references 2016Modeling high‐dimensional time‐varying dependence using dynamic D‐vine modelsarticle · 7 shared references 2021How simplifying and flexible is the simplifying assumption in pair-copula constructions – analytic answers in dimension three and a glimpse beyondarticle · 7 shared references

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Year2017

Typearticle

Published2017-02-27

VenueStatistics and Computing

ISSN-L0960-3174

Languageen

Citations25

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s11222-017-9737-7

openalex_workW2288550286

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