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Optimal Truncation of Vines
3 references·5 citing·23 second hop
Optimal Truncation of Vines (2010)Optimal Truncation of VinesModels for construction of multivariate dependence – a comparison study (2008)Models for construction of mu…Pair-copula constructions of multiple dependence (2007)Pair-copula constructions of …Uncertainty Analysis with High Dimensional Dependence Modelling (2006)Uncertainty Analysis with Hig…Copula-based Black–Litterman portfolio optimization (2021)Copula-based Black–Litterman …Risk Measurement and Risk Modelling Using Applications of Vine Copulas (2017)Risk Measurement and Risk Mod…Mixture pair-copula-constructions (2015)Mixture pair-copula-construct…Financial dependence analysis: applications of vine copulas (2013)Financial dependence analysis…Selecting and estimating regular vine copulae and application to financial returns (2012)Selecting and estimating regu…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)An Introduction to Copulas (1999)On the simplified pair-copula construction — Simply useful or too simplistic? (2009)Pair-Copula Constructions of Multivariate Copulas (2010)Truncated regular vines in high dimensions with application to financial data (2012)Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Evaluating Interval Forecasts (1998)Dependence risk analysis in energy, agricultural and precious metals commodities: a pair vine copula approach (2019)Dependence structure across equity sectors: Evidence from vine copulas (2022)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)The Adjustment of Stock Prices to New Information (2003)Extreme Correlation of International Equity Markets (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Measuring and Testing the Impact of News on Volatility (1993)PORTFOLIO SELECTION* (1952)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Generating random correlation matrices based on vines and extended onion method (2009)
this work references cited by second hop

References

  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 2006Uncertainty Analysis with High Dimensional Dependence Modelling665 cited
  • 2008Models for construction of multivariate dependence – a comparison study291 cited

Cited by

  • 2021Copula-based Black–Litterman portfolio optimization43 cited
  • 2017Risk Measurement and Risk Modelling Using Applications of Vine Copulas35 cited
  • 2015Mixture pair-copula-constructions33 cited
  • 2013Financial dependence analysis: applications of vine copulas31 cited
  • 2012Selecting and estimating regular vine copulae and application to financial returns31 cited

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