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Nonparametric estimation of simplified vine copula models: comparison of methods

Thomas Nagler · Christian Schellhase · Claudia Czado

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

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Nagler T, Schellhase C, Czado C. Nonparametric estimation of simplified vine copula models: comparison of methods. Dependence Modeling. 2017;5(1):99-120.

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1987Stochastic Simulation 2007Pair-copula constructions of multiple dependence 2014Dependence Modeling with Copulas 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 2013Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine 1998Multivariate Models and Dependence Concepts

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