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Insurance Mathematics and Economics, ISSN 0167-6687, 2009, Volume 44, Issue 2, pp. 182 - 198
Journal Article
Journal of Multivariate Analysis, ISSN 0047-259X, 08/2013, Volume 119, pp. 101 - 118
So-called pair copula constructions (PCCs), specifying multivariate distributions only in terms of bivariate building blocks (pair copulas), constitute a... 
Pair copula construction | Conditional distribution | Archimedean copula | Elliptical copula | DEPENDENT RANDOM-VARIABLES | DISTRIBUTIONS | VINES | STATISTICS & PROBABILITY | MODEL | ARCHIMEDEAN COPULAS
Journal Article
Journal of Computational and Graphical Statistics, ISSN 1061-8600, 10/2016, Volume 25, Issue 4, pp. 1248 - 1271
Pair-copula Bayesian networks (PCBNs) are a novel class of multivariate statistical models, which combine the distributional flexibility of pair-copula... 
Regular vines | Copulas | Graphical models | Conditional independence test | Directed acyclic graphs | PC algorithm | TESTS | MODELS | PC-ALGORITHM | STATISTICS & PROBABILITY | CONSTRUCTIONS
Journal Article
Journal of Multivariate Analysis, ISSN 0047-259X, 09/2012, Volume 110, pp. 74 - 90
Pair-copula constructions (PCCs) offer great flexibility in modeling multivariate dependence. For inference purposes, however, conditional pair-copulas are... 
Pair-copula constructions | Local likelihood | Vines | Kendall’s tau | Ranks | Conditional copulas | Kendall's tau | SEMIPARAMETRIC ESTIMATION | STATISTICS & PROBABILITY
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 05/2015, Volume 54, pp. 175 - 191
We propose the use of convex combinations of parametric copulas as pair-copulas in high-dimensional vine copula models. By doing so, we circumvent the... 
Dependence structures | Mixture copulas | Vine copulas | Model selection | C53 | C52 | C58 | BUSINESS, FINANCE | MODELS | RISK | GARCH | ECONOMICS | EFFICIENT ESTIMATION | DEPENDENCE
Journal Article
Journal of the American Statistical Association, ISSN 0162-1459, 12/2010, Volume 105, Issue 492, pp. 1467 - 1479
Journal Article
Canadian Journal of Statistics, ISSN 0319-5724, 03/2019, Volume 47, Issue 1, pp. 8 - 26
Copulas are powerful explanatory tools for studying dependence patterns in multivariate data. While the primary use of copula models is in multivariate... 
vine copulas | prediction error | Conditional quantiles | copula regression | copula selection | REGRESSION | GOODNESS-OF-FIT | STATISTICS & PROBABILITY | INFERENCE | DEPENDENCE | PARAMETER | Bivariate analysis | Quantiles | Statistical analysis | Computer simulation | Predictions | Dependence | Mathematical models | Regression analysis | Multivariate analysis
Journal Article
Statistics and Computing, ISSN 0960-3174, 1/2017, Volume 27, Issue 1, pp. 55 - 78
Journal Article
Journal of the American Statistical Association, ISSN 0162-1459, 09/2012, Volume 107, Issue 499, pp. 1063 - 1072
Multivariate discrete response data can be found in diverse fields, including econometrics, finance, biometrics, and psychometrics. Our contribution, through... 
Inference function for margins | D-vine | Ordered probit regression | Longitudinal data | Model selection | Copula functions | Headache | Maximum likelihood estimation | Two dimensional modeling | Theory and Methods | Dental models | Inference | Data models | Modeling | Parametric models | Truncation | REGRESSION | VINES | DECOMPOSITION | STATISTICS & PROBABILITY | MODEL | Multivariate analysis | Models
Journal Article
Computational Statistics and Data Analysis, ISSN 0167-9473, 06/2017, Volume 110, pp. 1 - 18
Quantile regression, that is the prediction of conditional quantiles, has steadily gained importance in statistical modeling and financial applications. A new... 
Conditional copula quantile | Stress testing | Conditional distribution | Quantile regression | Vine copula | COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS | STATISTICS & PROBABILITY | CONSTRUCTIONS | MODEL | SELECTION | Analysis | Models | Credit default swaps | Algorithms
Journal Article
Applied Stochastic Models in Business and Industry, ISSN 1524-1904, 07/2015, Volume 31, Issue 4, pp. 495 - 514
The analysis of multivariate time series is a common problem in areas like finance and economics. The classical tools for this purpose are vector... 
vector autoregression | forecasting time series | copula autoregression | vine copula | multivariate time series | Economics | Time series | Inference | Nonlinearity | Mathematical models | Raw materials | Business | Autoregressive processes
Journal Article
Journal of Multivariate Analysis, ISSN 0047-259X, 09/2013, Volume 120, pp. 85 - 101
General conditional independence models for d observed variables, in terms of p latent variables, are presented in terms of bivariate copulas that link... 
Conditional independence | Factor analysis | Tail asymmetry | Truncated vine | Tail dependence | Pair-copula construction | Partial correlation | STATISTICS & PROBABILITY
Journal Article
Computational Statistics and Data Analysis, ISSN 0167-9473, 11/2016, Volume 103, pp. 28 - 55
The use of different copula-based models to represent the joint distribution of an eight-dimensional mixed discrete and continuous problem consisting of five... 
Vine | Mixed models | Copula | STATISTICS & PROBABILITY | COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS | CONCORDANCE MEASURES | Analysis | Detectors | Trains | Railways | Transportation networks | Railway construction | Data processing | Mathematical models | Sound | Statistics
Journal Article
Journal of Multivariate Analysis, ISSN 0047-259X, 2010, Volume 101, Issue 5, pp. 1296 - 1310
Due to their high flexibility, yet simple structure, pair-copula constructions (PCCs) are becoming increasingly popular for constructing continuous... 
Multivariate distributions | Copulae | Vines | Hierarchical structures | MULTIVARIATE | STATISTICS & PROBABILITY | MODEL | Copulae Vines Multivariate distributions Hierarchical structures
Journal Article
Journal of the American Statistical Association, ISSN 0162-1459, 01/2018, Volume 113, Issue 521, pp. 122 - 133
Journal Article
Journal of Financial Econometrics, ISSN 1479-8409, 05/2010, Volume 8, Issue 4, pp. 511 - 546
We provide a Bayesian analysis of pair-copula constructions (PCCs) (Aas et al., 2009), which outperform many other multivariate copula constructions in... 
D-vine | Financial returns | Copula | Bayesian inference | Pair-copula construction | Euro swap rates | C52 | C11 | copula | EFFICIENT ESTIMATION | DISTRIBUTIONS | CHOICE | BUSINESS, FINANCE | STATISTICAL-INFERENCE | MODEL SELECTION | MATRICES | ECONOMICS | COMPUTATION | C51 | financial returns | pair-copula construction
Journal Article
European Journal of Operational Research, ISSN 0377-2217, 02/2016, Volume 249, Issue 1, pp. 298 - 311
Journal Article
Journal of the American Statistical Association, ISSN 0162-1459, 06/2013, Volume 108, Issue 502, pp. 676 - 688
We investigate a new approach to estimating a regression function based on copulas. The main idea behind this approach is to write the regression function in... 
Profile likelihood | Dependence modeling | Semiparametric regression | Vine copula | Theory and Methods | SEMIPARAMETRIC ESTIMATION | MODELS | PACKAGE | WEAK-CONVERGENCE | STATISTICS & PROBABILITY | Models | Regression analysis
Journal Article