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  • Dorota Kurowicka
    (Delft University of Technology, The Netherlands)

  • Harry Joe
    (University of British Columbia, Canada)


This book is a collaborative effort from three workshops held over the last three years, all involving principal contributors to the vine-copula methodology. Research and applications in vines have been growing rapidly and there is now a growing need to collate basic results, and standardize terminology and methods. Specifically, this handbook will (1) trace historical developments, standardizing notation and terminology, (2) summarize results on bivariate copulae, (3) summarize results for regular vines, and (4) give an overview of its applications. In addition, many of these results are new and not readily available in any existing journals. New research directions are also discussed.

Suggested Citation

  • Dorota Kurowicka & Harry Joe (ed.), 2010. "DEPENDENCE MODELING:Vine Copula Handbook," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7699, January.
  • Handle: RePEc:wsi:wsbook:7699

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    More about this item


    Dependence Modeling; Joint Distributions; Copulae; Vines; Graphical Models; PCC;

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • P43 - Economic Systems - - Other Economic Systems - - - Finance; Public Finance
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics


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