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On the simplified pair-copula construction -- Simply useful or too simplistic?

Citations

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Cited by:

  1. Min, Aleksey & Czado, Claudia, 2014. "SCOMDY models based on pair-copula constructions with application to exchange rates," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 523-535.
  2. Noh, Hohsuk & El Ghouch, Anouar & Bouezmarni, Taoufik, 2012. "Copula-Based Regression Estimation and Inference," LIDAM Discussion Papers ISBA 2012010, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  3. Rand Kwong Yew Low, 2018. "Vine copulas: modelling systemic risk and enhancing higher‐moment portfolio optimisation," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 423-463, November.
  4. Kim, Daeyoung & Kim, Jong-Min & Liao, Shu-Min & Jung, Yoon-Sung, 2013. "Mixture of D-vine copulas for modeling dependence," Computational Statistics & Data Analysis, Elsevier, vol. 64(C), pages 1-19.
  5. Zhu, Kailun & Kurowicka, Dorota & Nane, Gabriela F., 2021. "Simplified R-vine based forward regression," Computational Statistics & Data Analysis, Elsevier, vol. 155(C).
  6. Han, Xuyuan & Liu, Zhenya & Wang, Shixuan, 2022. "An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting," Journal of Commodity Markets, Elsevier, vol. 25(C).
  7. Dalla Valle, Luciana & De Giuli, Maria Elena & Tarantola, Claudia & Manelli, Claudio, 2016. "Default probability estimation via pair copula constructions," European Journal of Operational Research, Elsevier, vol. 249(1), pages 298-311.
  8. Smith, Michael Stanley, 2015. "Copula modelling of dependence in multivariate time series," International Journal of Forecasting, Elsevier, vol. 31(3), pages 815-833.
  9. Kangning Wang & Wen Shan, 2021. "Copula and composite quantile regression-based estimating equations for longitudinal data," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(3), pages 441-455, June.
  10. Grazian, Clara & Dalla Valle, Luciana & Liseo, Brunero, 2022. "Approximate Bayesian conditional copulas," Computational Statistics & Data Analysis, Elsevier, vol. 169(C).
  11. Holger Fink & Yulia Klimova & Claudia Czado & Jakob Stöber, 2017. "Regime Switching Vine Copula Models for Global Equity and Volatility Indices," Econometrics, MDPI, vol. 5(1), pages 1-38, January.
  12. Martin Bladt & Alexander J. McNeil, 2020. "Time series copula models using d-vines and v-transforms," Papers 2006.11088, arXiv.org, revised Jul 2021.
  13. Brendan K. Beare & Juwon Seo, 2015. "Vine Copula Specifications for Stationary Multivariate Markov Chains," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(2), pages 228-246, March.
  14. Stöber, Jakob & Czado, Claudia, 2014. "Regime switches in the dependence structure of multidimensional financial data," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 672-686.
  15. Gijbels, Irène & Omelka, Marek & Pešta, Michal & Veraverbeke, Noël, 2017. "Score tests for covariate effects in conditional copulas," Journal of Multivariate Analysis, Elsevier, vol. 159(C), pages 111-133.
  16. Hobæk Haff, Ingrid & Aas, Kjersti & Frigessi, Arnoldo & Lacal, Virginia, 2016. "Structure learning in Bayesian Networks using regular vines," Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 186-208.
  17. Barthel, Nicole & Geerdens, Candida & Killiches, Matthias & Janssen, Paul & Czado, Claudia, 2018. "Vine copula based likelihood estimation of dependence patterns in multivariate event time data," Computational Statistics & Data Analysis, Elsevier, vol. 117(C), pages 109-127.
  18. Portier, François & Segers, Johan, 2018. "On the weak convergence of the empirical conditional copula under a simplifying assumption," Journal of Multivariate Analysis, Elsevier, vol. 166(C), pages 160-181.
  19. Brechmann, Eike Christian & Schepsmeier, Ulf, 2013. "Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 52(i03).
  20. Nguyen, Hoang & Ausín, M. Concepción & Galeano, Pedro, 2020. "Variational inference for high dimensional structured factor copulas," Computational Statistics & Data Analysis, Elsevier, vol. 151(C).
  21. Brechmann, Eike C. & Hendrich, Katharina & Czado, Claudia, 2013. "Conditional copula simulation for systemic risk stress testing," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 722-732.
  22. Embrechts, Paul & Puccetti, Giovanni & Rüschendorf, Ludger, 2013. "Model uncertainty and VaR aggregation," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2750-2764.
  23. I. E. Okorie & A. C. Akpanta & J. Ohakwe & D. C. Chikezie & C. U. Onyemachi & M. C. Ugwu, 2021. "Modeling the Relationships Across Nigeria Inflation, Exchange Rate, and Stock Market Returns and Further Analysis," Annals of Data Science, Springer, vol. 8(2), pages 295-329, June.
  24. Irène Gijbels & Marek Omelka & Noël Veraverbeke, 2015. "Estimation of a Copula when a Covariate Affects only Marginal Distributions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(4), pages 1109-1126, December.
  25. Grothe, Oliver & Schnieders, Julius & Segers, Johan, 2013. "Measuring Association and Dependence Between Random Vectors," LIDAM Discussion Papers ISBA 2013026, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  26. Nagler, Thomas & Czado, Claudia, 2016. "Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas," Journal of Multivariate Analysis, Elsevier, vol. 151(C), pages 69-89.
  27. Sahamkhadam, Maziar & Stephan, Andreas & Östermark, Ralf, 2022. "Copula-based Black–Litterman portfolio optimization," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1055-1070.
  28. Kaveh Salehzadeh Nobari, 2021. "Pair copula constructions of point-optimal sign-based tests for predictive linear and nonlinear regressions," Papers 2111.04919, arXiv.org.
  29. Hoebak Haff, Ingrid & Segers, Johan, 2012. "Nonparametric estimation of pair-copula constructions with the empirical pair-copula," LIDAM Discussion Papers ISBA 2012003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  30. Weiß, Gregor N.F. & Supper, Hendrik, 2013. "Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3334-3350.
  31. Derumigny Alexis & Fermanian Jean-David, 2019. "On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior," Dependence Modeling, De Gruyter, vol. 7(1), pages 292-321, January.
  32. Martin Bladt & Alexander J. McNeil, 2021. "Time series models with infinite-order partial copula dependence," Papers 2107.00960, arXiv.org.
  33. Holger Fink & Yulia Klimova & Claudia Czado & Jakob Stober, 2016. "Regime switching vine copula models for global equity and volatility indices," Papers 1604.05598, arXiv.org.
  34. Cooke, R.M. & Kurowicka, D. & Wilson, K., 2015. "Sampling, conditionalizing, counting, merging, searching regular vines," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 4-18.
  35. Derumigny Alexis & Fermanian Jean-David, 2017. "About tests of the “simplifying” assumption for conditional copulas," Dependence Modeling, De Gruyter, vol. 5(1), pages 154-197, August.
  36. Dißmann, J. & Brechmann, E.C. & Czado, C. & Kurowicka, D., 2013. "Selecting and estimating regular vine copulae and application to financial returns," Computational Statistics & Data Analysis, Elsevier, vol. 59(C), pages 52-69.
  37. Derumigny, Alexis & Fermanian, Jean-David, 2020. "On Kendall’s regression," Journal of Multivariate Analysis, Elsevier, vol. 178(C).
  38. Brechmann, Eike C. & Joe, Harry, 2015. "Truncation of vine copulas using fit indices," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 19-33.
  39. Dima, Bogdan & Dima, Ştefana Maria, 2017. "Energy consumption synchronization between Europe, United States and Japan: A spectral analysis assessment," Renewable and Sustainable Energy Reviews, Elsevier, vol. 77(C), pages 1261-1271.
  40. Abakah, Emmanuel Joel Aikins & Addo, Emmanuel & Gil-Alana, Luis A. & Tiwari, Aviral Kumar, 2021. "Re-examination of international bond market dependence: Evidence from a pair copula approach," International Review of Financial Analysis, Elsevier, vol. 74(C).
  41. Kraus, Daniel & Czado, Claudia, 2017. "D-vine copula based quantile regression," Computational Statistics & Data Analysis, Elsevier, vol. 110(C), pages 1-18.
  42. Matthias Fischer & Daniel Kraus & Marius Pfeuffer & Claudia Czado, 2017. "Stress Testing German Industry Sectors: Results from a Vine Copula Based Quantile Regression," Risks, MDPI, vol. 5(3), pages 1-13, July.
  43. Gijbels Irène & Matterne Margot, 2021. "Study of partial and average conditional Kendall’s tau," Dependence Modeling, De Gruyter, vol. 9(1), pages 82-120, January.
  44. Steffen Grønneberg & Njål Foldnes, 2017. "Covariance Model Simulation Using Regular Vines," Psychometrika, Springer;The Psychometric Society, vol. 82(4), pages 1035-1051, December.
  45. Thijs Markwat, 2014. "The rise of global stock market crash probabilities," Quantitative Finance, Taylor & Francis Journals, vol. 14(4), pages 557-571, April.
  46. Kangning Wang & Mengjie Hao & Xiaofei Sun, 2021. "Robust and efficient estimating equations for longitudinal data partial linear models and its applications," Statistical Papers, Springer, vol. 62(5), pages 2147-2168, October.
  47. Bladt, Martin & McNeil, Alexander J., 2022. "Time series copula models using d-vines and v-transforms," Econometrics and Statistics, Elsevier, vol. 24(C), pages 27-48.
  48. BenSaïda, Ahmed, 2018. "The contagion effect in European sovereign debt markets: A regime-switching vine copula approach," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 153-165.
  49. Acar, Elif F. & Genest, Christian & Nešlehová, Johanna, 2012. "Beyond simplified pair-copula constructions," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 74-90.
  50. De Backer, Mickael & El Ghouch, Anouar & Van Keilegom, Ingrid, 2016. "Semiparametric Copula Quantile Regression for Complete or Censored Data," LIDAM Discussion Papers ISBA 2016009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  51. Hobæk Haff, Ingrid & Segers, Johan, 2015. "Nonparametric estimation of pair-copula constructions with the empirical pair-copula," Computational Statistics & Data Analysis, Elsevier, vol. 84(C), pages 1-13.
  52. Kajal Lahiri & Liu Yang, 2023. "Predicting binary outcomes based on the pair-copula construction," Empirical Economics, Springer, vol. 64(6), pages 3089-3119, June.
  53. Schepsmeier, Ulf, 2015. "Efficient information based goodness-of-fit tests for vine copula models with fixed margins: A comprehensive review," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 34-52.
  54. Stöber, Jakob & Joe, Harry & Czado, Claudia, 2013. "Simplified pair copula constructions—Limitations and extensions," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 101-118.
  55. Gonzalez-Fernandez, Yasser & Soto, Marta, 2014. "copulaedas: An R Package for Estimation of Distribution Algorithms Based on Copulas," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 58(i09).
  56. Grothe, Oliver & Schnieders, Julius & Segers, Johan, 2014. "Measuring association and dependence between random vectors," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 96-110.
  57. Hobæk Haff, Ingrid, 2012. "Comparison of estimators for pair-copula constructions," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 91-105.
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