Truncated and simplified regular vines and their applications

By Eike C. Brechmann. 2010

69 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/07c52602869e9991bf4cb6f698ae3c439e89b031

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Citations in the corpus

Uncertainty and Crude Oil Returns (2016, methodology): “We use the AIC and BIC information criteria corrected for the numbers of parameters used in the models to select the best copula model (Manner, 2007 and Brechmann, 2010).”
Pair‐copula constructions for non‐Gaussian DAG models (2012, result): “This is in line with results of a simulation study conducted by Brechmann (2010) who concluded that AIC is a reliable selection criterion for bivariate copula families.”
Copula-Based Models of Systemic Risk in U.S. Agriculture: Implications for Crop Insurance and Reinsurance Contracts (2015, unknown): “Brechmann (2010) describes a solution to the “traveling”
Selecting and estimating regular vine copulae and application to financial returns (2012, methodology): “See Brechmann et al. (2012) for details. This allows us to extend the implementation to higher dimensions, which are especially needed for the risk assessment of larger financial portfolios. To summarize, our contributions: We develop novel algorithms for evaluating an R-vine density and simulating ”
Truncated regular vines in high dimensions with application to financial data (2012, methodology): “Based on this, and also on a more thorough study of sRV(2) in Brechmann (2010, Section 11.2.2) we conclude that all important (asymmetric) tail dependencies seem to be captured in the first two trees. Hence, simplification at level 2 seems appropriate. The d-dimensional t copula with one common degr”
Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50 (2013, methodology): “This dimensionality is beyond vine copula applications that can be found in the literature so far (see Brechmann et al. (2012) and Dißmann et al.”
Selection strategies for regular vine copulae (2013, methodology): “In the next step the copula families and their parameters for all pair copulae in the top tree are selected using the smallest AIC as suggested by [Brechmann, 2010, Brechmann et al., 2012].”