Bayesian model selection for D‐vine pair‐copula constructions

By Aleksey Min, Claudia Czado. 2011

52 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/1cc7566151a940e4412170fcb00edd6a3d885b90

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Citations in the corpus

Pair‐copula constructions for non‐Gaussian DAG models (2012, methodology): “One may also investigate whether the Bayesian methodology of model selection suggested for vine-PCC models by Min & Czado (2011) and Smith et al. (2010) may be applied to non-Gaussian DAG-PCC models.”
Selection of Vine Copulas (2013, background): “Bayesian techniques to select the pair copula families of D-vine copulas are covered in [50], [51] and [60].”
Forecasting: theory and practice (2020, methodology): “, 2006), or parsimonious modelling of covariance structures using Bayesian selection and model averaging (Pitt et al., 2006; Smith, 2010; Min and Czado, 2011).”
Selecting and estimating regular vine copulae and application to financial returns (2012, methodology): “For more information on how to exploit the structure of C-and D-vines see Berg and Aas (2009), Min and Czado (2010, 2011) and Czado et al. (2010).”
Pair-Copula Constructions for Financial Applications: A Review (2016, unknown): “In [24,36,37], Bayesian techniques to select the pair-copula families for D-vines are covered, while [18,38–40] discuss vines with non-parametric pair-copulae.”
Sequential Bayesian Model Selection of Regular Vine Copulas (2015, background): “The entries of Table 1 follow Morales-Napoles (2011)’s calculation of the number of vines and use the sum of the number of spanning trees with k nodes,∑d k=2 k k−2, as an upper bound of the size of the sequential search space.”
Maximum likelihood estimation of mixed C-vines with application to exchange rates (2012, methodology): “Detailed results of this small sample performance study can be found in Appendix C of Schepsmeier (2010). First we restrict to a fourdimensional C-vine copula set.”
Truncated regular vines in high dimensions with application to financial data (2012, methodology): “…context by Aas et al. (2009), the PCC has been used in various applications, see, for example, Schirmacher & Schirmacher (2008), Chollete, Heinen, & Valdesogo (2009), Heinen & Valdesogo (2009), Berg & Aas (2009), Min & Czado (2010, 2011), Czado, Schepsmeier, & Min (2011), and Smith et al. (2010).”