Selection of Vine Copulas

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Hierarchical Kendall copulas: Properties and inference (2012, background): “n (note that only the results of the best tting among the 15 considered vine copulas are shown in Figures 9 and 10). The selection of vine copulas in higher dimensions is however a major problem (see Czado et al. (2013)) and the models typically do not stay as parsimonious and as easily interpretabl”
Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios (2015, background): “3 Asymmetric correlations between financial markets in bear and bull periods have been documented by, among others, Erb et al. (1994), Ang and Bekaert (2002), and Patton (2004).”
Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50 (2013, methodology): “We therefore rely on heuristic methods to select appropriate R- and C-vine trees (see Czado et al. (2013) for an overview).”
Flexible dependence modeling of operational risk losses and its impact on total capital requirements (2014, result): “This is in line with previous studies (see Dalla Valle et al. (2008), Cope and Antonini (2008), and Giacometti et al. (2008)) and clearly diﬀerent from comonotonicity as postulated by the standard approach (see Expression (1.2)).”