Pair-copulas modeling in finance

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Selecting and estimating regular vine copulae and application to financial returns (2012, methodology): “Mendes et al. (2010) however suggested that there should more research on how to choose D-vines including both the choice of the order of the nodes as well as how to choose the pair-copula families.”
Selection of Vine Copulas (2013, background): “Third, the strategy proposed by [47] concentrates on tail dependence, since the algorithm will select pairs with estimated small degrees of freedom corresponding to a stronger deviation from Gaussianity with no tail dependence.”
Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50 (2013, methodology): “A first step to compensate this deficiency was taken by Mendes et al. (2010), who employ a D-vine copula (a specific sub-class of R-vine copulas) with only four different bivariate copula families for a six-dimensional data set and discuss its use for portfolio management.”