Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence

By M. S. Smith, Aleksey Min, Carlos Almeida, Claudia Czado. 2010

186 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/77834ae214745e0da70a5efccc9177ec7b9fd5a2

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Citations in the corpus

Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios (2015, background): “The bivariate copulas have been proven to be very successful statistical tools for flexibly modeling the cross-sectional dependence structure between random variables (Smith et al., 2010).”
Maximum likelihood estimation of mixed C-vines with application to exchange rates (2012, methodology): “Min and Czado (2010b) use reversible jump MCMC to simplify a D-vine with specific single pair-copula family by discovering conditional independences, while Smith et al. (2010) use indicator variables for identifying conditional independence in a Bayesian set-up.”
Pair-Copula Constructions for Financial Applications: A Review (2016, background): “The work in [20], studying intraday electricity load data, was the ﬁrst to demonstrate the usefulness of serial PCCs.”
Sequential Bayesian Model Selection of Regular Vine Copulas (2015, methodology): “Smith et al. (2010) developed a model indicator-based approach to select between the independence copula and one alternative copula family at the pair copula level for D-vine copulas.”
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.”
Modeling and forecasting multivariate electricity price spikes (2016, background): “Finally, Smith and coauthors (Smith et al. 2010, Smith 2015) propose a copula regression model in which also the serial dependence of the electricity demand and spot prices are modelled by copulas.”
A review of copula models for economic time series (2012, background): “Bayesian estimation of copula models is considered in [111,123,139, 138]; see Smith [137] for a review.”
Pair Copula Constructions for Multivariate Discrete Data (2012, methodology): “When a D-vine is used to model intraday data, then truncation after the lth tree corresponds to an l-order intraday Markov structure (Smith et al. 2010).”
Pair-Copula Constructions of Multivariate Copulas (2010, methodology): “In [55] the performance of the method is tested when selection is between independence copulas and either Gauss, Clayton or Gumbel pair copulas.”
Vine Copula Specifications for Stationary Multivariate Markov Chains (2015, methodology): “…education funding reforms (Dearden et al., 2008), nursing home utilization (Sun et al., 2008), earnings mobility (Bonhomme and Robin, 2009), foreign exchange (Bouyé and Salmon, 2009), stock prices (Domma et al., 2009), electricity load (Smith et al., 2010) and gasoline prices (Beare and Seo, 2014).”
Forecasting: theory and practice (2020, methodology): “Common approaches include Bayesian hypothesis testing where copula parameters are treated as nuisance variables (Huard et al., 2006), or parsimonious modelling of covariance structures using Bayesian selection and model averaging (Pitt et al., 2006; Smith, 2010; Min and Czado, 2011).”
Copulas in Econometrics (2014, background): “Bonhomme & Robin (2009) utilize copulas to model the dynamics in a panel of earnings data, and Smith et al. (2010) similarly employ them to capture dynamics in a longitudinal analysis of electricity prices.”
Of Copulas, Quantiles, Ranks and Spectra - An L1-Approach to Spectral Analysis (2011, background): “[39] decompose the distribution at a point in time, conditional upon the past, into the product of a sequence of bivariate copula densities and the marginal density, known as D-vine (Bedford and Cooke [2]).”
Selecting and estimating regular vine copulae and application to financial returns (2012, methodology): “…et al. (2009), Hofmann and Czado (2010), Mendes et al. (2010), Salinas-Guti´errez et al. (2010), Erdorf et al. (2011), Mercier and Frison (2009), Smith et al. (2010)), C-vines are less commonly used (Heinen and Valdesogo (2009), Czado et al. (2010)); Nikoloulopoulos et al. (2012) consider both…”