Bayesian inference for multivariate copulas using pair-copula constructions.

By Aleksey Min, Claudia Czado. 2010

220 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Finance, Global and Planetary Change

View Paper: https://www.semanticscholar.org/paper/7789a0a3e782968ec6aa797ef9f2d05ded223e6c

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Citations in the corpus

Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence (2010, unknown): “Min and Czado (2010b) use vine copulas to model the dependency among foreign exchange rates using maximum likelihood.”
Modeling Dependence in High Dimensions With Factor Copulas (2015, methodology): ““Vine” copulas are constructed by sequentially applying bivariate copulas to build up a higher-dimension copula; see Aas et al. (2009), Min and Czado (2010), and Almeida, Czado, and Manner (2012), for example.”
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].”
Pair‐copula constructions for non‐Gaussian DAG models (2012, background): “Min & Czado (2010), Min & Czado (2011) demonstrate that vine-PCCmodels also lend themselves to Bayesian inference.”
Probabilistic modeling of flood characterizations with parametric and minimum information pair-copula model (2016, methodology): “…models in the different real world applications including finance, economic and insurance studies (Aas et al., 2009; Czado and Min, 2010; Min and Czado, 2010; Bauer et al., 2012; Dissmann et al., 2013; Brechmann et al., 2014), risk management (Brechmann and Czado, 2013; Brechmann et…”
Sequential Bayesian Model Selection of Regular Vine Copulas (2015, methodology): “Model selection of regular vine copulas is a difficult task, given that there exist d! 2 × 2( d−2 2 ) different d-dimensional regular vine tree structures alone (Morales-Napoles (2011)).”
Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013, methodology): “Further possible extensions are Bayesian inference and model selection techniques as used in Min and Czado (2010) and Min and Czado (2011).”
A review of copula models for economic time series (2012, background): “Multivariate ‘‘vine’’ copulas (or ‘‘pair copula constructions’’) are constructed by sequentially applying bivariate copulas to build up a higher dimension copula, see [1,89,111] for example; see Acar et al.”
Pair-Copula Constructions of Multivariate Copulas (2010, background): “These difficulties have been noted by Min and Czado (see [47]), which instead propose to follow a Bayesian approach.”
Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios (2015, background): “…to our study in terms of dependence modeling, have explored the dynamic dependence behavior between financial markets (e.g., Chollete et al., 2009; Min and Czado, 2010; Mendes et al., 2010; Czado et al., p://ssrn.com/abstract=2786209 (footnote continued) stocks will make the estimation of the…”
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.”
Maximum likelihood estimation of mixed C-vines with application to exchange rates (2012, methodology): “Unlike Aas et al. (2009), Min and Czado (2010a) or Nikoloulopoulos et al. (2011) one is not limited to simple models with only one copula family for all pair-copulas Statistical Modelling 2012; 12(3): 229–255 in a C-vine PCC.”
Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50 (2013, background): “…in finance the use of copulas is quite common nowadays (see, e.g., Cherubini et al. (2004)), literature on vine copula modeling so far mainly concentrated on illustrative applications (see Aas et al. (2009), Fischer et al. (2009), Berg and Aas (2009), Min and Czado (2010) and Czado et al. (2012)).”
Copula Methods for Forecasting Multivariate Time Series (2013, background): “Bayesian estimation of copula models is considered in Min and Czado (2010), Smith, et al. (2010a,b), see Smith (2011) for a review.”
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).”