Pair‐copula constructions for non‐Gaussian DAG models

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Probabilistic modeling of flood characterizations with parametric and minimum information pair-copula model (2016, unknown): “There is a growing literature of using the pair-copula 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 (B”
The shifting dependence dynamics between the G7 stock markets (2018, unknown): “†In a related study, Bauer et al. (2012) propose a combination of pair copulas and directed acyclic graph (DAG-PCC) to model both the conditional dependence and directed interactions between variables.”
Selection of Vine Copulas (2013, methodology): “The approach of [35] can be compared to ones which are based on kernel methods as proposed in [7] and [55].”