Dependence Modeling: Vine Copula Handbook

By Dorota Kurowicka, Harry Joe. 2010

356 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Computer Networks and Communications

View Paper: https://www.semanticscholar.org/paper/e50d0cf8fd727167154b2c22ea1585b62a1e4b47

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Citations in the corpus

Goodness-of-Fit Tests for Copulas of Multivariate Time Series (2017, unknown): “[31], Kurowicka and Joe [32], and references therein.”
Selection of Vine Copulas (2013, background): “The first comprehensive account of vine copulas is found in [44], a recent survey in [20], and the current developments of this active research area in [45] .”
Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013, methodology): “To classify them Bedford and Cooke (2001, 2002) introduced the graphical model called vine , which is also treated in detail in Kurowicka and Cooke (2006) and Kurowicka and Joe (2011).”
Copulas in Machine Learning (2013, background): “Vines [3, 1, 25] < 10 conditional any bivariate well understood in practice dependence general purpose framework”
Copula-Based Regression Estimation and Inference (2013, background): “For more about this decomposition, see the recent book by Kurowicka and Joe (2010).”
ECOD: Unsupervised Outlier Detection Using Empirical Cumulative Distribution Functions (2022, unknown): “For instance, we can learn vine copulas [63] or probabilistic graphical models [64] to identify blocks of features that are highly-correlated, and only for these blocks (rather than across the entire dataset), we could compute a joint ECDF.”
Probabilistic modeling of flood characterizations with parametric and minimum information pair-copula model (2016, methodology): “…have reported considerable improvement in modeling multivariate data which exhibit complex patterns of dependence in the tails using PCC model than the standard multivariate copula (particularly, multivariate t-copula), including Aas et al. (2009), Bauer et al. (2012), and Kurowicka and Joe (2011).”
From Dependence to Causation (2016, methodology): “There exists d! 2 2 ( 2 ) different vine structures to model a d−dimensional copula function (Kurowicka, 2011).”
Pair‐copula constructions for non‐Gaussian DAG models (2012, background): “A more detailed exposition of D-vines can be found in Kurowicka & Cooke (2006, Section 4.4) and Kurowicka & Joe (2011).”
Model selection of copulas: AIC versus a cross validation copula information criterion (2014, background): “3 Grønneberg explains in his contribution to Kurowicka and Joe (2010), that the theoretic bias-correcting term can attain an infinite expectation when these two selection methods are used on copula models with some tail-dependence.”
AI in Finance: Challenges, Techniques, and Opportunities (2021, methodology): “Typical methods include linear and nonlinear equations, least squares methods, interpolation, optimization, binomial and trinomial methods, finite difference methods, diffusion models, dependence modeling, financial simulation, Monte Carlo simulation, random number generators, and econometric models”
Flexible dependence modeling of operational risk losses and its impact on total capital requirements (2014, background): “3 Individual Student’s t copula Recently, Luo and Shevchenko [2010] defined the Student’s t copula with multiple degrees of freedom or individual Student’s t copula as follows.”
Sequential Bayesian Model Selection of Regular Vine Copulas (2015, methodology): “This property makes copulas a very convenient tool to be used by statistical modelers (Nelsen (2006); McNeil et al. (2005); Kurowicka and Cooke (2006); Kurowicka and Joe (2010)).”
Canonical vine copulas in the context of modern portfolio management: Are they worth it? (2013, background): “, Longin and Solnik (1995); Ang and Chen (2002); Patton (2004)) that describe these conditional correlations as "exceedance correlations".”
Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50 (2013, methodology): “They were introduced by Joe (1996) and Bedford and Cooke (2001, 2002) and described in more detail in Kurowicka and Cooke (2006) and Kurowicka and Joe (2011).”