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Modeling Dependence with C- and D-Vine Copulas: TheRPackageCDVine

JOURNAL ARTICLE published 2013 in Journal of Statistical Software

Authors: Eike Christian Brechmann | Ulf Schepsmeier

Derivatives and Fisher information of bivariate copulas

JOURNAL ARTICLE published May 2014 in Statistical Papers

Authors: Ulf Schepsmeier | Jakob Stöber

Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50

JOURNAL ARTICLE published 1 December 2013 in Statistics & Risk Modeling

Authors: Eike Christain Brechmann | Claudia Czado

Truncation of vine copulas using fit indices

JOURNAL ARTICLE published June 2015 in Journal of Multivariate Analysis

Research funded by DFG (INST 95/919-1 FUGG) | NSERC Canada Discovery Grant (8698)

Authors: Eike C. Brechmann | Harry Joe

Application of copulas to multivariate control charts

JOURNAL ARTICLE published December 2013 in Journal of Statistical Planning and Inference

Authors: Ghislain Verdier

Selection of Vine Copulas

BOOK CHAPTER published 2013 in Copulae in Mathematical and Quantitative Finance

Authors: Claudia Czado | Eike Christian Brechmann | Lutz Gruber

Hierarchical Kendall copulas: Properties and inference

JOURNAL ARTICLE published March 2014 in Canadian Journal of Statistics

Authors: Eike Christian Brechmann

Some results on shuffles of two-dimensional copulas

JOURNAL ARTICLE published February 2013 in Journal of Statistical Planning and Inference

Authors: Wolfgang Trutschnig | Juan Fernández Sánchez

Lower semiquadratic copulas with a given diagonal section

JOURNAL ARTICLE published August 2013 in Journal of Statistical Planning and Inference

Authors: T. Jwaid | H. De Meyer | B. De Baets

Estimating standard errors in regular vine copula models

JOURNAL ARTICLE published December 2013 in Computational Statistics

Authors: Jakob Stöber | Ulf Schepsmeier

On multivariate Gaussian copulas

JOURNAL ARTICLE published November 2009 in Journal of Statistical Planning and Inference

Authors: Ivan Žežula

Inference on Archimedean copulas using mixtures of Pólya trees

JOURNAL ARTICLE published November 2015 in Journal of Statistical Planning and Inference

Authors: Simon Guillotte | Julien Perron

STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY

JOURNAL ARTICLE published May 2013 in ASTIN Bulletin

Authors: Paul Embrechts | Marius Hofert

Generalized information matrix tests for copulas

JOURNAL ARTICLE published 21 October 2019 in Econometric Reviews

Research funded by DFG (95/919-1 FUGG) | Russian Science Foundation (16-18-,2)

Authors: Artem Prokhorov | Ulf Schepsmeier | Yajing Zhu

Non-atomic bivariate copulas and implicitly dependent random variables

JOURNAL ARTICLE published July 2017 in Journal of Statistical Planning and Inference

Research funded by Commission on Higher Education and the Thailand Research Fund (RSA5680037)

Authors: Songkiat Sumetkijakan

Nonparametric estimation of multivariate extreme-value copulas

JOURNAL ARTICLE published December 2012 in Journal of Statistical Planning and Inference

Authors: Gordon Gudendorf | Johan Segers

Flexible binomial AR(1) processes using copulas

JOURNAL ARTICLE published July 2022 in Journal of Statistical Planning and Inference

Research funded by National Natural Science Foundation of China (11731015,11871028,11901053,12001229)

Authors: Rui Zhang | Dehui Wang | Cong Li

Copulas, degenerate distributions and quantile tests in competing risk problems

JOURNAL ARTICLE published May 2006 in Journal of Statistical Planning and Inference

Authors: Tim Bedford

Idempotent and multivariate copulas with fractal support

JOURNAL ARTICLE published December 2012 in Journal of Statistical Planning and Inference

Authors: Wolfgang Trutschnig | Juan Fernández Sánchez

Vine Copulas for Imputation of Monotone Non‐response

JOURNAL ARTICLE published December 2018 in International Statistical Review

Authors: Caren Hasler | Radu V. Craiu | Louis‐Paul Rivest