Research interests

  • Modeling of dependencies
  • Vine copulas and distributions
  • Bayesian Inference and model selection using Markov Chain Monte Carlo methods
  • Generalized linear models with time and space components
  • Overdispersion models
  • Non Gaussian belief networks
  • Risk management in insurance, finance and medicine

Link to Vine Copula Hompage

Books

Czado, C. and Schmidt, T. (2011)
Mathematische Statistik
Springer-Verlag, Berlin
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Link to publisher
Link to eBook

Further publications

2016

  • Barthel, N., Geerdens, C., Killiches, M., Janssen, P., and Czado, C.: Vine copula based inference of multivariate event time data. Preprint, 2016 more…
  • Müller, D., and Czado C.: Representing sparse Gaussian DAGs as sparse R-vines allowing for non-Gaussian Dependence. Preprint, 2016 more…
  • Nagler, T., and Czado, C.: Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas. Journal of Multivariate Analysis 151 (C), 2016, 69-89 more…

2015

  • Baumgartner, C., Gruber, L., and Czado, C.: Bayesian total loss estimation using shared random effects. Insurance: Mathematics and Economics (62), 2015, 194-201 more…
  • Bernard, C., and Czado, C.: Conditional quantiles and tail dependence. Journal of Multivariate Analysis 138, 2015, 104-126 more…
  • Brechmann, E.C., and Czado, C.: COPAR - Multivariate time series modeling using the COPula AutoRegressive model. Applied Stochastic Models in Business and Industry 31 (4), 2015, 495-514 more…
  • Erhardt, T. M., and Czado, C.: Standardized drought indices: A novel uni- and multivariate approach. Preprint, 2015 more…
  • Erhardt, T.M., Czado, C. and Schepsmeier, U.: Spatial composite likelihood inference using local C-vines. Journal of Multivariate Analysis 138, 2015, 74-88 more…
  • Erhardt, T.M., Czado, C., and Schepsmeier, U.: R-vine models for spatial time series with an application to daily mean temperature. Biometrics 71 (2), 2015, 323-332 more…
  • Gruber, L., and Czado C.: Sequential Bayesian model selection of regular vine copulas. Bayesian Analysis 10 (4), 2015, 937-963 more…
  • Stöber, J., Hong, H.G., Czado, C., and Ghosh, P.: Comorbidity of chronic diseases in the elderly: Patterns identified by a copula design for mixed responses. Computational Statistics and Data Analysis 88, 2015, 28-39 more…

2014

  • Brechmann, E.C., Czado, C., and Paterlini, S.: Flexible dependence modeling of operational risk losses and its impact on total capital requirements. Journal of Banking and Finance 40 (C), 2014, 271-285 more…
  • Czado, C., Schabenberger, H., and Erhardt, V.: Nonnested model selection for spatial count regression models with application to health insurance. Statistical Papers 55 (2), 2014, 455-476 more…
  • Gruber, L., and Czado C.: Bayesian model selection of regular vine copulas. In: Ettore Lanzarone, Francesca Ieva (Ed.): The Contribution of Young Researchers to Bayesian Statistics. Springer, 2014 more…
  • Min, A., and Czado, C.: SCOMDY models based on pair-copula constructions with application to exchange rates. Computational Statistics and Data Analysis 76, 2014, 523-535 more…
  • Stöber, J., and Czado, C.: Regime switches in the dependence structure of multidimensional financial data. Computational Statistics and Data Analysis 76, 2014, 672-686 more…

2013

  • Bernard, C., and Czado, C.: Multivariate option pricing using copulae. Applied Stochastic Models in Business and Industry 29 (5), 2013, 509–526 more…
  • Brechmann, E.C., Hendrich, K., and Czado, C.: Conditional copula simulation for systemic risk stress testing. Insurance: Mathematics and Economics 53 (3), 2013, 722–732 more…
  • Brechmann, E.C., and Czado, C.: Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50. Statistics and Risk Modeling 30 (4), 2013, 307–342 more…
  • Czado, C., Brechmann, E.C., and Gruber, L.: Selection of Vine Copulas. In: Jaworski, Piotr, Durante, Fabrizio, Härdle, Wolfgang Karl: Copulae in Mathematical and Quantitative Finance. Springer, 2013, 17-37 more…
  • Dißmann, J., Brechmann, E.C., Czado, C., and Kurowicka, D.: Selecting and estimating regular vine copulae and application to financial returns. Computational Statistics and Data Analysis 59, 2013, 52–69 more…
  • Krämer, N., Brechmann, E.C., Silvestrini, D., and Czado, C.: Total loss estimation using copula-based regression models. Insurance: Mathematics and Economics 53 (3), 2013, 829–839 more…

2012

  • Almeida, C. and Czado, C.: Efficient Bayesian inference for stochastic time-varying copula models. Computational Statistics and Data Analysis 56 (6), 2012, 1511–1527 more…
  • Bauer, A. and Czado, C.: Pair-copula Bayesian networks. Preprint , 2012 more…
  • Bauer, A., Czado, C. and Klein, T.: Pair-copula constructions for non-Gaussian DAG models. The Canadian Journal of Statistics 40 (1), 2012, 86 - 109 more…
  • Brechmann, E.C., Czado, C. and Aas, K.: Truncated regular vines in high dimensions with applications to financial data. Canadian Journal of Statistics 40 (1), 2012, 68-85 more…
  • Czado, C., Kastenmeier, R., Brechmann, E.C., and Min, A.: A mixed copula model for insurance claims and claim sizes. Scandinavian Actuarial Journal 4 (1.12), 2012, 278-305 more…
  • Czado, C., Schepsmeier, U. and Min, A.: Maximum likelihood estimation of mixed C-vines with application to exchange rates. Statistical Modelling 12 (3), 2012, 229-255 more…

2011

  • Brechmann, E.C., Czado, C. and Ng, P.: Quantifying geographical and macroeconomic effects on bank branch deposits using linear mixed models. International Journal of Statistics and Management Systems 6 (1-2), 2011, 22-46 more…
  • Czado, C. and Schmidt, T.: Mathematische Statistik. Springer Verlag, 2011 more…
  • Czado, C., Heyn, A., Müller, G.: Modeling individual migraine severity with autoregressive ordered probit models. Statistical Methods and Applications 20 (1), 2011, 101-121 more…
  • Czado, C., Zhang, R., Min, A.: Efficient maximum likelihood estimation of copula based meta t-distributions. Computational Statistics and Data Analysis 55 (3), 2011, 1196–1214 more…
  • Dakovic, R., Czado, C.: Comparing point and interval estimates in the bivariate t-copula model with application to financial data. Statistical Papers 52 (3), 2011, 709-731 more…
  • Min, A. and Czado,C.: Bayesian model selection for D-vine pair-copula constructions. Canadian Journal of Statistics 39 (2), 2011, 239–258 more…

2010

  • Czado, C.: Pair-copula constructions of multivariate copulas. In: Workshop on Copula Theory and its Applications. Springer, 2010, 93-109 more…
  • Czado, C. and Haug, S.: An ACD-ECOGARCH(1,1) model. Journal of Financial Econometrics 8 (3), 2010, 335-344 more…
  • Czado, C., Gärtner, F., and Min, A.: Analysis of australian electricity loads using joint bayesian inference of d-vines with autoregressive margins. In: Dependence Modeling - Handbook on Vine Copulae.. World Scientific, 2010 more…
  • Czado, C., Haug, S.: Finite sample properties of the QMLE in the ACD-ECOGARCH(1,1) model. Supplement to "An ACD-ECOGARCH(1,1) model", 2010 more…
  • Czado, C.., Nguyen, T., Müller, G: Ordinal stochastic volatility and stochastic volatility models for price changes: An empirical comparison. In: Kneib, Thomas, Tutz, Gerhard: Statistical Modelling and Regression Structures. Springer, 2010, 301-320 more…
  • Dakovic, R., Czado, C., Berg, D.: Bankruptcy prediction in Norway: a comparison study. Applied Economics Letters 17 (17), 2010, 1739-1746 more…
  • Erhardt, V., Bogdan, M. and Czado, C.: Locating multiple interacting quantitative trait loci with the zero-inflated generalized Poisson regression. Statistical Applications in Genetics and Molecular Biology 9 (1), 2010 more…
  • Erhardt, V., Czado, C.: A method for approximately sampling high-dimensional count variables with prespecified Pearson correlation. INFORMS - Journal on Computing, 2010 more…
  • Hofmann, M. and Czado, C.: Assessing the VaR of a portfolio using D-vine copula based multivariate GARCH models. Preprint, 2010 more…
  • Min, A. and Czado, C.: Bayesian inference for multivariate copulas using pair-copula constructions. Journal of Financial Econometrics 8 (4), 2010, 511-546 more…
  • Min, A., Holzmann, H., and Czado, C.: Model selection strategies for identifying most relevant covariates in homoscedastic linear models. Computational Statistics and Data Analysis 54, 2010, 3194-3211 more…
  • Min, A., and Czado, C.: Testing for zero-modification in count regression models. Statistica Sinica 20, 2010, 323-341 more…
  • Smith, M., Min, A., Almeida,C. and Czado,C.: Modelling longitudinal data using a pair-copula decomposition of serial dependence. Journal of the American Statistical Association 105 (492), 2010, 1467-1479 more…

2009

  • Aas, K., Czado, C., Frigessi, A. and Bakken, H.: Pair-copula constructions of multiple dependence. Insurance Mathematics and Economics 44 (2), 2009, 182-198 more…
  • Czado, C., Gneiting, T., Held, L.: Predictive model assessment for count data. Biometrics 65 (4), 2009, 1254-1261 more…
  • Czado, C., Gärtner, F., Min, A.: Analysis of Australian electricity loads using joint Bayesian inference of D-Vines with autoregressive margins. In: Kurowicka, D., Joe, H.: Dependence Modeling - Handbook on Vine Copulae.. World Scientific, 2009 more…
  • Czado, C., Min, A.: Bayesian inference for D-vines: estimation and model selection. In: Dependence Modeling - Handbook on Vine Copulae.. World Scientific, 2009 more…
  • Czado, C., Min, A., Baumann, T., Dakovic, R.: Pair-copula constructions for modeling exchange rate dependence. Preprint, 2009 more…
  • Czado, C., Pfettner, J, Gschlößl, S., Schiller, F.: Nonnested model comparison of GLM and GAM count regression models for life insurance data. Preprint, 2009 more…
  • Erhardt, V., Czado, C.: Generalized estimating equations for longitudinal generalized Poisson count data with regression effects on the mean and dispersion level. Preprint, 2009 more…
  • Erhardt, V., Czado, C.: Sampling count variables with specified Pearson correlation - a comparison between a naive and a C-vine sampling approach. In: Kurowicka, D., Joe, H.: Dependence Modeling - Handbook on Vine Copulae. World Scientific, 2009 more…
  • Müller, G., Czado, C.: Stochastic volatility models for ordinal valued time series with application to finance. Statistical Modelling 9 (1), 2009, 69-95 more…
  • Varin, C. and Czado, C.: A mixed autoregressive probit model for ordinal longitudinal data. Biostatistics 11 (1), 2009, 127-138 more…

2008

  • Czado, C., Pflüger, C.: Modeling dependencies between rating categories and their efects on prediction in a credit risk portfolio. Applied Stochastic Models in Business and Industry 24 (3), 2008, 237-259 more…
  • Czado, C., Prokopenko, S.: Modeling transport mode decisions using hierarchical logistic regression models with spatial and cluster effects. Statistical Modelling 8 (4), 2008, 315-345 more…
  • Czado, C., Song, P. X.-K.: State space mixed models for longitudinal observations with binary and binomial responses. Statistical Papers 49 (4), 2008, 691-714 more…
  • Gschlößl, S., Czado, C.: Modelling count data with overdispersion and spatial effects. Statistical Papers (49(3)), 2008, 531-552 more…
  • Gschlößl, S., Czado, C.: Does a Gibbs sampler approach to spatial Poisson regression models outperform a single site MH sampler? Computational Statistics and Data Analysis 52 (9), 2008, 4184-4202 more…

2007

  • Czado, C. and Kolbe, A.: Model-based quantification of the volatility of options at transaction level with extended count regression models. Applied Stochastic Models in Business and Industry 23 (1), 2007, 1-21 more…
  • Czado, C., Erhardt, V., Min, A. and Wagner, S.: Zero-inflated generalized Poisson models with regression effects on the mean, dispersion and zero-inflation level applied to patent outsourcing rates. Statistical Modelling 7 (2), 2007, 125-153 more…
  • Freitag, G., Czado, C., Munk, A.: A nonparametric test for similarity of marginals - with applications to the assessment of population bioequivalence. Journal of Statistical Planning and Inference 137 (3), 2007, 697-711 more…
  • Gschlößl, S. and Czado, C.: Spatial modelling of claim frequency and claim size in non-life insurance. Scandinavian Actuarial Journal 107, 2007, 202-225 more…
  • Haug, S. and Czado, C.: An exponential continuous time GARCH process. Journal of Applied Probability 44 (4), 2007, 960-976 more…

2006

  • Czado, C. and Raftery, A.E.: Choosing the link function and accounting for link uncertainty in generalized linear models using Bayes factors. Statistical Papers 47 (3), 2006, 419-442 more…
  • Haug, S. and Czado, C.: Mixed effect models for absolute log returns of ultra high frequency data. Applied Stochastic Models in Business and Industry 22 (3), 2006, 243-267 more…
  • Haug, S., Czado, C.: Mixed effect models for absolute log-returns of ultra high frequency data. Appl. Stochastic Models Bus. Ind. 22 (3), 2006, 243-267 more…
  • Haug, S., Czado, C.: A fractionally integrated ECOGARCH process. Discussion Paper 484 beim SFB 386 "Diskrete Strukturen"., 2006 more…
  • Holzmann, H., Min, A., Czado, C.: Validating linear restrictions in linear regression models with general error structure. Discussion Paper 478 beim SFB 386 "Diskrete Strukturen", 2006 more…

2005

  • Czado, C., Delwarde, A., Denuit, M.: Bayesian poisson log-bilinear mortality projections. Insurance: Mathematics and Economics 36 (3), 2005, 260-284 more…
  • Czado, C., Heyn, A., Müller, G.: Modeling individual migraine severity with autoregressive ordered probit models. Discussion Paper 413 beim SFB 386 "Diskrete Strukturen". , 2005 more…
  • Czado, C., Min, A.: Zero-inflated generalized Poisson regression: Asymptotic theory and applications. Discussion Paper 474 beim SFB 386 "Diskrete Strukturen". , 2005 more…
  • Czado, C., Prokopenko, S., Zängler, T.W.: Räumliche Logit-Modelle der individuellen Verkehrsmittelwahl mit Berücksichtigung von Clustereffekten. In: Deutsche Verkehrswissenschaftliche Gesellschaft (Hrsg.): 12. Seminar für Statistik und Verkehr - Mikroökonometrische Methoden in der Verkehrsforschung. . Schriftenreihe der Deutschen Verkehrswissenschaftlichen Gesellschaft e.V. DVWG, B 280 , 2005 more…
  • Helms, F., Czado, C., Gschlößl, S.: Calculation of LTC premiums based on direct estimates of transition probabilities. ASTIN Bulletin 35, 2005, 455-469 more…
  • Högn, R., Czado, C.: Multiresolution Analysis of Long Time Series With Applications to Finance. Discussion Paper 497 beim SFB 386 "Diskrete Strukturen", 2005 more…
  • Müller, G., Czado, C.: An autoregressive ordered probit model with application to high frequency financial data. Journal of Computational and Graphical Statistics 14 (2), 2005, 320-338 more…

2004

  • Czado, C.: Einführung zu Markov Chain Monte Carlo Verfahren mit Anwendung auf Gesamtschadenmodelle. Blätter der Deutschen Gesellschaft für Versicherungs- und Finanzmathematik 26 (3), 2004, 331-350 more…

2003

  • Czado, C., Gschlößl, S.: The inception selection effect of diagnosis in a German long term care portfolio. Discussion Paper 357 beim SFB 386 "Diskrete Strukturen", 2003 more…
  • Högn, R., Czado, C.: Theoretical foundations of autoregressive models for time series on acyclic directed graphs. Discussion Paper 326 beim SFB 386 "Diskrete Strukturen". , 2003 more…
  • Müller, G., Czado, C., Antes, S., Rottenwallner, M.: Regression models for ordinal valued time series: applications in high frequency finance and medicine. Discussion Paper 335 beim SFB 386 "Diskrete Strukturen". , 2003 more…

2002

  • Czado, C., Rudolph,F.: Application of survival analysis methods to long term care insurance. Insurance: Mathematics and Economics 31 (3), 2002, 395-413 more…

2001

  • Czado, C.: Individual migraine risk management using binary state space mixed models. Preprint, 2001 more…

2000

  • Czado, C.: Multivariate regression analysis of panel data with binaryoutcomes applied to unemployment data. Statistical Papers 41 (3), 2000, 281-304 more…
  • Czado, C., and Munk, A.: Noncanonical links in generalized linear models - when is the effort justified. Journal of Statistical Planning and Inference 87 (2), 2000, 317-345 more…

1998

  • Czado, C., and Munk, A.: Assessing the similarity of distributions - finite sample performance of the empirical Mallow distance. Journal of Statistical Computation and Simulation 60 (4), 1998 more…
  • Czado, C., and Munk, A.: Nonparametric validation of similar distributions and assessment of goodness of fit. Journal of the Royal Statistical Society: Series B 60 (1), 1998, 223-241 more…

1997

  • Czado, C.: On selecting parametric link transformation families in generalized linear models. Journal of Statistical Planning and Inference 61 (1), 1997, 125-139 more…

1996

  • Czado, C. Chappell, R., and Newton, M.: Bayesian Inference for semiparametric binary regression. Journal of the American Statistical Association 91 (433), 1996, 142-153 more…

1994

  • Czado, C.: Modeling overdispersion in binomial regression. Preprint, 1994 more…
  • Czado, C.: Bayesian inference of binary regression models with parametric link. Journal of Statistical Planning and Inference 41 (2), 1994, 121-140 more…
  • Czado, C.: Parametric link modification of both tails in binary regression. Statistical Papers 35 (1), 1994, 189-201 more…

1993

  • Czado, C.: Norm restricted maximum likelihood estimators for binary regression models with parametric link. Communications in Statistics, Theory and Methods 22 (8), 1993, 2259-2274 more…

1985

  • Czado, C., Taqqu, M.S.: Reproducing kernel Hilbert space for some non-Gaussian processes. Probability in Banach Spaces/ Lecture Notes in Mathematics 1153, 1985, 128-140 more…
  • Czado, C., Taqqu, M.S.: A survey of functional laws of the iterated logarithm for self-similar processes. Stochastic Models 1 (1), 1985, 77-115 more…