- Barthel, N., Geerdens. C., Czado, C., and Janssen, P. (2018)
Dependence modeling for recurrent event times subject to right-censoring with D-vine copulas
- Barthel, N., Czado, C., and Okhrin, Y. (2018)
A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
- Kreuzer A., Czado C. (2018)
Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo
- Stübinger, J., Mangold, B., Krauss, C. (2018)
Statistical arbitrage with vine copulas
Quantitative Finance (published online) [link] [preprint]
- Wilson, K. J. (2018)
Specification of Informative Prior Distributions for Multinomial Models Using Vine Copulas
Bayesian Analysis [link]
- Nagler, T., Vatter, T. (2018)
Solving estimating equations with copulas
- Hincks, T., Aspinall, W., Cooke, R., Gernon, T. (2018)
Oklahoma’s induced seismicity strongly linked to wastewater injection depth.
- Nagler, T., Bumann, C., Czado, C. (2018)
Model selection in sparse high-dimensional vine copula models with application to portfolio risk.
Workshops and Conferences
- ATMS WORKSHOP: Multi- and high-dimensional statistics, Copulas, Survival analysis, Model selection
This page provides an extensive overview of research on vine copula models.
Please note that all manuscript files are for private use only and may not be distributed without permission of the respective copyright owners.