Latest Publications

  • Kreuzer A., Czado C. (2018)
    Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo
    [preprint]
  • 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
    arXiv:1801.10576 [preprint]
  • Hincks, T., Aspinall, W., Cooke, R., Gernon, T. (2018)
    Oklahoma’s induced seismicity strongly linked to wastewater injection depth.
    Science, 10.1126/science.aap7911
    [link]
  • Nagler, T., Bumann, C., Czado, C. (2018)
    Model selection in sparse high-dimensional vine copula models with application to portfolio risk.
    [preprint]

Workshops and Conferences

News

  • ATMS WORKSHOP: Multi- and high-dimensional statistics, Copulas, Survival analysis, Model selection 
    [link]

Disclaimer

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.