Books and Surveys

  • Joe, H. (2014).
    Dependence Modeling with Copulas.
    Chapman & Hall/CRC.
  • Czado, C., E.C. Brechmann and L. Gruber (2013)
    Selection of Vine Copulas
    In P. Jaworski, F. Durante and W. K. Härdle (Eds.),Copulae in Mathematical and Quantitative Finance: Proceedings of the Workshop Held in Cracow, 10-11 July 2012, Springer.
    Lecture Notes in Statistics, 213
    [link]
  • Stoeber, J. and C. Czado (2012),
    Sampling Pair Copula Constructions with Applications to Mathematical Finance.
    In J.-F. Mai and M. Scherer (2012), Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications.
    Singapore: World Scientific Publishing Co.
    [link]
  • Kurowicka, D. and H. Joe (2011)
    Dependence Modeling - Handbook on Vine Copulae.
    Singapore: World Scientific Publishing Co.
    [link]
  • Czado, C. (2010)
    Pair-copula constructions of multivariate copulas
    In P. Jaworski, F. Durante, W. Härdle, and T. Rychlik (Eds.), Copula Theory and Its Applications. Berlin: Springer. 
    [link | preprint]
  • Kurowicka, D. and R. Cooke (2006)
    Uncertainty analysis with high dimensional dependence modelling.
    Chichester: Wiley.
    [link]