22 citations · 42 across the 4 of their papers we have counts for
4 papers · 1 filter
Simplified Pair Copula Constructions --- Limits and Extensions
Jakob Stöber, Harry Joe, Claudia Czado
So called pair copula constructions (PCCs), specifying multivariate distributions only in terms of bivariate building blocks (pair copulas), constitute a flexible class of dependen…
COPAR - Multivariate time series modeling using the COPula AutoRegressive model
Eike Christian Brechmann, Claudia Czado
Analysis of multivariate time series is a common problem in areas like finance and economics. The classical tool for this purpose are vector autoregressive models. These however ar…
Detecting regime switches in the dependence structure of high dimensional financial data
Jakob Stoeber, Claudia Czado
Misperceptions about extreme dependencies between different financial assets have been an im- portant element of the recent financial crisis. This paper studies inhomogeneity in de…
Modeling high dimensional time-varying dependence using D-vine SCAR models
Carlos Almeida, Claudia Czado, Hans Manner
We consider the problem of modeling the dependence among many time series. We build high dimensional time-varying copula models by combining pair-copula constructions (PCC) with st…