17 citations · 41 across the 19 of their papers we have counts for
4 papers · 1 filter
Vine copula based post-processing of ensemble forecasts for temperature
Annette Möller, Ludovica Spazzini, Daniel Kraus +2
Today weather forecasting is conducted using numerical weather prediction (NWP) models, consisting of a set of differential equations describing the dynamics of the atmosphere. The…
A Statistical Simulation Method for Joint Time Series of Non-stationary Hourly Wave Parameters
Wiebke S. Jäger, Thomas Nagler, Claudia Czado +1
Statistically simulated time series of wave parameters are required for many coastal and offshore engineering applications, often at the resolution of approximately one hour. Vario…
Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo
Alexander Kreuzer, Claudia Czado
For modeling multivariate financial time series we propose a single factor copula model together with stochastic volatility margins. This model generalizes single factor models rel…
A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
Nicole Barthel, Claudia Czado, Yarema Okhrin
A novel approach for dynamic modeling and forecasting of realized covariance matrices is proposed. Realized variances and realized correlation matrices are jointly estimated. The o…