27 citations · 28 across the 4 of their papers we have counts for
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stat.ME2012★ 1 cited
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…
stat.ME2012★ 27 cited
Selecting and estimating regular vine copulae and application to financial returns
Jeffrey Dissmann, Eike Christian Brechmann, Claudia Czado +1
Regular vine distributions which constitute a flexible class of multivariate dependence models are discussed. Since multivariate copulae constructed through pair-copula decompositi…