Pair-copula constructions of multiple dependence

Author:

Aas Kjersti,Czado Claudia,Frigessi Arnoldo,Bakken Henrik

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference36 articles.

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2. Bedford, T., Cooke, R.M., 2001a. Monte Carlo simulation of vine dependent random variables for applications in uncertainty analysis. In: 2001 Proceedings of ESREL2001. Turin, Italy

3. Probability density decomposition for conditionally dependent random variables modeled by vines;Bedford;Annals of Mathematics and Artificial Intelligence,2001

4. Vines — a new graphical model for dependent random variables;Bedford;Annals of Statistics,2002

5. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986

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