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Dependence modelling with regular vine copula models: a case-study for car crash simulation data

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  • Ulf Schepsmeier
  • Claudia Czado

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  • Ulf Schepsmeier & Claudia Czado, 2016. "Dependence modelling with regular vine copula models: a case-study for car crash simulation data," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 65(3), pages 415-429, April.
    • Handle: RePEc:bla:jorssc:v:65:y:2016:i:3:p:415-429
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    File URL: http://hdl.handle.net/10.1111/rssc.12125
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    References listed on IDEAS

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    1. Frahm, Gabriel & Junker, Markus & Szimayer, Alexander, 2003. "Elliptical copulas: applicability and limitations," Statistics & Probability Letters, Elsevier, vol. 63(3), pages 275-286, July.
    2. Aas, Kjersti & Czado, Claudia & Frigessi, Arnoldo & Bakken, Henrik, 2009. "Pair-copula constructions of multiple dependence," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 182-198, April.
    3. Aleksey Min & Claudia Czado, 2010. "Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructions," Journal of Financial Econometrics, Oxford University Press, vol. 8(4), pages 511-546, Fall.
    4. Smith, Michael & Min, Aleksey & Almeida, Carlos & Czado, Claudia, 2010. "Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence," Journal of the American Statistical Association, American Statistical Association, vol. 105(492), pages 1467-1479.
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    Cited by:

    1. E. Allevi & L. Boffino & M. E. Giuli & G. Oggioni, 2019. "Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems," Annals of Operations Research, Springer, vol. 274(1), pages 1-37, March.
    2. Chao Zhang & Changming Ji & Yi Wang & Qian Xiao, 2022. "Flood hydrograph coincidence analysis of the upper Yangtze River and Dongting Lake, China," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 110(2), pages 1339-1360, January.
    3. Carlson, Mari K. & Rezitis, Anthony N., 2018. "Integration of the EU broiler meat markets – Application of Regular Vine Copulas," 2018 Annual Meeting, August 5-7, Washington, D.C. 273864, Agricultural and Applied Economics Association.

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