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Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine

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Cited by:

  1. Nguyen-Huy, Thong & Deo, Ravinesh C. & An-Vo, Duc-Anh & Mushtaq, Shahbaz & Khan, Shahjahan, 2017. "Copula-statistical precipitation forecasting model in Australia’s agro-ecological zones," Agricultural Water Management, Elsevier, vol. 191(C), pages 153-172.
  2. Jong-Min Kim & Ning Wang & Yumin Liu, 2020. "Multi-Stage Change Point Detection with Copula Conditional Distribution with PCA and Functional PCA," Mathematics, MDPI, vol. 8(10), pages 1-23, October.
  3. Dalla Valle, Luciana & De Giuli, Maria Elena & Tarantola, Claudia & Manelli, Claudio, 2016. "Default probability estimation via pair copula constructions," European Journal of Operational Research, Elsevier, vol. 249(1), pages 298-311.
  4. Kexin Li & Jianxu Liu & Yuting Xue & Sanzidur Rahman & Songsak Sriboonchitta, 2022. "Consequences of Ignoring Dependent Error Components and Heterogeneity in a Stochastic Frontier Model: An Application to Rice Producers in Northern Thailand," Agriculture, MDPI, vol. 12(8), pages 1-17, July.
  5. Václav Klepáč & David Hampel, 2015. "Assessing Efficiency of D-Vine Copula ARMA-GARCH Method in Value at Risk Forecasting: Evidence from PSE Listed Companies," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 63(4), pages 1287-1295.
  6. Li, Haihe & Wang, Pan & Huang, Xiaoyu & Zhang, Zheng & Zhou, Changcong & Yue, Zhufeng, 2021. "Vine copula-based parametric sensitivity analysis of failure probability-based importance measure in the presence of multidimensional dependencies," Reliability Engineering and System Safety, Elsevier, vol. 215(C).
  7. Shofiqul Islam & Sonia Anand & Jemila Hamid & Lehana Thabane & Joseph Beyene, 2020. "A copula-based method of classifying individuals into binary disease categories using dependent biomarkers," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(4), pages 871-897, December.
  8. Thabani Ndlovu & Delson Chikobvu, 2024. "The GARCH-EVT-Copula Approach to Investigating Dependence and Quantifying Risk in a Portfolio of Bitcoin and the South African Rand," JRFM, MDPI, vol. 17(11), pages 1-16, November.
  9. Krämer, Nicole & Brechmann, Eike C. & Silvestrini, Daniel & Czado, Claudia, 2013. "Total loss estimation using copula-based regression models," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 829-839.
  10. Grover, Vaibhav, 2015. "Identifying Dependence Structure among Equities in Indian Markets using Copulas," MPRA Paper 66302, University Library of Munich, Germany.
  11. Marco Geidosch & Matthias Fischer, 2016. "Application of Vine Copulas to Credit Portfolio Risk Modeling," JRFM, MDPI, vol. 9(2), pages 1-15, June.
  12. Domínguez, M. Carmen, 2016. "Vine copula models for predicting water flow discharge at King George Island, Antarctica," DES - Working Papers. Statistics and Econometrics. WS 23812, Universidad Carlos III de Madrid. Departamento de Estadística.
  13. Casagranda, Yasmin Gomes & Casarotto, Eduardo Luis & Pereira, Gênesis Miguel & Amorin, Anderson Luís Walker & Schollkopf, Joana Cechele & Mores, Giana de Vargas, 2023. "Agricultural commodities price dependence on Brazilian financial market," International Journal on Food System Dynamics, International Center for Management, Communication, and Research, vol. 14(01), January.
  14. Marra, Giampiero & Wyszynski, Karol, 2016. "Semi-parametric copula sample selection models for count responses," Computational Statistics & Data Analysis, Elsevier, vol. 104(C), pages 110-129.
  15. Hanif, Waqas & Arreola Hernandez, Jose & Sadorsky, Perry & Yoon, Seong-Min, 2020. "Are the interdependence characteristics of the US and Canadian energy equity sectors nonlinear and asymmetric?," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  16. Hazem Krichene & Abhijit Chakraborty & Hiroyasu Inoue & Yoshi Fujiwara, 2017. "Business cycles’ correlation and systemic risk of the Japanese supplier-customer network," PLOS ONE, Public Library of Science, vol. 12(10), pages 1-22, October.
  17. GRIGORIADIS, Vasilis & EMMANOUILIDES, Christos & FOUSEKIS, Panos, 2016. "The Integration Of Pigmeat Markets In The Eu. Evidence From A Regular Mixed Vine Copula," Review of Agricultural and Applied Economics (RAAE), Faculty of Economics and Management, Slovak Agricultural University in Nitra, vol. 19(1), pages 1-10, March.
  18. Seyyed Ali Zeytoon Nejad Moosavian & Barry K. Goodwin, 2021. "Flexible modelling of multivariate risks in pricing margin protection insurance: modelling portfolio risks with mixtures of mixtures," Applied Economics, Taylor & Francis Journals, vol. 53(4), pages 411-440, January.
  19. Dimitrios Panagiotou & Athanassios Stavrakoudis, 2015. "Price asymmetry between different pork cuts in the USA: a copula approach," Agricultural and Food Economics, Springer;Italian Society of Agricultural Economics (SIDEA), vol. 3(1), pages 1-8, December.
  20. Vahidin Jeleskovic & Mirko Meloni & Zahid Irshad Younas, 2020. "Cryptocurrencies: A Copula Based Approach for Asymmetric Risk Marginal Allocations," MAGKS Papers on Economics 202034, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  21. Hobæk Haff, Ingrid & Segers, Johan, 2015. "Nonparametric estimation of pair-copula constructions with the empirical pair-copula," Computational Statistics & Data Analysis, Elsevier, vol. 84(C), pages 1-13.
  22. Karol Wyszynski & Giampiero Marra, 2018. "Sample selection models for count data in R," Computational Statistics, Springer, vol. 33(3), pages 1385-1412, September.
  23. Catherine Bruneau & Alexis Flageollet & Zhun Peng, 2020. "Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios," Annals of Operations Research, Springer, vol. 284(1), pages 165-197, January.
  24. Miguel Antonio Alba Suárez & Wilmer Pineda-Ríos & Javier Deaza Chaves, 2019. "Análisis comparativo de las metodologías de estimación semiparamétricas y vía cópulas del Valor en Riesgo (VaR) en el mercado accionario colombiano," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(2), pages 279-307, Abril-Jun.
  25. Erhardt, Tobias Michael & Czado, Claudia & Schepsmeier, Ulf, 2015. "Spatial composite likelihood inference using local C-vines," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 74-88.
  26. Marra, Giampiero & Radice, Rosalba, 2017. "Bivariate copula additive models for location, scale and shape," Computational Statistics & Data Analysis, Elsevier, vol. 112(C), pages 99-113.
  27. Su, Jianxi & Hua, Lei, 2017. "A general approach to full-range tail dependence copulas," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 49-64.
  28. Abdalla Alfaki, Ibrahim M. & El Anshasy, Amany A., 2022. "Oil rents, diversification and growth: Is there asymmetric dependence? A copula-based inquiry," Resources Policy, Elsevier, vol. 75(C).
  29. Pourkhanali, Armin & Kim, Jong-Min & Tafakori, Laleh & Fard, Farzad Alavi, 2016. "Measuring systemic risk using vine-copula," Economic Modelling, Elsevier, vol. 53(C), pages 63-74.
  30. Elettra Agliardi & Thomas Alexopoulos & Christian Cech, 2019. "On the Relationship Between GHGs and Global Temperature Anomalies: Multi-level Rolling Analysis and Copula Calibration," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 72(1), pages 109-133, January.
  31. Niemierko, Rochus & Töppel, Jannick & Tränkler, Timm, 2019. "A D-vine copula quantile regression approach for the prediction of residential heating energy consumption based on historical data," Applied Energy, Elsevier, vol. 233, pages 691-708.
  32. Salaheddine El Adlouni, 2018. "Quantile regression C-vine copula model for spatial extremes," 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. 94(1), pages 299-317, October.
  33. Mohamad Khoirun Najib & Sri Nurdiati & Ardhasena Sopaheluwakan, 2022. "Multivariate fire risk models using copula regression in Kalimantan, Indonesia," 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. 113(2), pages 1263-1283, September.
  34. F. Marta L. Di Lascio & Andrea Menapace & Maurizio Righetti, 2020. "Analysing the relationship between district heating demand and weather conditions through conditional mixture copula," BEMPS - Bozen Economics & Management Paper Series BEMPS68, Faculty of Economics and Management at the Free University of Bozen.
  35. I. E. Okorie & A. C. Akpanta & J. Ohakwe & D. C. Chikezie & C. U. Onyemachi & M. C. Ugwu, 2021. "Modeling the Relationships Across Nigeria Inflation, Exchange Rate, and Stock Market Returns and Further Analysis," Annals of Data Science, Springer, vol. 8(2), pages 295-329, June.
  36. Mussida Chiara & Zanin Luca, 2019. "Voluntary Mobility of Employees for Better Job Opportunities Given a Temporary Contract: Insights Regarding an Age-Varying Association Between the Two Events," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 19(2), pages 1-27, April.
  37. Mejdoub, Hanène & Ben Arab, Mounira, 2018. "Impact of dependence modeling of non-life insurance risks on capital requirement: D-Vine Copula approach," Research in International Business and Finance, Elsevier, vol. 45(C), pages 208-218.
  38. Antonov I. N. & Knyazev A. G. & Lepekhin O. A., 2016. "Copula Models of the Joint Distribution of Exchange Rates," World of economics and management / Vestnik NSU. Series: Social and Economics Sciences, Socionet, vol. 16(4), pages 20-38.
  39. Petti, Danilo & Eletti, Alessia & Marra, Giampiero & Radice, Rosalba, 2022. "Copula link-based additive models for bivariate time-to-event outcomes with general censoring scheme," Computational Statistics & Data Analysis, Elsevier, vol. 175(C).
  40. Awudu, Iddrisu & Wilson, William & Dahl, Bruce, 2016. "Hedging strategy for ethanol processing with copula distributions," Energy Economics, Elsevier, vol. 57(C), pages 59-65.
  41. Wu Zening & He Chentao & Huiliang Wang & Qian Zhang, 2020. "Reservoir Inflow Synchronization Analysis for Four Reservoirs on a Mainstream and its Tributaries in Flood Season Based on a Multivariate Copula Model," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 34(9), pages 2753-2770, July.
  42. Koliai, Lyes, 2016. "Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 1-22.
  43. Eling, Martin & Jung, Kwangmin, 2018. "Copula approaches for modeling cross-sectional dependence of data breach losses," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 167-180.
  44. Guillaume Arnould & Catherine Bruneau & Zhun Peng, 2015. "Liquidity and Equity Short term fragility: Stress-tests for the European banking system," Documents de travail du Centre d'Economie de la Sorbonne 15090, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  45. Maziar Sahamkhadam & Andreas Stephan, 2019. "Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for the financial crisis," Papers 1912.10328, arXiv.org.
  46. Zhu, Kailun & Kurowicka, Dorota & Nane, Gabriela F., 2021. "Simplified R-vine based forward regression," Computational Statistics & Data Analysis, Elsevier, vol. 155(C).
  47. Müller, Dominik & Czado, Claudia, 2019. "Dependence modelling in ultra high dimensions with vine copulas and the Graphical Lasso," Computational Statistics & Data Analysis, Elsevier, vol. 137(C), pages 211-232.
  48. Joshua Eklund & Jong-Min Kim, 2022. "Examining Factors That Affect Movie Gross Using Gaussian Copula Marginal Regression," Forecasting, MDPI, vol. 4(3), pages 1-14, July.
  49. Mikhail Semenov & Daulet Smagulov, 2017. "Portfolio Risk Assessment using Copula Models," Papers 1707.03516, arXiv.org.
  50. Wang, Fan & Li, Heng & Dong, Chao, 2021. "Understanding near-miss count data on construction sites using greedy D-vine copula marginal regression," Reliability Engineering and System Safety, Elsevier, vol. 213(C).
  51. Rašiová, Barbara & Árendáš, Peter, 2023. "Copula approach to market volatility and technology stocks dependence," Finance Research Letters, Elsevier, vol. 52(C).
  52. Stavrakoudis, Athanassios & Panagiotou, Dimitrios, 2016. "Price dependence between coffee qualities: a copula model to evaluate asymmetric responses," MPRA Paper 75994, University Library of Munich, Germany.
  53. F. Marta L. Lascio & Simone Giannerini, 2019. "Clustering dependent observations with copula functions," Statistical Papers, Springer, vol. 60(1), pages 35-51, February.
  54. Catherine Bruneau & Alexis Flageollet & Zhun Peng, 2015. "Risk Factors, Copula Dependence and Risk Sensitivity of a Large Portfolio," Documents de recherche 15-03, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
  55. Marie-Louise Kloubert, 2020. "Probabilistic Load Flow Approach Considering Dependencies of Wind Speed, Solar Irradiance, Electrical Load and Energy Exchange with a Joint Probability Distribution Model," Energies, MDPI, vol. 13(7), pages 1-15, April.
  56. Huawei Li & Guohe Huang & Yongping Li & Jie Sun & Pangpang Gao, 2021. "A C-Vine Copula-Based Quantile Regression Method for Streamflow Forecasting in Xiangxi River Basin, China," Sustainability, MDPI, vol. 13(9), pages 1-22, April.
  57. Soumyashree Dixit & K. V. Jayakumar, 2022. "A Non-stationary and Probabilistic Approach for Drought Characterization Using Trivariate and Pairwise Copula Construction (PCC) Model," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 36(4), pages 1217-1236, March.
  58. Marwa Talbi & Rihab Bedoui & Christian de Peretti & Lotfi Belkacem, 2020. "Is the role of precious metals as precious as they are? Revisiting the role of precious metals for the G-7 stock markets: A multivariate vine copula and BiVaR approaches," Working Papers hal-01664146, HAL.
  59. Stavrakoudis, Athanassios & Panagiotou, Dimitrios, 2016. "Price dependence and asymmetric responses between coffee varieties," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 17(2), June.
  60. Ur Koumba & Calvin Mudzingiri & Jules Mba, 2020. "Does uncertainty predict cryptocurrency returns? A copula-based approach," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 13(1), pages 67-88, January.
  61. Kajal Lahiri & Liu Yang, 2023. "Predicting binary outcomes based on the pair-copula construction," Empirical Economics, Springer, vol. 64(6), pages 3089-3119, June.
  62. Emmanoulides, Christos & Fousekis, Panos, 2014. "Vertical Price Transmission in the US Pork Industry: Evidence from Copula Models," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 15(1), pages 1-12.
  63. Asjad Naqvi & Franziska Gaupp & Stefan Hochrainer-Stigler, 2020. "The risk and consequences of multiple breadbasket failures: an integrated copula and multilayer agent-based modeling approach," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 42(3), pages 727-754, September.
  64. Nagler Thomas & Schellhase Christian & Czado Claudia, 2017. "Nonparametric estimation of simplified vine copula models: comparison of methods," Dependence Modeling, De Gruyter, vol. 5(1), pages 99-120, January.
  65. F. Marta L. Di Lascio & Andrea Menapace & Maurizio Righetti, 2020. "Joint and conditional dependence modelling of peak district heating demand and outdoor temperature: a copula-based approach," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(2), pages 373-395, June.
  66. Tobias Michael Erhardt & Claudia Czado & Ulf Schepsmeier, 2015. "R-vine models for spatial time series with an application to daily mean temperature," Biometrics, The International Biometric Society, vol. 71(2), pages 323-332, June.
  67. Arisara Romyen & Jianxu Liu & Songsak Sriboonchitta & Parinya Cherdchom & Paratta Prommee, 2019. "Assessing Regional Economic Performance in the Southern Thailand Special Economic Zone Using a Vine-COPAR Model," Economies, MDPI, vol. 7(2), pages 1-10, April.
  68. Mark McGovern & David Canning & Till Bärnighausen, 2018. "Accounting for Non-Response Bias using Participation Incentives and Survey Design," CHaRMS Working Papers 18-02, Centre for HeAlth Research at the Management School (CHaRMS).
  69. Yang, Yifan & Guo, Ju’e & Li, Yi & Zhou, Jiandong, 2024. "Forecasting day-ahead electricity prices with spatial dependence," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1255-1270.
  70. Nasri, Bouchra R., 2020. "On non-central squared copulas," Statistics & Probability Letters, Elsevier, vol. 161(C).
  71. Brechmann, Eike & Czado, Claudia & Paterlini, Sandra, 2014. "Flexible dependence modeling of operational risk losses and its impact on total capital requirements," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 271-285.
  72. Beatrice D. Simo-Kengne & Kofi Agyarko Ababio & Jules Mba & Ur Koumba & Makgale Molepo, 2018. "Risk, Uncertainty and Exchange Rate Behavior in South Africa," Journal of African Business, Taylor & Francis Journals, vol. 19(2), pages 262-278, April.
  73. Cooke, R.M. & Kurowicka, D. & Wilson, K., 2015. "Sampling, conditionalizing, counting, merging, searching regular vines," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 4-18.
  74. Chiara Mussida & Luca Zanin, 2020. "I found a better job opportunity! Voluntary job mobility of employees and temporary contracts before and after the great recession in France, Italy and Spain," Empirical Economics, Springer, vol. 59(1), pages 47-98, July.
  75. Huihui Lin & N. Rao Chaganty, 2021. "Multivariate distributions of correlated binary variables generated by pair-copulas," Journal of Statistical Distributions and Applications, Springer, vol. 8(1), pages 1-14, December.
  76. Dima, Bogdan & Dima, Ştefana Maria, 2017. "Energy consumption synchronization between Europe, United States and Japan: A spectral analysis assessment," Renewable and Sustainable Energy Reviews, Elsevier, vol. 77(C), pages 1261-1271.
  77. Beatrice D. Simo-Kengne & Kofi A. Ababio & Jules Mba & Ur Koumba, 2018. "Behavioral portfolio selection and optimization: an application to international stocks," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(3), pages 311-328, August.
  78. Zhu, Junyi & Steiner, Viktor, 2020. "A Joint Top Income and Wealth Distribution," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224651, Verein für Socialpolitik / German Economic Association.
  79. Wojtyś, Magorzata & Marra, Giampiero & Radice, Rosalba, 2016. "Copula Regression Spline Sample Selection Models: The R Package SemiParSampleSel," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 71(i06).
  80. Zhikai Peng & Jinchuan Ke, 2022. "Spillover Effect of the Interaction between Fintech and the Real Economy Based on Tail Risk Dependent Structure Analysis," Sustainability, MDPI, vol. 14(13), pages 1-22, June.
  81. 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.
  82. Chemkha, Rahma & BenSaïda, Ahmed & Ghorbel, Ahmed, 2021. "Connectedness between cryptocurrencies and foreign exchange markets: Implication for risk management," Journal of Multinational Financial Management, Elsevier, vol. 59(C).
  83. Fernandez, Viviana, 2017. "Some facts on the platinum-group elements," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 333-347.
  84. Sukcharoen, Kunlapath & Leatham, David J., 2017. "Hedging downside risk of oil refineries: A vine copula approach," Energy Economics, Elsevier, vol. 66(C), pages 493-507.
  85. Homa Razmkhah & Alireza Fararouie & Amin Rostami Ravari, 2022. "Multivariate Flood Frequency Analysis Using Bivariate Copula Functions," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 36(2), pages 729-743, January.
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