May 11-12, 2011
Technische Universität München
Vine Pair Copula Constructions provide a novel and flexible framework for constructing multivariate models. They have been shown to be highly competitive in a variety of applications including networks, insurance and finance. The purpose of this workshop is to review significant recent advances in vine modeling, to discuss the wide variety of interesting open questions in this area, and to provide a platform for future collaboration on this exciting and fast-growing research topic. This workshop is the continuation of a series of workshops in Delft 2007/2008 and Oslo 2009. Help us spread the word on the workshop by printing out our poster and displaying at your institution.
Results from the first three workshops have been published in D. Kurowicka and H. Joe (Eds.), DEPENDENCE MODELING: Vine Copula Handbook. World Scientific Publishing Co.
The full workshop program can be accessed here: Program of the 4th Workshop on Vine Copula Distributions and Applications.
The R-package "CDVine: Statistical inference of C- and D-vine copulas" can be found here: http://cran.r-project.org/web/packages/CDVine/.
There will be a short course on Copulae calibration in theory and practise, Kraków, Poland, 9th July 2012.