Latest Publications

  • Kreuzer, A., & Czado, C. (2019)
    Bayesian inference for dynamic vine copulas in higher dimensions
  • Kreuzer, A., Dalla Valle, L., & Czado, C. (2019)
    Bayesian Multivariate Nonlinear State Space Copula Models
  • Acar, E. F., Czado, C., & Lysy, M. (2019)
    Flexible Dynamic Vine Copula Models for Multivariate Time Series Data
    Econometrics and Statistics [link]
  • Czado, C., Ivanov, E., & Okhrin, Y. (2019)
    Modelling temporal dependence of realized variances with vines
    Econometrics and Statistics [link]
  • Kreuzer, A., Dalla Valle, L., & Czado, C. (2019)
    A Bayesian Non-linear State Space Copula Model to Predict Air Pollution in Beijing
  • Kreuzer, A., & Czado, C. (2019)
    Efficient Bayesian inference for univariate and multivariate non linear state space models with univariate autoregressive state equation
  • Barthel, N., Geerdens. C., Czado, C., and Janssen, P. (2018)
    Dependence modeling for recurrent event times subject to right-censoring with D-vine copulas
  • Barthel, N., Czado, C., and Okhrin, Y. (2018)
    A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
  • Kreuzer A., Czado C. (2018)
    Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo
  • Stübinger, J., Mangold, B., Krauss, C. (2018)
    Statistical arbitrage with vine copulas
    Quantitative Finance (published online) [link] [preprint]
  • Wilson, K. J. (2018)
    Specification of Informative Prior Distributions for Multinomial Models Using Vine Copulas
    Bayesian Analysis [link]
  • Nagler, T., Vatter, T. (2018)
    Solving estimating equations with copulas
    arXiv:1801.10576 [preprint]
  • Hincks, T., Aspinall, W., Cooke, R., Gernon, T. (2018)
    Oklahoma’s induced seismicity strongly linked to wastewater injection depth.
    Science, 10.1126/science.aap7911
  • Nagler, T., Bumann, C., Czado, C. (2018)
    Model selection in sparse high-dimensional vine copula models with application to portfolio risk.

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This page provides an extensive overview of research on vine copula models.
Please note that all manuscript files are for private use only and may not be distributed without permission of the respective copyright owners.