Latest Publications

  • Czado C. (2019)
    Analyzing Dependent Data with Vine Copulas
    Springer International Publishing  [link]
  • Zhu, K., Kurowicka, D. and Nane, G. F. (2020)
    Common sampling orders of regular vines with application to model selection
    Computational Statistics & Data Analysis [link]
  • Chang, B. and Joe, H. (2019)
    Prediction based on conditional distributions of vine copulas
    Computational Statistics & Data Analysis [link]
  • Carrera, D., Bandeira, L., Santana, R. and Lozano, J. A. (2019)
    Detection of sand dunes on Mars using a regular vine-based classification approach
    Knowledge-Based Systems [link]
  • Torre, E., Marelli, S., Embrechts, P. and Sudret, B. (2019)
    A general framework for data-driven uncertainty quantification under complex input dependencies using vine copulas
    Probabilistic Engineering Mechanics [link]
  • Chang, B., Pan, S. and Joe, H. (2019)
    Vine copula structure learning via Monte Carlo tree search
    Proceedings of Machine Learning Research [link]
  • Kreuzer, A. and Czado, C. (2019)
    Bayesian inference for dynamic vine copulas in higher dimensions
    [preprint]
  • Kreuzer, A., Dalla Valle, L. and Czado, C. (2019)
    Bayesian Multivariate Nonlinear State Space Copula Models
    [preprint]
  • Acar, E. F., Czado, C. and Lysy, M. (2019)
    Flexible Dynamic Vine Copula Models for Multivariate Time Series Data
    Econometrics and Statistics [link]
  • Czado, C., Ivanov, E. and Okhrin, Y. (2019)
    Modelling temporal dependence of realized variances with vines
    Econometrics and Statistics [link]
  • Kreuzer, A., Dalla Valle, L. and Czado, C. (2019)
    A Bayesian Non-linear State Space Copula Model to Predict Air Pollution in Beijing
    [preprint]
  • Kreuzer, A. and Czado, C. (2019)
    Efficient Bayesian inference for univariate and multivariate non linear state space models with univariate autoregressive state equation
    [preprint]

Workshops and Conferences

News

  • The book "Analyzing Dependent Data with Vine Copulas" by Claudia Czado has been published: see [link]
  • An Interview with Claudia Czado: see [link]

Disclaimer

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.