CD-vine model for capturing complex dependence

DOI10.1080/02664763.2020.1834519OpenAlexW3094782111MaRDI QIDQ5861182

Ceylan Yozgatligil, O. Ozan Evkaya, A. Sevtap Selcuk-Kestel

Publication date: 4 March 2022

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2020.1834519

zbMATH Keywords

stock market indicesmixture modelD-vineC-vineCD-vine mixture

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Related Items (1)

Editorial to the special issue: Recent statistical methods for data analysis, applied economics, business & finance

Uses Software

• R
• CDVine
• DEoptim
• Rugarch
• CopulaModel

Cites Work

• Unnamed Item
• Pair-copula constructions of multiple dependence
• Selecting and estimating regular vine copulae and application to financial returns
• Model-based clustering using copulas with applications
• Efficient Bayesian inference for stochastic time-varying copula models
• Analyzing dependent data with vine copulas. A practical guide with R
• Mixture of D-vine copulas for modeling dependence
• Vines -- a new graphical model for dependent random variables.
• Probability density decomposition for conditionally dependent random variables modeled by vines
• Modeling dependent yearly claim totals including zero claims in private health insurance
• Dependence Modeling with Copulas
• Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models
• Clustering Dependencies Via Mixtures of Copulas

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