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1

Pair-copula constructions of multiple dependence

Kjersti Aas, Claudia Czado, Arnoldo Frigessi, Henrik Bakken

Journal:

Insurance: Mathematics and Economics

Année:

2009

Langue:

english

Fichier:

PDF, 4.02 MB

english, 2009

2

[Lecture Notes in Statistics] Analyzing Dependent Data with Vine Copulas Volume 222 (A Practical Guide With R) || Recent Developments in Vine Copula Based Modeling

Année:

2019

Langue:

english

Fichier:

PDF, 564 KB

english, 2019

3

Zero-inflated generalized Poisson models with regression effects on the mean, dispersion and zero-inflation level applied to patent outsourcing rates

Czado, C., Erhardt, V., Min, A., Wagner, S.

Journal:

Statistical Modelling

Année:

2007

Langue:

english

Fichier:

PDF, 577 KB

english, 2007

4

A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series

Barthel, Nicole, Czado, Claudia, Okhrin, Yarema

Journal:

Computational Statistics & Data Analysis

Année:

2020

Langue:

english

Fichier:

PDF, 3.47 MB

english, 2020

5

Predictive Model Assessment for Count Data

Claudia Czado, Tilmann Gneiting, Leonhard Held

Journal:

Année:

2009

Langue:

english

Fichier:

PDF, 154 KB

english, 2009

6

D-vine copula based quantile regression

Kraus, Daniel, Czado, Claudia

Journal:

Computational Statistics & Data Analysis

Année:

2017

Langue:

english

Fichier:

PDF, 1.62 MB

english, 2017

7

Bayesian model selection for D-vine pair-copula constructions

Aleksey Min, Claudia Czado

Journal:

Canadian Journal of Statistics

Année:

2011

Langue:

english

Fichier:

PDF, 317 KB

english, 2011

8

A Bayesian linear model for the high-dimensional inverse problem of seismic tomography

Zhang, Ran, Czado, Claudia, Sigloch, Karin

Journal:

The Annals of Applied Statistics

Année:

2013

Langue:

english

Fichier:

PDF, 1.09 MB

english, 2013

9

Modelling temporal dependence of realized variances with vines

Czado, Claudia, Ivanov, Eugen, Okhrin, Yarema

Journal:

Econometrics and Statistics

Année:

2019

Langue:

english

Fichier:

PDF, 2.84 MB

english, 2019

10

Selecting and estimating regular vine copulae and application to financial returns

J. Dißmann, E.C. Brechmann, C. Czado, D. Kurowicka

Journal:

Computational Statistics & Data Analysis

Année:

2013

Langue:

english

Fichier:

PDF, 681 KB

english, 2013

11

Total loss estimation using copula-based regression models

Krämer, Nicole, Brechmann, Eike C., Silvestrini, Daniel, Czado, Claudia

Journal:

Insurance: Mathematics and Economics

Année:

2013

Langue:

english

Fichier:

PDF, 543 KB

english, 2013

12

Flexible dependence modeling of operational risk losses and its impact on total capital requirements

Brechmann, Eike, Czado, Claudia, Paterlini, Sandra

Journal:

Journal of Banking & Finance

Année:

2014

Langue:

english

Fichier:

PDF, 603 KB

english, 2014

13

Conditional copula simulation for systemic risk stress testing

Brechmann, Eike C., Hendrich, Katharina, Czado, Claudia

Journal:

Insurance: Mathematics and Economics

Année:

2013

Langue:

english

Fichier:

PDF, 575 KB

english, 2013

14

A mixed copula model for insurance claims and claim sizes

Czado, Claudia, Kastenmeier, Rainer, Brechmann, Eike Christian, Min, Aleksey

Journal:

Scandinavian Actuarial Journal

Année:

2012

Langue:

english

Fichier:

PDF, 665 KB

english, 2012

15

A survey of functional laws of the iterated logarithm for self-similar processes

Taqqu, Murad S., Czado, Claudia

Journal:

Communications in Statistics Stochastic Models

Année:

1985

Langue:

english

Fichier:

PDF, 995 KB

english, 1985

16

COPAR-multivariate time series modeling using the copula autoregressive model

Brechmann, Eike Christian, Czado, Claudia

Journal:

Applied Stochastic Models in Business and Industry

Année:

2015

Langue:

english

Fichier:

PDF, 1.38 MB

english, 2015

17

Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50

Brechmann, Eike Christain, Czado, Claudia

Journal:

Statistics & Risk Modeling

Année:

2013

Langue:

english

Fichier:

PDF, 1.08 MB

english, 2013

18

A Vine-copula Based Adaptive MCMC Sampler for Efficient Inference of Dynamical Systems

Schmidl, Daniel, Czado, Claudia, Hug, Sabine, Theis, Fabian J.

Journal:

Bayesian Analysis

Année:

2013

Langue:

english

Fichier:

PDF, 796 KB

english, 2013

19

Rejoinder

Schmidl, Daniel, Czado, Claudia, Hug, Sabine, Theis, Fabian J.

Journal:

Bayesian Analysis

Année:

2013

Langue:

english

Fichier:

PDF, 904 KB

english, 2013

20

[IEEE 2016 Power Systems Computation Conference (PSCC) - Genoa, Italy (2016.6.20-2016.6.24)] 2016 Power Systems Computation Conference (PSCC) - Spatial R-vine copula for streamflow scenario simulation

Pereira, Guilherme, Veiga, Alvaro, Erhardt, Tobias, Czado, Claudia

Année:

2016

Langue:

english

Fichier:

PDF, 720 KB

english, 2016

21

Sequential Bayesian Model Selection of Regular Vine Copulas

Gruber, Lutz, Czado, Claudia

Journal:

Bayesian Analysis

Année:

2015

Langue:

english

Fichier:

PDF, 545 KB

english, 2015

22

Flexible Dynamic Vine Copula Models for Multivariate Time Series Data

Acar, Elif F., Czado, Claudia, Lysy, Martin

Journal:

Econometrics and Statistics

Année:

2019

Fichier:

PDF, 3.02 MB

2019

23

[Lecture Notes in Statistics] Analyzing Dependent Data with Vine Copulas Volume 222 (A Practical Guide With R) ||

Année:

2019

Langue:

english

Fichier:

PDF, 8.36 MB

english, 2019

24

Nanostructured Fibers via Electrospinning

M. Bognitzki, W. Czado, T. Frese, A. Schaper, M. Hellwig, M. Steinhart, A. Greiner, J. H. Wendorff

Journal:

Advanced Materials

Année:

2001

Langue:

english

Fichier:

PDF, 509 KB

english, 2001

25

Mixed effect models for absolute log returns of ultra high frequency data

Stephan Haug, Claudia Czado

Journal:

Applied Stochastic Models in Business and Industry

Année:

2006

Langue:

english

Fichier:

PDF, 682 KB

english, 2006

26

Pair-copula constructions for non-Gaussian DAG models

Alexander Bauer, Claudia Czado, Thomas Klein

Journal:

Canadian Journal of Statistics

Année:

2012

Langue:

english

Fichier:

PDF, 529 KB

english, 2012

27

Truncated regular vines in high dimensions with application to financial data

E. C. Brechmann, C. Czado, K. Aas

Journal:

Canadian Journal of Statistics

Année:

2012

Langue:

english

Fichier:

PDF, 176 KB

english, 2012

28

The effect of link misspecification on binary regression inference

Claudia Czado, Thomas J. Santner

Journal:

Journal of Statistical Planning and Inference

Année:

1992

Langue:

english

Fichier:

PDF, 883 KB

english, 1992

29

Bayesian inference of binary regression models with parametric link

Journal:

Journal of Statistical Planning and Inference

Année:

1994

Langue:

english

Fichier:

PDF, 1.06 MB

english, 1994

30

Bayesian Poisson log-bilinear mortality projections

Claudia Czado, Antoine Delwarde, Michel Denuit

Journal:

Insurance: Mathematics and Economics

Année:

2005

Langue:

english

Fichier:

PDF, 660 KB

english, 2005

31

Application of survival analysis methods to long-term care insurance

Claudia Czado, Florian Rudolph

Journal:

Insurance: Mathematics and Economics

Année:

2002

Langue:

english

Fichier:

PDF, 262 KB

english, 2002

32

On selecting parametric link transformation families in generalized linear models

Journal:

Journal of Statistical Planning and Inference

Année:

1997

Langue:

english

Fichier:

PDF, 754 KB

english, 1997

33

Multivariate regression analysis of panel data with binary outcomes applied to unemployment data

Journal:

Statistical Papers

Année:

2000

Langue:

english

Fichier:

PDF, 1.18 MB

english, 2000

34

State space mixed models for longitudinal observations with binary and binomial responses

Claudia Czado, Peter X. -K. Song

Journal:

Statistical Papers

Année:

2008

Langue:

english

Fichier:

PDF, 543 KB

english, 2008

35

Multivariate option pricing using copulae

Carole Bernard, Claudia Czado

Journal:

Applied Stochastic Models in Business and Industry

Année:

2012

Langue:

english

Fichier:

PDF, 784 KB

english, 2012

36

SCOMDY models based on pair-copula constructions with application to exchange rates

Min, Aleksey, Czado, Claudia

Journal:

Computational Statistics & Data Analysis

Année:

2014

Langue:

english

Fichier:

PDF, 1.01 MB

english, 2014

37

Spatial modelling of claim frequency and claim size in non-life insurance

Gschlößl, Susanne, Czado, Claudia

Journal:

Scandinavian Actuarial Journal

Année:

2007

Langue:

english

Fichier:

PDF, 1.56 MB

english, 2007

38

Non nested model selection for spatial count regression models with application to health insurance

Claudia Czado, Holger Schabenberger, Vinzenz Erhardt

Journal:

Statistical Papers

Année:

2014

Langue:

english

Fichier:

PDF, 2.43 MB

english, 2014

39

Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructions

Min, A., Czado, C.

Journal:

Journal of Financial Econometrics

Année:

2010

Langue:

english

Fichier:

PDF, 1.44 MB

english, 2010

40

Nonparametric Validation of Similar Distributions and Assessment of Goodness of Fit

Axel Munk and Claudia Czado

Journal:

Journal of the Royal Statistical Society: Series B (Statistical Methodology)

Année:

1998

Langue:

english

Fichier:

PDF, 1.35 MB

english, 1998

41

Bootstrap methods for the nonparametric assessment of population bioequivalence and similarity of distributions

Czado, Claudia, Munk, Axel

Journal:

Journal of Statistical Computation and Simulation

Année:

2001

Langue:

english

Fichier:

PDF, 2.77 MB

english, 2001

42

Bayesian model selection for D-vine pair-copula constructions

Aleksey MIN and Claudia CZADO

Journal:

Canadian Journal of Statistics

Année:

2011

Langue:

english

Fichier:

PDF, 2.16 MB

english, 2011

43

Bayesian spatial modelling for high dimensional seismic inverse problems

Zhang, Ran, Czado, Claudia, Sigloch, Karin

Journal:

Journal of the Royal Statistical Society: Series C (Applied Statistics)

Année:

2016

Langue:

english

Fichier:

PDF, 5.66 MB

english, 2016

44

Modeling high-dimensional time-varying dependence using dynamic D-vine models

Almeida, Carlos, Czado, Claudia, Manner, Hans

Journal:

Applied Stochastic Models in Business and Industry

Année:

2016

Langue:

english

Fichier:

PDF, 746 KB

english, 2016

45

Predictive Model Assessment for Count Data

Claudia Czado, Tilmann Gneiting and Leonhard Held

Journal:

Année:

2009

Langue:

english

Fichier:

PDF, 1.30 MB

english, 2009

46

A periodic spatial vine copula model for multi-site streamflow simulation

Pereira, Guilherme A.A., Veiga, Álvaro, Erhardt, Tobias, Czado, Claudia

Journal:

Electric Power Systems Research

Année:

2017

Langue:

english

Fichier:

PDF, 4.46 MB

english, 2017

47

Bayesian Model Selection of Regular Vine Copulas

Gruber, Lutz F., Czado, Claudia

Journal:

Bayesian Analysis

Année:

2017

Langue:

english

Fichier:

PDF, 385 KB

english, 2017

48

Selection of sparse vine copulas in high dimensions with the Lasso

Müller, Dominik, Czado, Claudia

Journal:

Statistics and Computing

Année:

2018

Langue:

english

Fichier:

PDF, 863 KB

english, 2018

49

Stress Testing German Industry Sectors: Results from a Vine Copula Based Quantile Regression

Fischer, Matthias, Kraus, Daniel, Pfeuffer, Marius, Czado, Claudia

Journal:

Année:

2017

Langue:

english

Fichier:

PDF, 1.09 MB

english, 2017

50

Dependence modelling in ultra high dimensions with vine copulas and the Graphical Lasso

Müller, Dominik, Czado, Claudia

Journal:

Computational Statistics & Data Analysis

Année:

2019

Fichier:

PDF, 688 KB

2019