Books/Fundamental Papers/Surveys

Wikipedia page for vine copulas
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Aas, K. (2016)
Pair-copula constructions for financial applications: A review
Econometrics (4), 43.
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Czado, C. and Nagler, T. (2022)
Vine Copula Based Modeling
Annual Review of Statistics and Its Application, 9, 453-477
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Czado C. (2019)
Analyzing Dependent Data with Vine Copulas
Springer International Publishing
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- R code of the book
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Joe, H. (2014).
Dependence Modeling with Copulas.
Chapman & Hall/CRC.
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Dißmann, J., Brechmann, E.C., Czado, C. and Kurowicka, D.
Selecting and estimating regular vine copulae and application to financial returns.
Computational Statistics & Data Analysis, 59, 52 - 69.
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Aas, K., C. Czado, A. Frigessi, and H. Bakken (2009).
Pair-copula constructions of multiple dependence
Insurance: Mathematics and Economics 44 (2), 182-198.
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Berg, D. and K. Aas (2009).
Models for construction of higher-dimensional dependence: A comparison study
European Journal of Finance 15, 639-659.
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Bedford, T. and R. M. Cooke (2002).
Vines - a new graphical model for dependent random variables.
Annals of Statistics 30, 1031-1068.
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Joe, H. (1996).
Families of m-variate distributions with given margins and m(m-1)/2 bivariate dependence parameters.
In L. Rüschendorf and B. Schweizer and M. D. Taylor (Ed.), Distributions with Fixed Marginals and Related Topics.
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Meeuwissen, A. M. H. and R. M. Cooke (1994).
Tree dependent random variables
Reports of the Faculty of Technical Mathematics and Informatics, TU Delft, no. 94-28.
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Czado, C., E.C. Brechmann and L. Gruber (2013)
Selection of Vine Copulas
In P. Jaworski, F. Durante and W. K. Härdle (Eds.), Copula in Mathematical and Quantitative Finance: Proceedings of the Workshop Held in Cracow, 10-11 July 2012, Springer.
Lecture Notes in Statistics, 213
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