Books/Fundamental Papers/Surveys

Overview of vine copulas 

  • Wikipedia page for vine copulas
  • Aas, K. (2016)
    Pair-copula constructions for financial applications: A review
    Econometrics (4), 43.

Main concepts in vine copulas

  • Czado, C. and Nagler, T. (2022)
    Vine Copula Based Modeling
    Annual Review of Statistics and Its Application, 9, 453-477
    [link ]
  • Czado C. (2019)
    Analyzing Dependent Data with Vine Copulas
    Springer International Publishing
    • R code of the book 
  • Joe, H. (2014).
    Dependence Modeling with Copulas.
    Chapman & Hall/CRC. 

Basic and important parts of vine copula models

  • 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.
  • Aas, K., C. Czado, A. Frigessi, and H. Bakken (2009).
    Pair-copula constructions of multiple dependence
    Insurance: Mathematics and Economics 44 (2), 182-198. 
  • Berg, D. and K. Aas (2009). 
    Models for construction of higher-dimensional dependence: A comparison study
    European Journal of Finance 15, 639-659. 
  • Bedford, T. and R. M. Cooke (2002). 
    Vines - a new graphical model for dependent random variables.
    Annals of Statistics 30, 1031-1068.
  • 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.
  • 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. 

Fundamental estimation and selection tasks in a parametric vine copula model

  • 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