Cited by 1,566Financial Risk and Volatility ModelingBayesian Modeling and Causal InferenceProbability and Risk Models

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Dependence Modeling with Copulas

Joe, Harry·2014·Chapman & Hall/CRC eBooks

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Abstract

Dependence Modeling with Copulas covers the substantial advances that have taken place in the field during the last 15 years, including vine copula modeling of high-dimensional data. Vine copula models are constructed from a sequence of bivariate copulas. The book develops generalizations of vine copula models, including common and structured facto

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Authors: Joe, H.
Corresponding author: Joe, Harry
ORCID: Joe, Harry
Venue: Chapman & Hall/CRC eBooks
Publisher: Chapman and Hall/CRC
Published: 2014-06-26
DOI: 10.1201/b17116
OpenAlex: W390686421
Cited by: 1,566
References: 0
Citations by year: 2026: 147 · 2025: 142 · 2024: 169 · 2023: 154 · 2022: 153 · 2021: 153 · 2020: 169 · 2019: 142 · 2018: 108 · 2017: 108 · 2016: 67 · 2015: 45 · 2014: 7
FWCI: 78.39
Type: book
Language: en
Open access: closed
Locations: Chapman & Hall/CRC eBooks (publishedVersion)
International Linear Collider (submittedVersion)
Topics: Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
Physical Sciences › Computer Science › Artificial Intelligence › Bayesian Modeling and Causal Inference
Social Sciences › Decision Sciences › Management Science and Operations Research › Probability and Risk Models
Keywords: copulas, dependence modeling, high-dimensional data, bivariate copulas, common factor model, multivariate dependence

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Dependence Modeling with Copulas

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