In this talk I will give a short introduction to vine copula models and then showcase three recent applications involving financial data. The applications are contained in the references given below. This is joint work with H. Fink, Y. Klimova, J. Stöber, T. Nagler, C. Bumann and A. Kreuzer.
- Fink, H., Klimova, Y., Czado, C., and Stöber, J. (2017). Regime switching vine copula models for global equity and volatility indices. Econometrics, 5(1), 3.
- Kreuzer, A. and Czado, C (2019). Bayesian inference for dynamic vine copulas. preprint.
- Nagler, T., Bumann, C., and Czado, C. (2019). Model selection in sparse high-dimensional vine copula models with an application to portfolio risk. Journal of Multivariate Analysis, 172, 180-192