Hobæk Haff, Ingrid; Segers, Johan - In: Computational Statistics & Data Analysis 84 (2015) C, pp. 1-13
A pair-copula construction is a decomposition of a multivariate copula into a structured system, called regular vine, of bivariate copulae or pair-copulae. The standard practice is to model these pair-copulae parametrically, inducing a model risk, with errors potentially propagating throughout...