Beare, Brendan K.; Seo, Juwon - In: Journal of Time Series Analysis 36 (2015) 2, pp. 228-246
type="main" xml:id="jtsa12103-abs-0001"Vine copulae provide a graphical framework in which multiple bivariate copulae may be combined in a consistent fashion to yield a more complex multivariate copula. In this article, we discuss the use of vine copulae to build flexible semiparametric models...