scispace - formally typeset
C

Claudia Czado

Researcher at Technische Universität München

Publications -  232
Citations -  9380

Claudia Czado is an academic researcher from Technische Universität München. The author has contributed to research in topics: Vine copula & Copula (linguistics). The author has an hindex of 42, co-authored 220 publications receiving 7903 citations. Previous affiliations of Claudia Czado include Ludwig Maximilian University of Munich & Katholieke Universiteit Leuven.

Papers
More filters
Journal ArticleDOI

Pair-copula constructions of multiple dependence

TL;DR: This work uses the pair-copula decomposition of a general multivariate distribution and proposes a method for performing inference, which represents the first step towards the development of an unsupervised algorithm that explores the space of possible pair-Copula models, that also can be applied to huge data sets automatically.
Posted Content

Selecting and estimating regular vine copulae and application to financial returns

TL;DR: It is shown how to evaluate the density of arbitrary regular vine specifications, which opens the vine copula methodology to the flexible modeling of complex dependencies even in larger dimensions.
Journal ArticleDOI

Selecting and estimating regular vine copulae and application to financial returns

TL;DR: In this article, a comprehensive search strategy is evaluated in a large simulation study and applied to a 16-dimensional financial data set of international equity, fixed income and commodity indices which were observed over the last decade, in particular during the recent financial crisis.
Journal ArticleDOI

Predictive model assessment for count data.

TL;DR: Proposals include a nonrandomized version of the probability integral transform, marginal calibration diagrams, and proper scoring rules, such as the predictive deviance, for the evaluation of probabilistic forecasts and the critique of statistical models for count data.
Book ChapterDOI

Pair-Copula Constructions of Multivariate Copulas

TL;DR: This survey introduces and discusses the pair-copula construction method to build flexible multivariate distributions, which includes drawable, canonical and regular vines and can be applied to model complex dependencies.