Generalized Additive Models for Pair-Copula Constructions
Work
Year: 2018
Type: article
Abstract: Pair-copula constructions are flexible dependence models that use bivariate copulas as building blocks. In this article, we extend them with generalized additive models to allow covariates effects. Bo... more
Authors Thibault Vatter, Thomas Nagler
Institutions Columbia University, Technical University of Munich
Cites: 62
Cited by: 31
Related to: 10
FWCI: 4.939
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Partnerships for the goals
Open Access status: green