Research output per year
Research output per year
Search results
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2025
Vine copula based structural equation models
Czado, C., Mar 2025, In: Computational Statistics and Data Analysis. 203, 108076.Research output: Contribution to journal › Article › peer-review
Open Access -
2024
D-Vine-Based Correction of Physics-Based Model Output for the Identification of Risky Flights With Respect to Runway Overruns
Alnasser, H., Pfahler, M., Hanebeck, A., Beller, L. & Czado, C., 2024, In: IEEE Access. 12, p. 129173-129186 14 p.Research output: Contribution to journal › Article › peer-review
Open Access -
High-dimensional sparse vine copula regression with application to genomic prediction
Sahin, Ö. & Czado, C., Mar 2024, In: Biometrics. 80, 1, ujad042.Research output: Contribution to journal › Article › peer-review
Open Access4 Scopus citations -
Modeling Interactions Within French Dairy-Cattle Systems Using R-Vines
Ouachene, N., Czado, C., Corson, M. S. & Kiessé, T. S., 2024, (Accepted/In press) In: Journal of Agricultural, Biological, and Environmental Statistics.Research output: Contribution to journal › Article › peer-review
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On the Observability of General Nonlinear Gaussian State Space Models Using Discrete Distributional Approximations
Hanebeck, A. & Czado, C., Dec 2024, In: Journal of Advances in Information Fusion. 19, 2, p. 57-71 15 p.Research output: Contribution to journal › Article › peer-review
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2023
Bayesian multivariate nonlinear state space copula models
Kreuzer, A., Dalla Valle, L. & Czado, C., Dec 2023, In: Computational Statistics and Data Analysis. 188, 107820.Research output: Contribution to journal › Article › peer-review
Open Access4 Scopus citations -
Dependent censoring based on parametric copulas
Czado, C. & van Keilegom, I., 1 Sep 2023, In: Biometrika. 110, 3, p. 721-738 18 p.Research output: Contribution to journal › Article › peer-review
Open Access15 Scopus citations -
ESG, risk, and (tail) dependence
Bax, K., Sahin, Ö., Czado, C. & Paterlini, S., May 2023, In: International Review of Financial Analysis. 87, 102513.Research output: Contribution to journal › Article › peer-review
Open Access28 Scopus citations -
The pitfalls of (non-definitive) Environmental, Social, and Governance scoring methodology
Sahin, Ö., Bax, K., Paterlini, S. & Czado, C., May 2023, In: Global Finance Journal. 56, 100780.Research output: Contribution to journal › Article › peer-review
14 Scopus citations -
Vine copula-based Bayesian classification for multivariate time series of electroencephalography eye states
Zhang, C. & Czado, C., Aug 2023, In: Journal of the Royal Statistical Society. Series C: Applied Statistics. 72, 4, p. 992-1022 31 p.Research output: Contribution to journal › Article › peer-review
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Vine Copula based Portfolio Level Conditional Risk Measure Forecasting
Sommer, E., Bax, K. & Czado, C., 2023, (Accepted/In press) In: Econometrics and Statistics.Research output: Contribution to journal › Article › peer-review
Open Access1 Scopus citations -
2022
A Bayesian non-linear state space copula model for air pollution in Beijing
Kreuzer, A., Dalla Valle, L. & Czado, C., Jun 2022, In: Journal of the Royal Statistical Society. Series C: Applied Statistics. 71, 3, p. 613-638 26 p.Research output: Contribution to journal › Article › peer-review
Open Access9 Scopus citations -
Environmental, Social, Governance scores and the Missing pillar—Why does missing information matter?
Sahin, Ö., Bax, K., Czado, C. & Paterlini, S., Sep 2022, In: Corporate Social Responsibility and Environmental Management. 29, 5, p. 1782-1798 17 p.Research output: Contribution to journal › Article › peer-review
Open Access26 Scopus citations -
Nonparametric C- and D-vine-based quantile regression
Tepegjozova, M., Zhou, J., Claeskens, G. & Czado, C., 1 Jan 2022, In: Dependence Modeling. 10, 1, p. 1-21 21 p.Research output: Contribution to journal › Article › peer-review
Open Access9 Scopus citations -
Two-part D-vine copula models for longitudinal insurance claim data
Yang, L. & Czado, C., Dec 2022, In: Scandinavian Journal of Statistics. 49, 4, p. 1534-1561 28 p.Research output: Contribution to journal › Article › peer-review
3 Scopus citations -
Vine copula mixture models and clustering for non-Gaussian data
Sahin, Ö. & Czado, C., Apr 2022, In: Econometrics and Statistics. 22, p. 136-158 23 p.Research output: Contribution to journal › Article › peer-review
Open Access11 Scopus citations -
2021
Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo
Kreuzer, A. & Czado, C., Jul 2021, In: Econometrics and Statistics. 19, p. 130-150 21 p.Research output: Contribution to journal › Article › peer-review
Open Access7 Scopus citations -
2020
A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
Barthel, N., Czado, C. & Okhrin, Y., Feb 2020, In: Computational Statistics and Data Analysis. 142, 106810.Research output: Contribution to journal › Article › peer-review
Open Access3 Scopus citations -
Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation
Kreuzer, A. & Czado, C., 2 Jul 2020, In: Journal of Computational and Graphical Statistics. 29, 3, p. 523-534 12 p.Research output: Contribution to journal › Article › peer-review
Open Access6 Scopus citations -
Modeling of stochastic wind based on operational flight data using karhunen–loève expansion method
Wang, X., Beller, L., Czado, C. & Holzapfel, F., 2 Aug 2020, In: Sensors (Switzerland). 20, 16, p. 1-19 19 p., 4634.Research output: Contribution to journal › Article › peer-review
Open Access2 Scopus citations -
2019
A statistical simulation method for joint time series of non-stationary hourly wave parameters
Jäger, W. S., Nagler, T., Czado, C. & McCall, R. T., Apr 2019, In: Coastal Engineering. 146, p. 14-31 18 p.Research output: Contribution to journal › Article › peer-review
Open Access23 Scopus citations -
Dependence modeling for recurrent event times subject to right-censoring with D-vine copulas
Barthel, N., Geerdens, C., Czado, C. & Janssen, P., 2019, In: Biometrics. 75, 2, p. 439-451 13 p.Research output: Contribution to journal › Article › peer-review
Open Access10 Scopus citations -
Dependence modelling in ultra high dimensions with vine copulas and the Graphical Lasso
Müller, D. & Czado, C., Sep 2019, In: Computational Statistics and Data Analysis. 137, p. 211-232 22 p.Research output: Contribution to journal › Article › peer-review
13 Scopus citations -
Flexible dynamic vine copula models for multivariate time series data
Acar, E. F., Czado, C. & Lysy, M., Oct 2019, In: Econometrics and Statistics. 12, p. 181-197 17 p.Research output: Contribution to journal › Article › peer-review
23 Scopus citations -
Modelling temporal dependence of realized variances with vines
Czado, C., Ivanov, E. & Okhrin, Y., Oct 2019, In: Econometrics and Statistics. 12, p. 198-216 19 p.Research output: Contribution to journal › Article › peer-review
4 Scopus citations -
Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
Nagler, T., Bumann, C. & Czado, C., Jul 2019, In: Journal of Multivariate Analysis. 172, p. 180-192 13 p.Research output: Contribution to journal › Article › peer-review
Open Access47 Scopus citations -
Selection of sparse vine copulas in high dimensions with the Lasso
Müller, D. & Czado, C., 15 Mar 2019, In: Statistics and Computing. 29, 2, p. 269-287 19 p.Research output: Contribution to journal › Article › peer-review
10 Scopus citations -
2018
A D-vine copula-based model for repeated measurements extending linear mixed models with homogeneous correlation structure
Killiches, M. & Czado, C., Sep 2018, In: Biometrics. 74, 3, p. 997-1005 9 p.Research output: Contribution to journal › Article › peer-review
Open Access9 Scopus citations -
Bayesian model selection of regular vine copulas
Gruber, L. F. & Czado, C., 2018, In: Bayesian Analysis. 13, 4, p. 1107-1131 25 p.Research output: Contribution to journal › Article › peer-review
Open Access19 Scopus citations -
Model distances for vine copulas in high dimensions
Killiches, M., Kraus, D. & Czado, C., 1 Mar 2018, In: Statistics and Computing. 28, 2, p. 323-341 19 p.Research output: Contribution to journal › Article › peer-review
Open Access5 Scopus citations -
Representing Sparse Gaussian DAGs as Sparse R-Vines Allowing for Non-Gaussian Dependence
Müller, D. & Czado, C., 3 Apr 2018, In: Journal of Computational and Graphical Statistics. 27, 2, p. 334-344 11 p.Research output: Contribution to journal › Article › peer-review
Open Access12 Scopus citations -
Standardized drought indices: a novel univariate and multivariate approach
Erhardt, T. M. & Czado, C., Apr 2018, In: Journal of the Royal Statistical Society. Series C: Applied Statistics. 67, 3, p. 643-664 22 p.Research output: Contribution to journal › Article › peer-review
Open Access41 Scopus citations -
Vine copula based likelihood estimation of dependence patterns in multivariate event time data
Barthel, N., Geerdens, C., Killiches, M., Janssen, P. & Czado, C., Jan 2018, In: Computational Statistics and Data Analysis. 117, p. 109-127 19 p.Research output: Contribution to journal › Article › peer-review
Open Access12 Scopus citations -
2017
A periodic spatial vine copula model for multi-site streamflow simulation
Pereira, G. A. A., Veiga, Á., Erhardt, T. & Czado, C., Nov 2017, In: Electric Power Systems Research. 152, p. 9-17 9 p.Research output: Contribution to journal › Article › peer-review
15 Scopus citations -
Bayesian inference for latent factor copulas and application to financial risk forecasting
Schamberger, B., Gruber, L. F. & Czado, C., Jun 2017, In: Econometrics. 5, 2, 21.Research output: Contribution to journal › Article › peer-review
Open Access12 Scopus citations -
D-vine copula based quantile regression
Kraus, D. & Czado, C., 1 Jun 2017, In: Computational Statistics and Data Analysis. 110, p. 1-18 18 p.Research output: Contribution to journal › Article › peer-review
Open Access117 Scopus citations -
Examination and visualisation of the simplifying assumption for vine copulas in three dimensions
Killiches, M., Kraus, D. & Czado, C., 1 Mar 2017, In: Australian and New Zealand Journal of Statistics. 59, 1, p. 95-117 23 p.Research output: Contribution to journal › Article › peer-review
Open Access27 Scopus citations -
Model selection for discrete regular vine copulas
Panagiotelis, A., Czado, C., Joe, H. & Stöber, J., 1 Feb 2017, In: Computational Statistics and Data Analysis. 106, p. 138-152 15 p.Research output: Contribution to journal › Article › peer-review
33 Scopus citations -
Nonparametric estimation of simplified vine copula models: Comparison of methods
Nagler, T., Schellhase, C. & Czado, C., 2017, In: Dependence Modeling. 5, 1, p. 99-120 22 p.Research output: Contribution to journal › Article › peer-review
Open Access37 Scopus citations -
Regime switching vine copula models for global equity and volatility indices
Fink, H., Klimova, Y., Czado, C. & Stöber, J., Mar 2017, In: Econometrics. 5, 1, 3.Research output: Contribution to journal › Article › peer-review
Open Access39 Scopus citations -
Stress testing german industry sectors: Results from a vine copula based quantile regression
Fischer, M., Kraus, D., Pfeuffer, M. & Czado, C., Sep 2017, In: Risks. 5, 3, 38.Research output: Contribution to journal › Article › peer-review
Open Access7 Scopus citations -
2016
Bayesian spatial modelling for high dimensional seismic inverse problems
Zhang, R., Czado, C. & Sigloch, K., 1 Feb 2016, In: Journal of the Royal Statistical Society. Series C: Applied Statistics. 65, 2, p. 187-213 27 p.Research output: Contribution to journal › Article › peer-review
Open Access6 Scopus citations -
Dependence modelling with regular vine copula models: A case-study for car crash simulation data
Schepsmeier, U. & Czado, C., 1 Apr 2016, In: Journal of the Royal Statistical Society. Series C: Applied Statistics. 65, 3, p. 415-429 15 p.Research output: Contribution to journal › Article › peer-review
Open Access9 Scopus citations -
Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas
Nagler, T. & Czado, C., 1 Oct 2016, In: Journal of Multivariate Analysis. 151, p. 69-89 21 p.Research output: Contribution to journal › Article › peer-review
Open Access112 Scopus citations -
Modeling high-dimensional time-varying dependence using dynamic D-vine models
Almeida, C., Czado, C. & Manner, H., 1 Sep 2016, In: Applied Stochastic Models in Business and Industry. 32, 5, p. 621-638 18 p.Research output: Contribution to journal › Article › peer-review
35 Scopus citations -
Pair-Copula Bayesian Networks
Bauer, A. & Czado, C., 1 Oct 2016, In: Journal of Computational and Graphical Statistics. 25, 4, p. 1248-1271 24 p.Research output: Contribution to journal › Article › peer-review
Open Access23 Scopus citations -
2015
Bayesian total loss estimation using shared random effects
Baumgartner, C., Gruber, L. F. & Czado, C., 1 May 2015, In: Insurance: Mathematics and Economics. 62, p. 194-201 8 p.Research output: Contribution to journal › Article › peer-review
12 Scopus citations -
Comorbidity of chronic diseases in the elderly: Patterns identified by a copula design for mixed responses
Stöber, J., Hong, H. G., Czado, C. & Ghosh, P., Aug 2015, In: Computational Statistics and Data Analysis. 88, p. 28-39 12 p.Research output: Contribution to journal › Article › peer-review
36 Scopus citations -
Conditional quantiles and tail dependence
Bernard, C. & Czado, C., 1 Jun 2015, In: Journal of Multivariate Analysis. 138, p. 104-126 23 p.Research output: Contribution to journal › Article › peer-review
Open Access51 Scopus citations -
COPAR - Multivariate time series modeling using the copula autoregressive model
Brechmann, E. C. & Czado, C., 1 Jul 2015, In: Applied Stochastic Models in Business and Industry. 31, 4, p. 495-514 20 p.Research output: Contribution to journal › Article › peer-review
Open Access55 Scopus citations