References 

Aas, K., Czado, C., Frigessi, A., and Bakken, H. (2009) Pair-copula constructions of multiple dependence. Insurance, Mathematics and Economics, 44, 182-198.

Bedford, T. and R.M. Cooke (2001) Probability density decomposition for conditionally dependent random variables modeled by vines, Annals of Mathematics and Artificial Intelligence 32, 245-268.

Bedford, T. and R.M. Cooke (2002) Vines - a new graphical model for dependent random variables, Annals of Statistics 30, 1031-1068.

Berg, D. (2009) Copula goodness-of- fit testing: An overview and power comparison. European Journal of Finance, 15, 675-701.

Berg, D. and Aas, K. (2009) Models for construction of higher-dimensional dependence: A comparison study. European Journal of Finance, 15, 639-659.

Brechmann, E.C., C. Czado, and K. Aas (2012) Truncated regular vines and their applications. Canadian Journal of Statistics 40(1), 68-85.

Brechmann, E.C., and U. Schepsmeier, (2012) Modeling dependence with C- and D-vine copulas. The R-package CDVine, http://cran.rproject.org/web/packages/CDVine/vignettes/CDVine-package.pdf.

Brechmann, E.C., and C. Czado (2012) COPAR - multivariate time-series modelling using the COPula AutoRegressive model, Working Paper, Faculty of Mathematics, Technical University of Munich.

Chollete, L., Heinen, A., and Valdesogo, A. (2009) Modeling international nancial returns with a multivariate regime switching copula. Journal of Financial Econometrics, 7, 437-480.

Cooke, R.M., H. Joe and K. Aas, (2011) Vines Arise, chapter 3 in DEPENDENCE MODELING Vine Copula Handbook, Ed. D. Kurowicka and H. Joe, World Scienti c Publishing Co, Singapore.

Czado, C., U. Schepsmeier, and A. Min (2011) Maximum likelihood estimation of mixed C-vines with application to exchange rates. To appear in Statistical Modelling.

Dimann, J., E.C. Brechmann, C. Czado, and D. Kurowicka (2012) Selecting and estimating regular vine copulae and application to financial returns, Submitted preprint. http://arxiv.org/abs/1202.2002.

Dissman, J.F. (2010) Statistical Inference for Regular Vines and Application, Thesis, Technische Universitat Munchen, Zentrum Mathematik.

Heinen, A. and A. Valdesogo (2009) Asymmetric CAPM dependence for large dimensions: The canonical vine autoregressive model. CORE discussion papers 2009069, Universite catholique de Louvain, Center for Operations Research and Econometrics (CORE).

Joe, H. (1996) Families of m-variate distributions with given margins and m(m- 1)/2 bivariate dependence parameters. In L.
Rüschendorf , B. Schweizer and M. D. Taylor, editor, Distributions with Fixed Marginals and Related Topics.

Joe, H. (1997) Multivariate Models and Dependence Concepts.Chapman & Hall, London.

Joe, H., Li, H., and Nikoloulopoulos, A. (2010) Tail dependence functions and vine copulas. Journal of Multivariate Analysis, 101(1), 252-270.

Kullback, S. and Leibler, R.A. (1951) On information and sufficiency. Annals of Mathematical Statistics, 22(1), 79-86.

Kurowicka, D. (2011) Optimal truncation of vines, In D. Kurowicka and H. Joe (Eds.), Dependence Modeling: Handbook on Vine Copulae.
Singapore: World Scientific Publishing Co.

Kurowicka D. and Cooke R.M. (2003) A parametrization of positive definite matrices in terms of partial correlation vines, Linear Algebra and its Applications, 372, 225-251.

Kurowicka, D. and R.M. Cooke, (2006) Uncertainty Analysis with High Dimensional Dependence Modelling. Chichester: John Wiley.

Mendes, B. V.d.M., M.M. Semeraro, and R.P.C. Leal (2010) Pair-copulas modeling in finance. Financial Markets and Portfolio Management 24(2), 193-213.

Min, A. and Czado, C. (2010) Bayesian inference for multivariate copulas using pair-copula constructions. Accepted for publication in Journal of Financial Econometrics.

Morales-N´apoles, O., R. Cooke, and D. Kurowicka (2009) About the number of vines and regular vines on n nodes, Submitted to Linear Algebra and its Applications.

Nelsen, R. (2006). An Introduction to Copulas. Springer, New York, 2nd edition.

Patton, A.J., (2009) Copula based models for financial time series. In: Handbook of Financial Time Series. pp. 767-785 

Prim, R.C. (1957) Shortest connection networks and some generalizations. Bell System Technical Journal, 36, 1389-1401.

Schirmacher, D. and Schirmacher, E. (2008) Multivariate dependence modeling using pair-copulas. Technical report, Society of

Acturaries: 2008 Enterprise Risk Management Symposium, April 14-16, Chicago. Available from: 
http://www.soa.org/library/monographs/other-monographs/2008/april/2008-ermtoc. aspx .

Sklar, A. (1959) Fonctions de repartition a n dimensions et leurs marges, Publications de l'Institut de Statistique de L'Universite de Paris 8, 229-231.

Smith, M., Min, A., Czado, C., and Almeida, C. (2010) Modeling longitudinal data using a pair-copula decomposition of serial dependence. Under revision for Journal of the American Statistical Association.

Vuong, Q.H. (1989) Likelihood ratio tests for model selection and non-nested hypotheses . Econometrica, 57, 307-333.