4th Workshop on Vine Copula Distributions and Applications

May 11-12, 2011 

Technische Universität München

 Vine Pair Copula Constructions provide a novel and flexible framework for constructing multivariate models. They have been shown to be highly competitive in a variety of applications including networks, insurance and finance. The purpose of this workshop is to review significant recent advances in vine modeling, to discuss the wide variety of interesting open questions in this area, and to provide a platform for future collaboration on this exciting and fast-growing research topic. This workshop is the continuation of a series of workshops in Delft 2007/2008 and Oslo 2009. Help us spread the word on the workshop by printing out our poster and displaying at your institution.

Results from the first three workshops have been published in D. Kurowicka and H. Joe (Eds.), DEPENDENCE MODELING: Vine Copula Handbook. World Scientific Publishing Co.

The full workshop program can be accessed here: Program of the 4th Workshop on Vine Copula Distributions and Applications
The R-package "CDVine: Statistical inference of C- and D-vine copulas" can be found here: http://cran.r-project.org/web/packages/CDVine/.
There will be a short course on Copulae calibration in theory and practise, Kraków, Poland, 9th July 2012. 


Talks will be held over both days, while the poster session will take place after dinner on the evening of the 11th May. The followed invited speakers have already confirmed they will be attending the workshop. 

  •  Kjersti Aas (Oslo) 
  • Roger Cooke (Delft) 
  • Claudia Czado (Munich) 
  • Dorota Kurowicka (Delft) 
  • Harry Joe (Vancouver) 
  • Michael Smith (Melbourne) 
  • Peter Song (Ann Arbor) 

The full workshop program can be accessed here: Program of the 4th Workshop on Vine Copula Distributions and Applications.
Also, a list of the poster presenters and titles can be accessed here: List of posters.


An introductory talk was given by Claudia Czado. A file with all presentation slides can be accessed here: *.tar.gz*.zip.


Social Gathering
We will be hosting an social gathering on the evening of the 10th May at 19:00 at the Buergerhaus in Garching.  This will be an 'informal' get together before the conference begins and the cost of the dinner will not be covered by registration fees. 

The following is a non-exhaustive but comprehensive list of key references on vine pair copula constructions. These reading materials provide background and context to many of the concepts and new research ideas that will be presented at the workshop and have been provided for the attendees convenience.

Aas, K., C. Czado, A. Frigessi, and H. Bakken (2009). Pair-copula constructions of multiple dependence. Insurance: Mathematics and Economics 44 (2), 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. and K. Aas (2009). Models for construction of higher-dimensional dependence: A comparison study. European Journal of Finance 15, 639-659.

Czado, C. (2010). Pair-copula constructions of multivariate copulas. In P. Jaworski, F. Durante, W. Härdle, and T. Rychlik (Eds.), Copula Theory and Its Applications. Berlin: Springer.

Fischer M., C. Köck, S. Schlüter, and F. Weigert (2009). An empirical analysis of multivariate copula model. Quantitative Finance 7, 839-854.

Hanea, A., D. Kurowicka, and R. Cooke (2006). Hybrid method for quantifying and analyzing Bayesian belief networks. Quality and Realiability Engineering 22 (6), 709–729.

Hobaek Haff, I., K. Aas, and A. Frigessi (2010). On the simplified pair-copula construction - simply useful or too simplistic? Journal of Multivariate Analysis 101 (5), 1296-1310.

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 (Eds.), Distributions with fixed marginals and related topics, pp. 120-141. Hayward: Institute of Mathematical Statistics.

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

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

Kurowicka, D. and H. Joe (Eds.) (2011). DEPENDENCE MODELING: Vine Copula Handbook. Singapore: World Scientific Publishing Co.

Min, A. and C. Czado (2010). Bayesian inference for multivariate copulas using pair-copula constructions. Journal of Financial Econometrics 8 (4), 511-546.

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


The organising committee for the workshop is made up of

  • Claudia Czado,
  • Thomas Klein,
  • Alexander Bauer,
  • Eike Brechmann,
  • Anastasios Panagiotelis.

We would also like to express many thanks to Christine Kley and Christina Steinkohl for their significant assistance. Please make enquires by e-mail at the following address: vines@ma.tum.de.