{"id":"https://openalex.org/W2962860740","doi":"https://doi.org/10.1016/j.jmva.2019.03.004","title":"Model selection in sparse high-dimensional vine copula models with an application to portfolio risk","display_name":"Model selection in sparse high-dimensional vine copula models with an application to portfolio risk","publication_year":2019,"publication_date":"2019-03-19","ids":{"openalex":"https://openalex.org/W2962860740","doi":"https://doi.org/10.1016/j.jmva.2019.03.004","mag":"2962860740"},"language":"en","primary_location":{"is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.jmva.2019.03.004","pdf_url":null,"source":{"id":"https://openalex.org/S133905466","display_name":"Journal of Multivariate Analysis","issn_l":"0047-259X","issn":["0047-259X","1095-7243"],"is_oa":false,"is_in_doaj":false,"is_indexed_in_scopus":true,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":"publisher-specific-oa","license_id":"https://openalex.org/licenses/publisher-specific-oa","version":"publishedVersion","is_accepted":true,"is_published":true},"type":"article","type_crossref":"journal-article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://doi.org/10.1016/j.jmva.2019.03.004","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5039022036","display_name":"Thomas Nagler","orcid":"https://orcid.org/0000-0003-1855-0046"},"institutions":[{"id":"https://openalex.org/I62916508","display_name":"Technical University of Munich","ror":"https://ror.org/02kkvpp62","country_code":"DE","type":"funder","lineage":["https://openalex.org/I62916508"]}],"countries":["DE"],"is_corresponding":true,"raw_author_name":"T. Nagler","raw_affiliation_strings":["Fakult\u00e4t f\u00fcr Mathematik, Technische Universit\u00e4t M\u00fcnchen, Boltzmanstra\u00dfe 3, 85748 Garching, Germany"],"affiliations":[{"raw_affiliation_string":"Fakult\u00e4t f\u00fcr Mathematik, Technische Universit\u00e4t M\u00fcnchen, Boltzmanstra\u00dfe 3, 85748 Garching, Germany","institution_ids":["https://openalex.org/I62916508"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5073666327","display_name":"Christian Bumann","orcid":null},"institutions":[{"id":"https://openalex.org/I62916508","display_name":"Technical University of Munich","ror":"https://ror.org/02kkvpp62","country_code":"DE","type":"funder","lineage":["https://openalex.org/I62916508"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"C. Bumann","raw_affiliation_strings":["Fakult\u00e4t f\u00fcr Mathematik, Technische Universit\u00e4t M\u00fcnchen, Boltzmanstra\u00dfe 3, 85748 Garching, Germany"],"affiliations":[{"raw_affiliation_string":"Fakult\u00e4t f\u00fcr Mathematik, Technische Universit\u00e4t M\u00fcnchen, Boltzmanstra\u00dfe 3, 85748 Garching, Germany","institution_ids":["https://openalex.org/I62916508"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5020151207","display_name":"Claudia Czado","orcid":"https://orcid.org/0000-0002-6329-5438"},"institutions":[{"id":"https://openalex.org/I62916508","display_name":"Technical University of Munich","ror":"https://ror.org/02kkvpp62","country_code":"DE","type":"funder","lineage":["https://openalex.org/I62916508"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"C. Czado","raw_affiliation_strings":["Fakult\u00e4t f\u00fcr Mathematik, Technische Universit\u00e4t M\u00fcnchen, Boltzmanstra\u00dfe 3, 85748 Garching, Germany"],"affiliations":[{"raw_affiliation_string":"Fakult\u00e4t f\u00fcr Mathematik, Technische Universit\u00e4t M\u00fcnchen, Boltzmanstra\u00dfe 3, 85748 Garching, Germany","institution_ids":["https://openalex.org/I62916508"]}]}],"institution_assertions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5039022036"],"corresponding_institution_ids":["https://openalex.org/I62916508"],"apc_list":{"value":3060,"currency":"USD","value_usd":3060},"apc_paid":null,"fwci":9.666,"has_fulltext":true,"fulltext_origin":"ngrams","cited_by_count":59,"citation_normalized_percentile":{"value":0.999915,"is_in_top_1_percent":true,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":97,"max":98},"biblio":{"volume":"172","issue":null,"first_page":"180","last_page":"192"},"is_retracted":false,"is_paratext":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9995,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9995,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10136","display_name":"Statistical Methods and Inference","score":0.9953,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9935,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/vine-copula","display_name":"Vine copula","score":0.9567783},{"id":"https://openalex.org/keywords/overfitting","display_name":"Overfitting","score":0.6769217},{"id":"https://openalex.org/keywords/bayesian-information-criterion","display_name":"Bayesian information criterion","score":0.5584991},{"id":"https://openalex.org/keywords/information-criteria","display_name":"Information Criteria","score":0.42698509}],"concepts":[{"id":"https://openalex.org/C2779676228","wikidata":"https://www.wikidata.org/wiki/Q25303905","display_name":"Vine copula","level":3,"score":0.9567783},{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.7387674},{"id":"https://openalex.org/C22019652","wikidata":"https://www.wikidata.org/wiki/Q331309","display_name":"Overfitting","level":3,"score":0.6769217},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.67009574},{"id":"https://openalex.org/C93959086","wikidata":"https://www.wikidata.org/wiki/Q6888345","display_name":"Model selection","level":2,"score":0.5752334},{"id":"https://openalex.org/C168136583","wikidata":"https://www.wikidata.org/wiki/Q1988242","display_name":"Bayesian information criterion","level":2,"score":0.5584991},{"id":"https://openalex.org/C64341305","wikidata":"https://www.wikidata.org/wiki/Q4919225","display_name":"Bivariate analysis","level":2,"score":0.51472616},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.50181866},{"id":"https://openalex.org/C2776709221","wikidata":"https://www.wikidata.org/wiki/Q6031040","display_name":"Information Criteria","level":3,"score":0.42698509},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.41046986},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.2715389},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.26742333},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.2467426},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.0},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.0},{"id":"https://openalex.org/C50644808","wikidata":"https://www.wikidata.org/wiki/Q192776","display_name":"Artificial neural network","level":2,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.jmva.2019.03.004","pdf_url":null,"source":{"id":"https://openalex.org/S133905466","display_name":"Journal of Multivariate Analysis","issn_l":"0047-259X","issn":["0047-259X","1095-7243"],"is_oa":false,"is_in_doaj":false,"is_indexed_in_scopus":true,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":"publisher-specific-oa","license_id":"https://openalex.org/licenses/publisher-specific-oa","version":"publishedVersion","is_accepted":true,"is_published":true},{"is_oa":true,"landing_page_url":"http://arxiv.org/abs/1801.09739","pdf_url":"http://arxiv.org/pdf/1801.09739","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_indexed_in_scopus":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":["Cornell University"],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false}],"best_oa_location":{"is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.jmva.2019.03.004","pdf_url":null,"source":{"id":"https://openalex.org/S133905466","display_name":"Journal of Multivariate Analysis","issn_l":"0047-259X","issn":["0047-259X","1095-7243"],"is_oa":false,"is_in_doaj":false,"is_indexed_in_scopus":true,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":"publisher-specific-oa","license_id":"https://openalex.org/licenses/publisher-specific-oa","version":"publishedVersion","is_accepted":true,"is_published":true},"sustainable_development_goals":[],"grants":[{"funder":"https://openalex.org/F4320320879","funder_display_name":"Deutsche Forschungsgemeinschaft","award_id":"CZ 86/4-1"},{"funder":"https://openalex.org/F4320320879","funder_display_name":"Deutsche Forschungsgemeinschaft","award_id":"CZ 86/5-1"}],"datasets":[],"versions":[],"referenced_works_count":40,"referenced_works":["https://openalex.org/W1487371587","https://openalex.org/W1529468743","https://openalex.org/W1570262350","https://openalex.org/W1590831612","https://openalex.org/W1971008858","https://openalex.org/W1977970167","https://openalex.org/W1985361918","https://openalex.org/W1992105816","https://openalex.org/W1994403842","https://openalex.org/W2014360396","https://openalex.org/W2030012614","https://openalex.org/W2030338847","https://openalex.org/W2042523563","https://openalex.org/W2050031210","https://openalex.org/W2053061982","https://openalex.org/W2067121197","https://openalex.org/W2078536949","https://openalex.org/W2080936878","https://openalex.org/W2098381731","https://openalex.org/W2119436275","https://openalex.org/W2142635246","https://openalex.org/W2157106797","https://openalex.org/W2168175751","https://openalex.org/W2180114444","https://openalex.org/W2232104438","https://openalex.org/W2317775046","https://openalex.org/W2320148535","https://openalex.org/W2331758943","https://openalex.org/W2467760016","https://openalex.org/W2493471579","https://openalex.org/W2509125714","https://openalex.org/W2542507484","https://openalex.org/W2616758160","https://openalex.org/W3021601205","https://openalex.org/W3103324688","https://openalex.org/W3123236347","https://openalex.org/W390686421","https://openalex.org/W406650945","https://openalex.org/W4385629007","https://openalex.org/W4399584598"],"related_works":["https://openalex.org/W3122388856","https://openalex.org/W304661108","https://openalex.org/W2963415778","https://openalex.org/W2607006239","https://openalex.org/W2509820422","https://openalex.org/W236172754","https://openalex.org/W2114625140","https://openalex.org/W2033907215","https://openalex.org/W1968886786","https://openalex.org/W1502087262"],"abstract_inverted_index":null,"abstract_inverted_index_v3":null,"cited_by_api_url":"https://api.openalex.org/works?filter=cites:W2962860740","counts_by_year":[{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":9},{"year":2023,"cited_by_count":6},{"year":2022,"cited_by_count":11},{"year":2021,"cited_by_count":13},{"year":2020,"cited_by_count":9},{"year":2019,"cited_by_count":4},{"year":2018,"cited_by_count":1}],"updated_date":"2025-04-18T12:39:44.913366","created_date":"2019-07-30"}