Claudia Czado | Academic Influence

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Claudia Czado

Mathematics

#5338

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#7518

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Statistics

#587

World Rank

#667

Historical Rank

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Mathematics

Claudia Czado's Degrees

PhD Statistics Ludwig Maximilian University of Munich
Masters Mathematics Ludwig Maximilian University of Munich
Bachelors Mathematics Ludwig Maximilian University of Munich

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Why Is Claudia Czado Influential?

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According to Wikipedia, Claudia Czado is a mathematical statistician at the Technical University of Munich, known for her research on copulas, vines, and their applications in statistical finance. Early life and education Czado grew up in a family with five children in Borken, Hesse, a small town in central Germany. She earned a diploma in 1984 from the University of Göttingen, specializing in probability and statistics. Inspired by a high school fascination with Native American culture, Czado enrolled in an master's-level exchange program between University of Göttingen and Cornell University. At Cornell, she worked with Murad Taqqu in their department of operations research and industrial engineering. Returning to Göttingen, she completed her master's degree in 1987, with a thesis on the law of the iterated logarithm for self-similar processes.

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Claudia Czado's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Pair-copula constructions of multiple dependence (2009) (1674)
Selecting and estimating regular vine copulae and application to financial returns (2012) (540)
Predictive Model Assessment for Count Data (2009) (383)
Pair-Copula Constructions of Multivariate Copulas (2010) (287)
Truncated regular vines in high dimensions with application to financial data (2012) (248)
Maximum likelihood estimation of mixed C-vines with application to exchange rates (2012) (200)
Bayesian inference for multivariate copulas using pair-copula constructions. (2010) (197)
Pair Copula Constructions for Multivariate Discrete Data (2012) (171)
Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence (2010) (165)
Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50 (2013) (165)
Bayesian Poisson log-bilinear mortality projections (2005) (156)
Simplified pair copula constructions - Limitations and extensions (2013) (136)
Analyzing Dependent Data with Vine Copulas (2019) (136)
The effect of link misspecification on binary regression inference (1992) (128)
Modelling count data with overdispersion and spatial effects (2008) (127)
Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas (2015) (123)
D-vine copula based quantile regression (2015) (122)
A mixed copula model for insurance claims and claim sizes (2012) (105)
Bayesian Inference for Semiparametric Binary Regression (1996) (97)
Spatial modelling of claim frequency and claim size in non-life insurance (2007) (91)
Nonparametric validation of similar distributions and assessment of goodness of fit (1998) (91)
Selection of Vine Copulas (2013) (85)
A mixed autoregressive probit model for ordinal longitudinal data. (2010) (84)
Zero-inflated generalized Poisson models with regression effects on the mean, dispersion and zero-inflation level applied to patent outsourcing rates (2007) (78)
Conditional copula simulation for systemic risk stress testing (2013) (75)
Total loss estimation using copula-based regression models (2012) (74)
COPAR-multivariate time series modeling using the copula autoregressive model (2012) (69)
R‐vine models for spatial time series with an application to daily mean temperature (2014) (62)
Sequential Bayesian Model Selection of Regular Vine Copulas (2015) (61)
Conditional quantiles and tail dependence (2015) (60)
Flexible Dependence Modeling of Operational Risk Losses and Its Impact on Total Capital Requirements (2013) (60)
Efficient Bayesian inference for stochastic time-varying copula models (2012) (54)
Bankruptcy prediction in Norway: a comparison study (2010) (53)
Bayesian model selection for D‐vine pair‐copula constructions (2011) (52)
An Autoregressive Ordered Probit Model With Application to High-Frequency Financial Data (2005) (45)
Regime Switching Vine Copula Models for Global Equity and Volatility Indices (2016) (45)
Pair‐copula constructions for non‐Gaussian DAG models (2012) (44)
An Exponential Continuous-Time GARCH Process (2007) (43)
Selection strategies for regular vine copulae (2013) (42)
Examination and visualisation of the simplifying assumption for vine copulas in three dimensions (2016) (39)
Application of survival analysis methods to long-term care insurance (2002) (38)
Parametric link modification of both tails in binary regression (1994) (37)
A vine-copula based adaptive MCMC sampler for efficient inference of dynamical systems (2013) (36)
Nonparametric estimation of simplified vine copula models: comparison of methods (2017) (35)
On Link Selection in Generalized Linear Models (1992) (35)
Modeling high-dimensional time-varying dependence using dynamic D-vine models (2016) (35)
Model selection for discrete regular vine copulas (2017) (34)
Model selection in sparse high-dimensional vine copula models with an application to portfolio risk (2018) (34)
Comorbidity of chronic diseases in the elderly: Patterns identified by a copula design for mixed responses (2015) (34)
Choosing the link function and accounting for link uncertainty in generalized linear models using Bayes factors (2006) (33)
Regime switches in the dependence structure of multidimensional financial data (2014) (32)
Standardized drought indices: a novel univariate and multivariate approach (2018) (31)
Pair-Copula Bayesian Networks (2012) (31)
Detecting regime switches in the dependence structure of high dimensional financial data (2012) (31)
Noncanonical links in generalized linear models – when is the effort justified? (2000) (30)
Bayesian model selection for multivariate copulas using pair-copula constructions (2011) (29)
State space mixed models for longitudinal observations with binary and binomial responses (2008) (28)
Bayesian Model Selection of Regular Vine Copulas (2017) (28)
Pair-copula constructions for modeling exchange rate dependence (2009) (28)
Modeling dependent yearly claim totals including zero claims in private health insurance (2012) (28)
On selecting parametric link transformation families in generalized linear models (1997) (26)
Bayesian inference of binary regression models with parametric link (1994) (26)
Spatial composite likelihood inference using local C-vines (2014) (25)
A nonparametric test for similarity of marginals—With applications to the assessment of population bioequivalence (2007) (25)
Truncated regular vines in high dimensions (2010) (25)
Assessing the similarity of distributions - finite sample performance of the empirical mallows distance (1998) (25)
Statistical Assessments of Systemic Risk Measures (2012) (24)
Analysis of Australian electricity loads using joint Bayesian inference of D-Vines with autoregressive margins (2011) (24)
Calculation of LTC Premiums Based on Direct Estimates of Transition Probabilities (2005) (23)
A Survey of Functional Laws of the Iterated Logarithm for Self-Similar Processes (1985) (22)
SCOMDY models based on pair-copula constructions with application to exchange rates (2014) (22)
Vine Copula Based Modeling (2021) (21)
Modeling high dimensional time-varying dependence using D-vine SCAR models (2012) (20)
Testing for zero-modification in count regression models. (2010) (19)
Comparing point and interval estimates in the bivariate t-copula model with application to financial data (2011) (19)
Bayesian total loss estimation using shared random effects (2015) (19)
A statistical simulation method for joint time series of non-stationary hourly wave parameters (2018) (19)
Efficient maximum likelihood estimation of copula based meta t-distributions (2011) (18)
Flexible dynamic vine copula models for multivariate time series data (2019) (18)
Multivariate regression analysis of panel data with binary outcomes applied to unemployment data (2000) (17)
Consistency and asymptotic normality of the maximum likelihood estimator in a zero-inflated generalized Poisson regression (2005) (17)
Assessing the VaR of a portfolio using D-vine copula based multivariate GARCH models (2010) (17)
Representing Sparse Gaussian DAGs as Sparse R-Vines Allowing for Non-Gaussian Dependence (2016) (16)
Selection of sparse vine copulas in high dimensions with the Lasso (2017) (16)
Stochastic volatility models for ordinal-valued time series with application to finance (2009) (15)
Multivariate option pricing using copulae (2012) (15)
Growing simplified vine copula trees: improving Di{\ss}mann's algorithm (2017) (15)
D-vine quantile regression with discrete variables (2017) (15)
Standardized drought indices: A novel uni- and multivariate approach (2015) (15)
Orthogonalizing parametric link transformation families in binary regression analysis (1992) (15)
Non nested model selection for spatial count regression models with application to health insurance (2014) (14)
Dependence modelling with regular vine copula models: a case‐study for car crash simulation data (2016) (14)
Locating Multiple Interacting Quantitative Trait Loci with the Zero-Inflated Generalized Poisson Regression (2010) (14)
Modeling dependencies between rating categories and their effects on prediction in a credit risk portfolio (2008) (13)
Evading the curse of dimensionality in multivariate kernel density estimation with simplified vines (2015) (13)
Simplified Pair Copula Constructions --- Limits and Extensions (2012) (13)
Bayesian Inference for Latent Factor Copulas and Application to Financial Risk Forecasting (2017) (12)
Does a Gibbs sampler approach to spatial Poisson regression models outperform a single site MH sampler? (2008) (12)
Bayesian Risk Analysis (2014) (12)
Dependence modelling in ultra high dimensions with vine copulas and the Graphical Lasso (2017) (12)
Spatial modelling of claim frequency and claim size in insurance (2005) (12)
Vine copula based likelihood estimation of dependence patterns in multivariate event time data (2016) (12)
A D‐vine copula‐based model for repeated measurements extending linear mixed models with homogeneous correlation structure (2017) (12)
Model distances for vine copulas in high dimensions (2015) (12)
Sampling Count Variables with Specified Pearson Correlation: A Comparison Between a Naive and a C-Vine Sampling Approach (2010) (11)
Modeling Transport Mode Decisions Using Hierarchical Binary Spatial Regression Models with Cluster Effects (2004) (11)
Bayesian inference for D-vines: estimation and model selection (2011) (10)
Dependence modeling for recurrent event times subject to right‐censoring with D‐vine copulas (2017) (10)
Vine copula mixture models and clustering for non-Gaussian data (2021) (10)
A periodic spatial vine copula model for multi-site streamflow simulation (2017) (10)
Modeling Dependence of Operational Loss Frequencies (2013) (9)
Modelling transport mode decisions using hierarchical logistic regression models with spatial and cluster effects (2008) (8)
A method for approximately sampling high-dimensional count variables with prespecified Pearson correlation. (2010) (8)
Bayesian spatial modelling for high dimensional seismic inverse problems (2016) (8)
Using model distances to investigate the simplifying assumption, model selection and truncation levels for vine copulas (2016) (7)
Quantifying overdispersion effects in count regression data (2002) (7)
Vine copula based post-processing of ensemble forecasts for temperature (2018) (6)
Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo (2018) (6)
Handbook on Systemic Risk: Statistical Assessments of Systemic Risk Measures (2013) (6)
Extending the CAPM using pair copulas: The Regular Vine Market Sector model (2011) (6)
Nonparametric C- and D-vine-based quantile regression (2021) (6)
Linear Mixed Models – A Practical Guide Using Statistical Software. B. T. West, K. B. Welch and A. T. Galecki (2006). London: Chapman & Hall/CRC. ISBN: 978-1-584-88480-4 (2009) (6)
Model-based quantification of the volatility of options at transaction level with extended count regression models (2007) (6)
A fractionally integrated ECOGARCH process (2006) (6)
Block-Maxima of Vines (2015) (6)
Using model distances to investigate the simplifying assumption, goodness-of-fit and truncation levels for vine copulas (2016) (6)
Spatial R-vine copula for streamflow scenario simulation (2016) (6)
Model selection strategies for identifying most relevant covariates in homoscedastic linear models (2010) (6)
A Bayesian linear model for the high-dimensional inverse problem of seismic tomography (2013) (5)
Stress Testing German Industry Sectors: Results from a Vine Copula Based Quantile Regression (2017) (5)
Norm restricted maximum likelihood estimators for binary regression models with parametric link (1993) (5)
ESG, Risk, and (Tail) Dependence (2021) (5)
Dependence Measures (2019) (5)
The pitfalls of (non-definitive) Environmental, Social, and Governance scoring methodology (2022) (5)
A Mixed Probit Model for the Analysis of Pain Severity Diaries (2008) (4)
Regression Models for Ordinal Valued Time Series with Application to High Frequency Financial Data (2002) (4)
Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation (2019) (4)
An ACD-ECOGARCH(1,1) Model (2010) (4)
Statistical Modeling of Dependence Structures of Operational Flight Data Measurements not Fulfilling the I.I.D. Condition (2017) (4)
Vine copula based inference of multivariate event time data (2016) (4)
Quasi maximum likelihood estimation and prediction in the compound Poisson ECOGARCH(1,1) model (2006) (4)
Reproducing Kernel Hilbert Space for Some Non-Gaussian Processes (1985) (4)
Environmental, Social, Governance scores and the Missing pillar—Why does missing information matter? (2021) (4)
Bootstrap methods for the nonparametric assessment of population bioequivalence and similarity of distributions (2001) (4)
Multivariate Probit Analysis of Binary Time Series Data with Missing Responses (1996) (3)
Preface to special issue on high-dimensional dependence and copulas (2015) (3)
Modeling individual migraine severity with autoregressive ordered probit models (2011) (3)
Pair Copula Constructions for Discrete Data (2011) (3)
Bayesian inference for dynamic vine copulas in higher dimensions (2019) (3)
Bayesian Multivariate Nonlinear State Space Copula Models (2019) (3)
Efficient Bayesian inference for univariate and multivariate non linear state space models with univariate autoregressive state equation (2019) (3)
Modelling temporal dependence of realized variances with vines (2019) (3)
Dependent censoring based on copulas (2021) (3)
Empirical Study of Intraday Option Price Changes using extended Count Regression Models (2004) (3)
A Bayesian Non-linear State Space Copula Model to Predict Air Pollution in Beijing (2019) (3)
Zero-inflated generalized Poisson regression models : Asymptotic theory and applications (2005) (2)
Modeling recurrent event times subject to right-censoring with D-vine copulas (2017) (2)
Modeling migraine severity with autoregressive ordered probit models (2005) (2)
ESGM: ESG scores and the Missing pillar (2021) (2)
Ordinal- and Continuous-Response Stochastic Volatility Models for Price Changes: An Empirical Comparison (2010) (2)
Comparing Regular Vine Copula Models (2019) (1)
Bivariate vine copula based quantile regression (2022) (1)
A Bayesian non‐linear state space copula model for air pollution in Beijing (2022) (1)
Generalized estimating equations for longitudinal generalized Poisson count data with regression effects on the mean and dispersion level. (2009) (1)
Heavy tailed spatial autocorrelation models (2017) (1)
Vine Copula Based Portfolio Level Conditional Risk Measure Forecasting (2022) (1)
Mixed effect models for absolute log returns of ultra high frequency data (2006) (1)
Finite sample properties of the QMLE in the ACD-ECOGARCH(1,1) model (2010) (1)
Modeling of Stochastic Wind Based on Operational Flight Data Using Karhunen–Loève Expansion Method (2020) (1)
Recent Developments in Vine Copula Based Modeling (2019) (1)
Non nested model selection for spatial count regression models with application to health insurance (2013) (0)
Model distances for vine copulas in high dimensions (2017) (0)
Selection of Regular Vine Copula Models (2019) (0)
Haug , Czado : An exponential continuous time GARCH process (2008) (0)
Lecture 6: Poisson regression (2004) (0)
Czado , Haug : A fractionally integrated ECOGARCH process (2007) (0)
Bayesian Inference for Pair-copula Constructions of Multiple Dependence (2007) (0)
Evaluation of time series models under non-stationarity with application to the comparison of regional climate models (2017) (0)
Two‐part D‐vine copula models for longitudinal insurance claim data (2022) (0)
Simulating Regular Vine Copulas and Distributions (2019) (0)
A P ] 1 1 A pr 2 01 5 Block-Maxima of Vines (2015) (0)
Bivariate Copula Classes, Their Visualization, and Estimation (2019) (0)
Mixed effect models for absolute log returns of ultra high frequency data: Research Articles (2006) (0)
D Smoothed Disturbance Variance Matrices for Linear State Space Models with Coloured Observation Noise 40 3 (2007) (0)
Lecture 5: Overdispersion in logistic regression (2004) (0)
Statistical Dependence Analyses of Operational Flight Data Used for Landing Reconstruction Enhancement (2022) (0)
Statistical analysis of absolute transaction price changes of options (2004) (0)
Book Review: Nonlinear Regression. By G. A. F. Seber and C. J. Wild (2006) (0)
Regular Vines (2019) (0)
Chapter 2 Selection of Vine Copulas (2013) (0)
An Application of D-vine Regression for the Identification of Risky Flights in Runway Overrun (2022) (0)
Pair Copula Decompositions and Constructions (2019) (0)
A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series (2018) (0)
Modeling of transition intensities and probabilities in a German long term care portfolio with known diagnosis (2002) (0)
High-dimensional sparse vine copula regression with application to genomic prediction (2022) (0)
Lecture 3: Binary and binomial regression models (2004) (0)
Multivariate Distributions and Copulas (2019) (0)
The inception selection effect of diagnosis in a German long term care portfolio (2003) (0)
On the Observability of Gaussian Models using Discrete Density Approximations (2022) (0)
Case Study: Dependence Among German DAX Stocks (2019) (0)
Model-based quantification of the volatility of options at transaction level with extended count regression models: Research Articles (2007) (0)
Introducing and evaluating a Gibbs sampler for spatial Poisson regression models (2005) (0)
University of WisconsinDepartment of Statistics Bayesian inference for semiparametric binary regression (1996) (0)
Lecture 4: Parameter estimation and diagnostics in logistic regression (2004) (0)
Parameter Estimation in Simplified Regular Vine Copulas (2019) (0)
Modeling overdispersion in binomial regression. (1994) (0)
Noncanonical Links in Generalized Linear Models When is the E(cid:11)ort Justi(cid:12)ed? (2012) (0)
Lecture 7: Overdispersion in Poisson regression (2004) (0)
Mixed effect model for absolute log returns of ultra high frequency data (2006) (0)
Individual Migraine Risk Management using Binary State Space Mixed Models (2001) (0)
Title Truncated regular vines in high dimensions (2010) (0)
Validating linear restrictions in linear regression models with general error structure (2006) (0)
Book Review: Interpreting standard and nonstandard log-linear models. By P. Mair (2007) (0)
Zero-inflated generalized Poisson regression: Asymptotic theory and applications. (2005) (0)
Czado , Haug : Quasi maximum likelihood estimation and prediction in the compound Poisson ECOGARCH ( 1 , 1 ) model (2008) (0)
Analysis of an interventional protein experiment using a vine copula based structural equation model (2021) (0)
Chapter 1 Bayesian Inference for D-vines : Estimation and Model Selection (2009) (0)
Selection of sparse vine copulas in high dimensions with the Lasso (2018) (0)
Vine Copula Based Dependence Modeling in Sustainable Finance (2022) (0)
Multiresolution Analysis of Long Time Series with Applications to Finance (2005) (0)
Pairwise Likelihood Inference in Dynamic Models for Longitudinal Ordinal Outcomes (2007) (0)
Regression models for ordinal valued time series: applications in high frequency finance and medicine. (2003) (0)
Theoretical Foundations of Autoregressive Models for Time Series on Acyclic Directed Graphs (2003) (0)

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