Fabian Spanhel

A copula-based approach to model serial dependence in financial time series

Fabian Spanhel, Fabian Spanhel, 2015 .

Estimating non-simplified vine copulas using penalized splines

Christian Schellhase, Fabian Spanhel, Christian Schellhase, 2016, Statistics and Computing.

The partial vine copula: A dependence measure and approximation based on the simplifying assumption

Fabian Spanhel, Malte S. Kurz, Fabian Spanhel, 2015, 1510.06971.

The partial copula: Properties and associated dependence measures

Fabian Spanhel, Malte S. Kurz, Fabian Spanhel, 2015, 1511.06665.

Testing the simplifying assumption in high-dimensional vine copulas

Fabian Spanhel, Malte S. Kurz, Fabian Spanhel, 2017 .

Simplified vine copula models: Approximations based on the simplifying assumption

Fabian Spanhel, Malte S. Kurz, Fabian Spanhel, 2015, Electronic Journal of Statistics.