D-vine copula based quantile regression - Kraus, Daniel; Czado, Claudia (Computational statistics & data analysis, 2017)
Keywords: algorithms; Conditional copula quantile; Conditional distribution; credit; crossing; prediction; Quantile regression; regression analysis; statistical models; Stress testing; Vine copula; Conditional copula quantile; Stress testing; Conditional distribution; Quantile regression; Vine copula