- Article
Bayesian Inference for Latent Factor Copulas and Application to Financial Risk Forecasting
- Benedikt Schamberger,
- Lutz F. Gruber and
- Claudia Czado
Factor modeling is a popular strategy to induce sparsity in multivariate models as they scale to higher dimensions. We develop Bayesian inference for a recently proposed latent factor copula model, which utilizes a pair copula construction to couple...