{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/generalized-additive-models-for-pair-copula","title":"Generalized Additive Models for Pair-Copula Constructions","arxiv_id":"1608.01593","date":"2016-08-04","proceeding":null,"authors":["Thibault Vatter","Thomas Nagler"],"abstract":"Pair-copula constructions are flexible dependence models that use bivariate copulas as building blocks. In this paper, we use generalized additive models to extend them by allowing covariates effects. Borrowing ideas from a traditionally univariate context, we let each pair-copula parameter depend directly on the covariates in a parametric, semiparametric or nonparametric way. We propose a sequential estimation method that we study by simulation, and apply it to investigate the time-varying dependence structure between the intraday returns on four major foreign exchange rates. An R package, a script reproducing the results in this article, and additional simulation results are provided as supplementary material.","url_abs":"http://arxiv.org/abs/1608.01593v2","url_pdf":"http://arxiv.org/pdf/1608.01593v2.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"links_only","authors_date_abstract":"arXiv metadata, CC0 1.0 (https://info.arxiv.org/help/license), from the Kaggle arXiv metadata snapshot of 2026-09-12"},"code_links":[{"paper_slug":"generalized-additive-models-for-pair-copula","repo_url":"https://github.com/cran/gamCopula","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":1,"framework":"none","reach":null},{"paper_slug":"generalized-additive-models-for-pair-copula","repo_url":"https://github.com/tvatter/gamCopula","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":1,"framework":"none","reach":null}],"tasks":[],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}