# Generalized Additive Models for Pair-Copula Constructions

arXiv: https://arxiv.org/abs/1608.01593 · HTML: https://mlsanity.com/paper/1608.01593/

## Key facts

- Cited by 4 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 4 Aug 2016.

## Built on by (most cited first, 4 of 4)

- [Quasi-Bayes meets Vines](https://mlsanity.com/paper/2406.12764/) (2024)
- [Additive Covariance Matrix Models: Modelling Regional Electricity Net-Demand in Great Britain](https://mlsanity.com/paper/2211.07451/) (2022)
- [Boosting with copula-based components](https://mlsanity.com/paper/2208.04669/) (2022)
- [Calibrating simplified vine copulas with a noise contrastive estimation approach](https://mlsanity.com/paper/2606.13213/) (2026)

## Abstract (arXiv)

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.