Elliptical copulas: Applicability and limitations.
From MaRDI portal
Publication:1423181
DOI10.1016/S0167-7152(03)00092-0zbMath1116.62352WikidataQ56156207 ScholiaQ56156207MaRDI QIDQ1423181
Gabriel Frahm, Alexander Szimayer, Markus Junker
Publication date: 14 February 2004
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Kendall's tau; Elliptical distribution; Copula; Tail dependence; Students's \(t\)-distribution; Sub-Gaussian alpha-stable distribution
62P05: Applications of statistics to actuarial sciences and financial mathematics
62H20: Measures of association (correlation, canonical correlation, etc.)
62H05: Characterization and structure theory for multivariate probability distributions; copulas
Related Items
MULTIVARIATE DISPERSION ORDER AND THE NOTION OF COPULA APPLIED TO THE MULTIVARIATE t-DISTRIBUTION, Extreme behaviour for bivariate elliptical distributions, Goodness-of-fit tests for copulas: A review and a power study, Estimating correlation from dichotomized normal variables, On the max-domain of attractions of bivariate elliptical arrays, Extremes of asymptotically spherical and elliptical random vectors, Indirect estimation of elliptical stable distributions, On the construction of copulas and quasi-copulas with given diagonal sections, Bayesian copula selection, A goodness of fit test for copulas based on Rosenblatt's transformation, Modelling co-movements and tail dependency in the international stock market via copulae, On the extremal dependence coefficient of multivariate distributions, Estimating the tail-dependence coefficient: properties and pitfalls, THE JOINT DISTRIBUTION OF STOCK RETURNS IS NOT ELLIPTICAL, Bayesian model selection for D-vine pair-copula constructions, GSH Dependence Modeling with an Application to Risk Management
Cites Work
- The meta-elliptical distributions with given marginals
- An introduction to copulas. Properties and applications
- Portfolio selection with stable distributed returns
- Tail dependence for elliptically contoured distributions
- Multivariate extremes, aggregation and dependence in elliptical distributions
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item