Modified Gaussian pseudo-copula: applications in insurance and finance (Q2446010)
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scientific article; zbMATH DE number 6285086
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| English | Modified Gaussian pseudo-copula: applications in insurance and finance |
scientific article; zbMATH DE number 6285086 |
Statements
Modified Gaussian pseudo-copula: applications in insurance and finance (English)
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15 April 2014
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pseudo-copula
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tail dependence
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asymmetric dependence
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Gaussian copula
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modified Gaussian pseudo-copula
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pseudo-observation
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maximum likelihood estimation
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measure of association
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Kendall's tau
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goodness-of-fit
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0.7763592600822449
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0.7595901489257812
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0.7483887672424316
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0.7392922043800354
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0.7387359142303467
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