Elliptical copulas: Applicability and limitations.

DOI10.1016/S0167-7152(03)00092-0zbMath1116.62352WikidataQ56156207 ScholiaQ56156207MaRDI QIDQ1423181

Gabriel Frahm, Markus Junker, Alexander Szimayer

Publication date: 14 February 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Kendall's tauElliptical distributionCopulaTail dependenceStudents's \(t\)-distributionSub-Gaussian alpha-stable distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites Work

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• 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

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