Elliptical copulas: Applicability and limitations.

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)

zbMATH Keywords

Kendall's tau; Elliptical distribution; Copula; Tail dependence; Students's \(t\)-distribution; Sub-Gaussian alpha-stable distribution

Mathematics Subject Classification ID

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

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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
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