Tails of correlation mixtures of elliptical copulas

DOI10.1016/j.insmatheco.2010.10.010zbMath1232.62080arXiv0912.3516OpenAlexW2120128522MaRDI QIDQ2276214

Johan Segers, Hans Manner

Publication date: 1 August 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0912.3516

zbMATH Keywords

\(t\)-copulaspenultimate tail dependencestochastic correlations

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Economic time series analysis (91B84)

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