Elliptical copulas: applicability and limitations

We study copulas generated by elliptical distributions. We show that their tail dependence can be simply computed with default routines on Student's t-distribution given Kendall's [tau] and the tail index. The copula family generated by the sub-Gaussian [alpha]-stable distribution is unable to cover the size of tail dependence observed in financial data.

MoreLess

Year of publication:	2003
Authors:	Frahm, Gabriel ; Junker, Markus ; Szimayer, Alexander
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 63.2003, 3, p. 275-286
Publisher:	Elsevier
Keywords:	Copula Elliptical distribution Kendall's tau Students's t-distribution Sub-Gaussian alpha-stable distribution Tail dependence

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005314056