Elliptical copulas: Applicability and limitations

Statistics and Probability Letters

Volumn 63, Issue 3, 2003, Pages 275-286

  Frahm, Gabriel ^a   Junker, Markus ^a   Szimayer, Alexander ^b  

^a CENTER OF ADVANCED EUROPEAN STUDIES AND RESEARCH CAESAR   (Germany)

^b UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

Author keywords

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

Indexed keywords

EID: 0037567509     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-7152(03)00092-0     Document Type: Article

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