The t copula and related copulas

International Statistical Review

Volumn 73, Issue 1, 2005, Pages 111-129

  Demarta, Stefano ^a   McNeil, Alexander J ^a  

^a ETH ZURICH   (Switzerland)

Author keywords

Clayton copula; Copula; Gumbel copula; Kendall's rank correlation; Multivariate extreme value theory; Multivariate t distribution; Tail dependence

Indexed keywords

EID: 17044440214     PISSN: 03067734     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1751-5823.2005.tb00254.x     Document Type: Article

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