Tails of correlation mixtures of elliptical copulas

Insurance: Mathematics and Economics

Volumn 48, Issue 1, 2011, Pages 153-160

  Manner, Hans ^a   Segers, Johan ^b  

^a UNIVERSITY OF COLOGNE   (Germany)

^b UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

Author keywords

Copula; Penultimate tail dependence; Stochastic correlation; T copula; Tail dependence

Indexed keywords

EID: 78649980826     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2010.10.010     Document Type: Article

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