Elliptical copulas: applicability and limitations

被引：88
作者：
Frahm, G
Junker, M
Szimayer, A
机构：
[1] Res Ctr Caesar, D-53175 Bonn, Germany
[2] UWA, Sch Business, Crawley, Australia
来源：
STATISTICS & PROBABILITY LETTERS | 2003年 / 63卷 / 03期
关键词：
copula; elliptical distribution; Kendall's tau; students's t-distribution; sub-Gaussian alpha-stable distribution; tail dependence;
D O I：
10.1016/S0167-7152(03)00092-0
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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. (C) 2003 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：275 / 286
页数：12
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