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

页码：275 / 286

页数：12

共 15 条

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