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Elliptical copulas: Applicability and limitations. (English) Zbl 1116.62352
Summary: 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.

MSC:
62H05 Characterization and structure theory for multivariate probability distributions; copulas
62H20 Measures of association (correlation, canonical correlation, etc.)
62P05 Applications of statistics to actuarial sciences and financial mathematics
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