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Elliptical copulas: applicability and limitations

Gabriel Frahm, Markus Junker and Alexander Szimayer

Statistics & Probability Letters, 2003, vol. 63, issue 3, 275-286

Abstract: 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.

Keywords: Copula; Elliptical; distribution; Kendall's; tau; Students's; t-distribution; Sub-Gaussian; alpha-stable; distribution; Tail; dependence (search for similar items in EconPapers)
Date: 2003
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Handle: RePEc:eee:stapro:v:63:y:2003:i:3:p:275-286