The Bivariate Normal Copula

Christian Meyer

Papers from arXiv.org

Abstract: We collect well known and less known facts about the bivariate normal distribution and translate them into copula language. In addition, we prove a very general formula for the bivariate normal copula, we compute Gini's gamma, and we provide improved bounds and approximations on the diagonal.

Date: 2009-12
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0912.2816

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