Book2001

Correlation and Dependence

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Financial Risk and Volatility Modeling Probability and Statistical Research Multidisciplinary Science and Engineering Research

Abstract

Notations and definitions correlation and dependence - an introspection concepts of dependence and stochastic ordering copulas Farlie-Gumbel-Morgenstern models of dependence global versus local dependence between random variables.

Citations in this library

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Cited by

2005Actuarial Theory for Dependent Risks: Measures, Orders and Models 2003Tail Conditional Expectations for Elliptical Distributions 2005Semiparametric estimation in copula models 2004Test of independence and randomness based on the empirical copula process 2002Multivariate extremes, aggregation and dependence in elliptical distributions 2010Copula Theory: An Introduction 2006On the relationship between Spearman's rho and Kendall's tau for pairs of continuous random variables 2003Testing the Gaussian copula hypothesis for financial assets dependences

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