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Dependence Properties of Meta-Elliptical Distributions · Study

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ChapterDependence Properties of Meta-Elliptical Distributions

Belkacem Abdous2005

Chapter2005

Dependence Properties of Meta-Elliptical Distributions

Belkacem Abdous · Christian Genest · Bruno Rémillard

78 citations·0/0 files stored·Springer eBooks

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Financial Risk and Volatility Modeling Statistical Distribution Estimation and Applications Probability and Risk Models

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References

1999An Introduction to Copulas 1958Ordinal Measures of Association 2001Correlation and Dependence 2001Correlation and Dependence 2002Multivariate extremes, aggregation and dependence in elliptical distributions 2003Kendall’s Tau for Elliptical Distributions 2002Tail dependence for elliptically contoured distributions 2003Elliptical copulas: applicability and limitations

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2013Copula-Based Models for Multivariate Discrete Response Data 2008Multivariate logit copula model with an application to dental data 2005Extreme behaviour for bivariate elliptical distributions 2009On the Ghoudi, Khoudraji, and Rivest test for extreme‐value dependence 2006On the extremal dependence coefficient of multivariate distributions 2007Copula model evaluation based on parametric bootstrap 2005

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Year2005

Typechapter

Published2005-07-28

VenueSpringer eBooks

Languageen

Citations78

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/0-387-24555-3_1

openalex_workW988026

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Local efficiency of a Cramér–von Mises test of independence

2009Finite normal mixture copulas for multivariate discrete data modeling