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General Multivariate Dependence Using Associated Copulas
Company: Centre for Computational Finance and Economic Agents, University of Essex
Company Url: Click here to open
Year Of Publication: 2013
Month Of Publication: April
Pages: 31
Download Count: 5
View Count: 1403
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 8-7-2011
Publisher: Administrator
Summary
This paper studies the general multivariate dependence of a random vector using associated copulas. We extend definitions and results of positive dependence to the general dependence case. This includes associated tail dependence functions and associated tail dependence coefficients. We derive the relationships among associated copulas and study the associated copulas of the perfect dependence cases and elliptically contoured distributions. We present the expression for the associated tail dependence function of the multivariate Student-t copula, which accounts for all types of dependence.
WP 066-13
Author(s)
Salazar Flores, Yuri Sign in to follow this author
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