The t copula and related copulas
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Author / Producer
Date
2005-04
Publication Type
Journal Article
ETH Bibliography
yes
Citations
Altmetric
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Data
Rights / License
Permanent link
Publication status
published
Editor
Book title
Journal / series
Volume
73 (1)
Pages / Article No.
111 - 129
Publisher
International Statistical Institute
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
Copula; Multivariate t distribution; Kendall's rank correlation; Tail dependence; Multivariate extreme value theory; Gumbel copula; Clayton copula
Organisational unit
03590 - McNeil, Alexander (ehemalig)
Notes
Received July 2004, Accepted January 2005, Published online 15 January 2007.