Elliptical copulas: applicability and limitations

By Gabriel Frahm, Markus Junker, Alexander Szimayer. 2003

174 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Global and Planetary Change

View Paper: https://www.semanticscholar.org/paper/871388f441f3db68c434375e2a9780e5a21dcf22

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Citations in the corpus

Bayesian inference for multivariate copulas using pair-copula constructions. (2010, methodology): “This is motivated by the standard semiparametric copula estimation procedure suggested by Genest et al. (1995), where approximate uniform margins are obtained by applying the empirical probability integral transformation to multivariate data.”
Miscellanea kernel-type density estimation on the unit interval (2007, background): “Copulas associated with elliptically symmetric distributions more generally (Fang et al., 2002, Frahm et al., 2003, Demarta & McNeil, 2005) are also good candidates to form the basis for kernels on I.”
On the construction of copulas and quasi-copulas with given diagonal sections (2008, background): “For other applications, see Embrechts et al. (2002), Frahm et al. (2005), Frahm et al. (2003) and Schmidt (2002).”
Goodness-of-fit tests for copulas: A review and a power study (2006, background): “, Frees and Valdez (1998), Cui and Sun (2004) and Genest and Favre (2007) and references therein.”
Copula Theory: An Introduction (2010, unknown): “For more details, see [61, 62, 67, 77, 137].”
On the extremal dependence coefficient of multivariate distributions (2006, background): “Gabriel Frahm On the EDC of Multivariate Distributions Preliminaries Basic Results Generally Elliptically Symmetric Distributions EDC of Regularly Varying Elliptical Distributions Theorem (Frahm, 2006) Let X be a d-dimensional regularly varying elliptically distributed random vector with tail index ”
Selecting and estimating regular vine copulae and application to financial returns (2012, background): “Especially two copula classes received attention, the class of elliptical copulae (Fang et al. (2002), Frahm et al. (2003)) and the class of Archimedean copulae (Nelsen, 2005).”
Maximum likelihood estimation of mixed C-vines with application to exchange rates (2012, methodology): “The first such pairwise construction was given by Joe (1996) based on the famous Sklar theorem (Sklar (1959)) using cumulative distribution functions (cdf).”
Estimating the tail-dependence coefficient: Properties and pitfalls (2005, background): “, in Wang and Wells (2000) or Genest et al. (2006). Among the nonparametric estimators, the TDC estimator λ̂CFG does well, although we advise caution regarding the sometimes low variance relative to bias.”
The Joint Distribution of Stock Returns is Not Elliptical (2010, unknown): “The aim of this paper is to study in depth the family of elliptical copulas, in particular Student copulas, that have been much used in a financial context and indeed have a simple intuitive interpretation [14,18,23,27,30,40].”
Dependence Properties of Meta-Elliptical Distributions (2005, background): “by Frahm, Junker and Szimayer (2003) , who give alternative expressions and illustrations in Special cases.”
Pair-Copula Constructions of Multivariate Copulas (2010, background): “Both the Gaussian and the t-copula are examples of an elliptical copula (see for examp le [18] and [20]).”