ESTIMATORS BASED ON KENDALL'S TAU IN MULTIVARIATE COPULA MODELS

By Christian Genest, Johana Nešlehová, Noomen Ben Ghorbal. 2011

116 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/b23421d64f615bc3dff3a89fef60fbd47919d9ff

Citations in the corpus

• A review of copula models for economic time series (2012, unknown): “Method of moments-type estimators, where the parameter of a given family of copulas has a known, invertible, mapping to a dependence measure (such as rank correlation or Kendall’s tau) are considered in [64,75,125,68], among others.”