Why clayton and gumbel copulas: A symmetry-based explanation
In econometrics, many distributions are non-Gaussian. To describe dependence between non-Gaussian variables, it is usually not sufficient to provide their correlation: it is desirable to also know the corresponding copula. There are many different families of copulas; which family shall we use? In m...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Book Series |
| Published: |
2018
|
| Subjects: | |
| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84872827540&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/52468 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Chiang Mai University |