A class of multivariate copulas with bivariate Fréchet marginal copulas

Jingping Yang; Yongcheng Qi; Ruodu Wang

doi:10.1016/j.insmatheco.2009.05.007

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A class of multivariate copulas with bivariate Fréchet marginal copulas

Jingping Yang Yongcheng Qi Ruodu Wang

Year: 2009 Journal: Insurance Mathematics and Economics Vol: 45 (1)Pages: 139-147 Publisher: Elsevier BV

DOI: 10.1016/j.insmatheco.2009.05.007

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Keywords:

Bivariate analysis Multivariate statistics Copula (linguistics) Mathematics Econometrics Multivariate analysis Tail dependence Marginal distribution Multivariate normal distribution Multivariate random variable Statistics Random variable

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Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Risk and Portfolio Optimization

Social Sciences → Decision Sciences → Management Science and Operations Research

Probability and Risk Models

Social Sciences → Decision Sciences → Management Science and Operations Research

A class of multivariate copulas with bivariate Fréchet marginal copulas

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