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Copulae and Value at Risk

  • Franke J
  • Härdle W
  • Hafner C
DOI: 10.1007/978-3-642-54539-9_17
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Abstract

… For θ → 1, the Gumbel copula reduces to the product copula and for θ → ∞ we obtain the … product copula \(\Pi \) with an arbitrary copula C 1 of dimension d we get a new copula family, …

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Franke, J., Härdle, W. K., & Hafner, C. M. (2015). Copulae and Value at Risk (pp. 373–411). https://doi.org/10.1007/978-3-642-54539-9_17

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