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  • Sklar’s theorem and the Gaussian copula
  • Demarta-McNeil: the t copula and tail dependence
  • Copulas

Copulas#

Dependence separated from the marginals, and the joint extremes that the Gaussian copula misses.

Sklar’s theorem and the Gaussian copula

Sklar's theorem and the Gaussian copula

Demarta-McNeil: the t copula and tail dependence

Demarta-McNeil: the t copula and tail dependence
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