Choros, Barbara; Härdle, Wolfgang; Okhrin, Ostap - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
models, multivariate distributions, Copulae,
correlation smile.
JEL classification: C14, G12, G13
∗The financial support from … consist of integrating the industry
sectors, for example, into two groups and can be represented using the correlation matrix … ··· ρ3
...
ρ3 ··· 1
(1)
When one deals with copulae, the correlation term ρ …