Frahm, Gabriel; Junker, Markus; Szimayer, Alexander - In: Statistics & Probability Letters 63 (2003) 3, pp. 275-286
We study copulas generated by elliptical distributions. We show that their tail dependence can be simply computed with default routines on Student's t-distribution given Kendall's [tau] and the tail index. The copula family generated by the sub-Gaussian [alpha]-stable distribution is unable to...