Larsen, Ryan; Mjelde, James W.; Klinefelter, Danny; … - In: Agricultural Finance Review 73 (2013), pp. 469-492
using Pearson linear correlation and Kendall's tau. The use of Kendall's tau allows the implementation of copulas to …Purpose – What copulas are, their estimation, and use is illustrated using a geographical diversification example. To … parametric copulas, Gaussian, Frank, Clayton, and Gumbel, are used to estimate Kendall's tau. These four estimates of Kendall …