An application of Kendall distributions and alternative dependence measures: SPX vs. VIX

DOI10.1016/J.INSMATHECO.2006.11.007zbMath1152.91443OpenAlexW2030037428MaRDI QIDQ998257

John R. Herman, Robert L. Fountain, D. Leif Rustvold

Publication date: 28 January 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.11.007

zbMATH Keywords

copulasdependence measuresKendall distributions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (2)

Kendall distribution functions and associative copulas ⋮ ``Weak stochastic orderings and dependence measures

Cites Work

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• On the dependence structure of order statistics
• An introduction to copulas.
• Kendall distribution functions.
• Stochastic comparisons and dependence among concomitants of order statistics
• Bivariate dependence properties of order statistics
• Dependence orderings for generalized order statistics

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