journal article
oaidoi:10.1016/j.jmva.2012.04.017

Gaussian approximation of conditional elliptical copulas

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Publication date
31 October 2012
Publisher
Elsevier Inc.
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    Abstract

    AbstractIn this paper the limits of elliptical copulas under univariate conditioning are characterized, allowing for the conditioning random variable to have a rapidly varying tail. Further, we investigate the quality of approximation by imposing some weak asymptotic restrictions

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