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Abstract |
Copulas have lately attracted much attention as a tool for dealing with multiple risks that cannot be considered independent. The normal copula, widely used in practice, is known to have the same tail... dependence parameter as the product copula. The present paper brings into question the common interpretation of this fact as evidence that the normal copula lacks tail dependence, both by providing numerical examples and by mathematically determining the asymptotic behaviour of the tail dependence.show more
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