摘要翻译：
当相关参数由一个潜在随机过程驱动时，椭圆Copula的相关混合就会出现。对于这样的Copula，倒数尾依赖性和渐近尾依赖性都比对于相同无条件相关的普通椭圆Copula要大得多。此外，对于高斯型和学生型T-Copula，在次渐近水平上的尾部依赖通常大于极限，这可能会对极端风险的估计和评估产生严重的后果。最后，高斯Copula的相关混合虽然继承了渐近独立的性质，但同时又属于新定义的近渐近依赖范畴。通过一个模拟研究和一个涉及金融时间序列的案例研究，评估了这些结果对建模的影响。
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英文标题：
《Tails of correlation mixtures of elliptical copulas》
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作者：
Hans Manner and Johan Segers
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最新提交年份：
2009
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分类信息：

一级分类：Mathematics        数学
二级分类：Statistics Theory        统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Statistics        统计学
二级分类：Statistics Theory        统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
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英文摘要：
  Correlation mixtures of elliptical copulas arise when the correlation parameter is driven itself by a latent random process. For such copulas, both penultimate and asymptotic tail dependence are much larger than for ordinary elliptical copulas with the same unconditional correlation. Furthermore, for Gaussian and Student t-copulas, tail dependence at sub-asymptotic levels is generally larger than in the limit, which can have serious consequences for estimation and evaluation of extreme risk. Finally, although correlation mixtures of Gaussian copulas inherit the property of asymptotic independence, at the same time they fall in the newly defined category of near asymptotic dependence. The consequences of these findings for modeling are assessed by means of a simulation study and a case study involving financial time series.
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PDF链接：
https://arxiv.org/pdf/0912.3516