Abstract
By using well known properties of elliptical distributions we show that the relation between Kendall's tau and the linear correlation coefficient for bivariate normal distributions holds more generally (subject to only slight modifications) for the class of elliptical distributions. We mention applications of this result to calibrating elliptical distributions and their copulas in the context of multivariate financial time series models and portfolio credit risk models in particular.
| Original language | English |
|---|---|
| Pages (from-to) | 149-156 |
| Number of pages | 8 |
| Journal | Contributions to Economics |
| Publication status | Published - 2003 |