The Bivariate Normal Copula
Probability
2018-09-19 v1 Computational Finance
Abstract
We collect well known and less known facts about the bivariate normal distribution and translate them into copula language. In addition, we prove a very general formula for the bivariate normal copula, we compute Gini's gamma, and we provide improved bounds and approximations on the diagonal.
Keywords
Cite
@article{arxiv.0912.2816,
title = {The Bivariate Normal Copula},
author = {Christian Meyer},
journal= {arXiv preprint arXiv:0912.2816},
year = {2018}
}
Comments
24 pages