Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/31052
Authors: 
Lindner, Alexander M.
Szimayer, Alexander
Year of Publication: 
2005
Series/Report no.: 
Discussion paper // Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München 433
Abstract: 
We characterize convergence of a sequence of d-dimensional random vectors by convergence of the one-dimensional margins and of the copula. The result is applied to the approximation of portofolio modelled by t-copulas with large degrees of freedom, and to the convergence of certain dependence measures of bivariate distributions.
Subjects: 
convergence
copula
t-copula
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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