17.3 Recommended Literature

The term copula goes back to the works of Sklar (1959) and Sklar (1996). A detailed discussion can be found in Nelsen (1999).

Nelsen (1999) features a theoretical introduction to copulas. A practical introduction is given in Deutsch and Eller (1999). Embrechts et al. (1999b) discuss restrictions of the copula technique and their relation to the classical correlation analysis.