A Note About the Conjecture on Spearman's Rho and Kendall's Tau

10 Pages Posted: 26 Nov 2007 Last revised: 3 Apr 2009

See all articles by Valdo Durrleman

Valdo Durrleman

Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS

Ashkan Nikeghbali

affiliation not provided to SSRN

Thierry Roncalli

Amundi Asset Management; University of Evry

Date Written: November 23, 2000

Abstract

In this paper, we consider the open question on Spearman's rho and Kendall's tau of Nelsen [1991]. Using a technical hypothesis, we can answer in the positive. One question remains open: how can we understand the technical hypothesis? Because this hypothesis is not right in general, we could find some pathological cases which contradict Nelsen's conjecture.

Keywords: Spearman's rho, Kendall's tau, cubic copula

JEL Classification: G00

Suggested Citation

Durrleman, Valdo and Nikeghbali, Ashkan and Roncalli, Thierry, A Note About the Conjecture on Spearman's Rho and Kendall's Tau (November 23, 2000). Available at SSRN: https://ssrn.com/abstract=1032558 or http://dx.doi.org/10.2139/ssrn.1032558

Valdo Durrleman

Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS ( email )

Palaiseau, 91128
France

Ashkan Nikeghbali

affiliation not provided to SSRN ( email )

No Address Available

Thierry Roncalli (Contact Author)

Amundi Asset Management ( email )

90 Boulevard Pasteur
Paris, 75015
France

University of Evry ( email )

Boulevard Francois Mitterrand
F-91025 Evry Cedex
France

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