Elliptical distributions are a class of distributions with both useful and outstanding properties which allow us to look at dependence structures of random variable in the multivariate case. Therefore it is directed to especially emphasize both the multivariate normal distribution and the multivariate t distribution. These foundations will be explained in the paper. They will be used to enlarge the theory about copulas and for the practical part of this thesis as well. Copulas are multivariate distributions with standard uniform marginal distributions and are useful for the description of dependence structures. Further on elliptical copulas are copulas which have an elliptical distribution. This fact allows us to use the properties of elliptical distributions to estimate parameters for these copulas with rank correlations. This also will be worked out and will be used to analyze data series. Elliptical copulas can be used as a tool to simulate risk factors and their dependence. Therefore stock prices are observed and dependence structures and extreme values are simulated via copula, after they have been fitted to the given data.     «

Elliptical distributions are a class of distributions with both useful and outstanding properties which allow us to look at dependence structures of random variable in the multivariate case. Therefore it is directed to especially emphasize both the multivariate normal distribution and the multivariate t distribution. These foundations will be explained in the paper. They will be used to enlarge the theory about copulas and for the practical part of this thesis as well. Copulas are multivariate d...     »