Suppose that two variables V1 and V2 have uniform distributions where all values between 0 and 1 are equally likely. Use a Gaussian copula to define the correlation structure between V1 and V2 with a copula correlation of 0.3.

Produce a table similar to Table 11.3 considering values of 0.25, 0.50, and 0.75 for V1 and V2. A spreadsheet for calculating the cumulative bivariate normal distribution is on the author’s website: www.rotman.utoronto.ca/

∼hull.

AppendixLO1