Value-at-Risk Theory and Practice
The first advanced book on value-at-risk
Chapter 3, Page 116 Exercise 12
Give an example of a two-dimensional random vector whose components have 0 covariance but are not independent.
Solution
Many solutions are possible. A simple one is a discrete random vector X with PF
[s1]
You can confirm that the covariance between the two components is 0 but that condition conditional PFs and fail to satisfy
[s2]
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