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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