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I am currently trying to apply Patton's Symmetric Joe-Clayton Copula, described in his "Modelling Asymmetric Exchange Rate Dependence". I am currently looking for the closed-form relation (if there is any) between the upper/lower parameters of SJC and Kendall's tau. I've been looking into Joe's "BB7" family (Patton bases SJC on that), but I cannot find anything. Any help is appreciated! Thanks!

Paper link: https://www.jstor.org/stable/3663514?seq=1#page_scan_tab_contents

Joe's book: http://gen.lib.rus.ec/book/index.php?md5=E161922FED17CAD5BF12C2CA7D9AB725

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  • $\begingroup$ I cannot write a comment. Hence, I write it as an answer, a closed form of Kendall's tau for many copula families can be founded at VineCopula package (pdf). Hope this help. $\endgroup$ – Mary Jun 18 at 10:11

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