C. Genest et K. Ghoudi, A STRANGE FAMILY OF BIVARIATE DISTRIBUTIO NS, Comptes rendus de l'Academie des sciences. Serie 1, Mathematique, 318(4), 1994, pp. 351-354
This Note describes a complete system of bivariate Archimedean copulas
which stands out because of its unusual dependence properties. While
ordered by stochastic dominance and absolutely continuous with respect
to Lebesgue measure, the members of this family of distributions mode
l random variables that are neither positive nor negative quadrant dep
endent. In addition, this system provides an example where Kendall's t
au and Spearman's rho do not vanish for the same distribution in the f
amily.