Chen, Ying; Härdle, Wolfgang; Spokojnyj, Vladimir G. - 2005
(tied closely to the elliptical
structure of the distribution) is therefore expected to be unsatisfactory. Here we propose … for high dimensionality of the portfolio.
In order to solve this and other numerical problems, portfolio variations are … conditional Gaussian marginals are
unable to mimic the heavy tailedness of financial time series observed in markets. This is-
sue …