Ignatieva, Katja; Platen, Eckhard - Finance Discipline Group, Business School - 2009
Student-t assumption on marginals leads to the best performance, and thus, can be used to fit multivariate copula for the … joint distribution of equity index returns. We show in our study that the Student-t copula is not only superior to the … alternative mixture copula models which allow to reflect asymmetric dependencies in the tails of the distribution. The Student-t …