Search Results - subject:"Student’s t copula"

Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates

Chen, Xiaohong; Fan, Yanqin; Patton, Andrew J. - London School of Economics (LSE) - 2004

Normal or the Student’s t copula models are compatible with U.S. equity return and exchange rate data. Both tests are robust …, but little evidence against the more flexible Student’s t copula. …

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