In this paper we construct a copula based on the multivariate t-distribution with vector degrees of freedom parameter, which possesses significant advantages over the copula based on the standard multivariate t-distribution. We derive the standardized version of this copula, which is simpler...

We develop numerically stable and accurate stochastic simulation approaches for solving dynamic economic models. First, instead of standard least-squares approximation methods, we examine a variety of alternatives, including least- squares methods using singular value decomposition and Tikhonov...

The paper estimates the speed of convergence of the Euler approximation for diffussion processes with jump component which have Holder continuous coefficients.