Ruiz-Gazen, Anne; Thomas-Agnan, Christine; Laurent, Thibault - In: Journal of Risk and Financial Management 12 (2019) 1, pp. 1-21
To model multivariate, possibly heavy-tailed data, we compare the multivariate normal model (N) with two versions of the multivariate Student model: the independent multivariate Student (IT) and the uncorrelated multivariate Student (UT). After recalling some facts about these distributions and...
