Politis, Dimitris N. - In: Econometric analysis of financial and economic time series, (pp. 105-124). 2006
A new multivariate heavy-tailed distribution is proposed as an extension of the univariate distribution of Politis (2004). The properties of the new distribution are discussed, as well as its effectiveness in modeling ARCH/GARCH residuals. A practical procedure for multi-parameter numerical...
