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- W2247126053 abstract "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 from the computational viewpoint. As the application of the standardized t-copula with vector of degrees of freedom we consider VAR-MGARCH models. Such models are often used for multivariate analysis of asset returns on financial markets. We also propose an algorithm of simulating random vectors with multivariate t-distribution or t-copula with vector of degrees of freedom." @default.
- W2247126053 created "2016-06-24" @default.
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- W2247126053 date "2014-01-01" @default.
- W2247126053 modified "2023-10-16" @default.
- W2247126053 title "The copula based on multivariate t-distribution with vector of degrees of freedom" @default.
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