The copula based on multivariate t-distribution with vector of degrees of freedom

Alexey Balaev ()

Applied Econometrics, 2014, vol. 33, issue 1, 90-110

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.

Keywords: copula; multivariate t-distribution; vector of degrees of freedom; tail dependence; simulation algorithm. (search for similar items in EconPapers)
JEL-codes: C14 C16 C32 (search for similar items in EconPapers)
Date: 2014
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