Luo, Xiaolin; Shevchenko, Pavel - In: Quantitative Finance 10 (2010) 9, pp. 1039-1054
The t copula is often used in risk management as it allows for modeling the tail dependence between risks and it is simple to simulate and calibrate. However, the use of a standard t copula is often criticized due to its restriction of having a single parameter for the degrees of freedom (dof)...