Kole, Erik; Verbeek, Marno; Koedijk, Koedijk, C.G. - Erasmus Research Institute of Management (ERIM), … - 2003
In this study we propose the use of the Student's t dependence function to model dependence between asset returns when … necessary, specifying the marginal distributions and their dependence. Traditionally, dependence is described by a correlation … matrix, implying the use of the dependence function inherent in the multivariate normal (Gaussian) distribution. Recent …