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Some Remarks on T-copulas (1005.4456v1)
Published 24 May 2010 in q-fin.RM, math.PR, and q-fin.PM
Abstract: We examine three methods of constructing correlated Student-$t$ random variables. Our motivation arises from simulations that utilise heavy-tailed distributions for the purposes of stress testing and economic capital calculations for financial institutions. We make several observations regarding the suitability of the three methods for this purpose.
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