A theoretical argument why the t-copula explains credit risk contagion better than the Gaussian copula.
Cossin, Didier ; Schellhorn, Henry ; Song, Nan ; Tungsong, Satjaporn
Journal of Applied Mathematics and Decision Sciences, Tome 2010 (2010), / Harvested from The Electronic Library of Mathematics
Access to full text
Full (PDF)
Publié le : 2010-01-01
DOI : https://doi.org/10.1155/2010/546547
EUDML-ID : urn:eudml:doc:225478 
@article{05793292,
     title = {A theoretical argument why the },
     journal = {Journal of Applied Mathematics and Decision Sciences},
     volume = {2010},
     year = {2010},
     doi = {10.1155/2010/546547},
     zbl = {1201.91213},
     language = {en},
     url = {http://dml.mathdoc.fr/item/05793292}
}

Cossin, Didier; Schellhorn, Henry; Song, Nan; Tungsong, Satjaporn. A theoretical argument why the . Journal of Applied Mathematics and Decision Sciences, Tome 2010 (2010) . doi : 10.1155/2010/546547. http://gdmltest.u-ga.fr/item/05793292/