A Theoretical Argument Why the t-Copula Explains Credit Risk Contagion Better than the Gaussian Copula

Didier Cossin, Henry Schellhorn, Nan Song, Satjaporn Tungsong. A Theoretical Argument Why the t-Copula Explains Credit Risk Contagion Better than the Gaussian Copula. JAMDS, 2010, 2010. [doi]

Abstract

Abstract is missing.