N i Tf ji

Copula Family

Where t-1 v , q2 t-l z , and the copula itself is absolutely continuous. Since, as recalled by Roncalli 2002 , given a couple of r.v.s X, Y , jointly distributed as a Student's t, the conditional distribution of given X x, is a Student's t with u 1 degrees of freedom, the conditional distribution via copula C ,1u v, z is It follows that an equivalent expression for the bivariate Student's copula is If u gt 2, each margin admits a finite variance, u u - 2 , and pXY can be interpreted as a linear...