Parameter Estimation and Application of the Multivariate Skew t -Copula

Copula theory has got a rapid development in recent years. Most used copulas are symmetric: Archimedean are symmetric by construction while other continuous multivariate copulas are usually constructed from elliptical distributions and therefore are symmetric. From skewed copulas we can refer only to a copula introduced in [5], which the authors called skew t-copula. The construction of it differs from our approach.We introduce a multivariate t-copula which is based on the skew t-distribution introduced in [1]. Parameters of the copula have been estimated by method of moments and a simulation rule is given. The behaviour of estimates of the shape parameter of the skewed t-distribution is illustrated by simulation. The skew t-copula is used for modelling real data.