According to Mashal & Zeevi (2002) and Breymann (2003) when it comes to modelling multivariate joint distribution of financial returns data, t copula outperforms Gaussian copula. This is partially related to the ability of the t copula to capture phenomena of extreme values, which is a prevalent occurrence in financial return data [1].
Explicit Copulas
As an illustration of explicit copulas, representatives of Archimedean copulas, Gumbel and Clayton, are chosen.