Tail asymptotics for the bivariate equi-skew generalized hyperbolic distribution and its variance-gamma special case
DOI10.1016/J.SPL.2021.109182zbMath1473.62193OpenAlexW3174374311WikidataQ115566812 ScholiaQ115566812MaRDI QIDQ2244594
Publication date: 12 November 2021
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2021.109182
copulaconvergence rateasymptotic tail dependence coefficientbivariate generalized hyperbolic distributionbivariate symmetric t-distributionmean-variance mixing
Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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Cites Work
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