Tail dependence and skew distributions
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Publication:3169211
DOI10.1080/14697681003724826zbMath1278.62089OpenAlexW2024786204MaRDI QIDQ3169211
Publication date: 28 April 2011
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697681003724826
Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05)
Related Items (4)
The bivariate normal copula function is regularly varying ⋮ Convergence rate to a lower tail dependence coefficient of a skew-\(t\) distribution ⋮ Tail asymptotics for the bivariate equi-skew generalized hyperbolic distribution and its variance-gamma special case ⋮ Tail dependence for skew Laplace distribution and skew Cauchy distribution
Cites Work
- Tail dependence of skewed grouped \(t\)-distributions
- Subordinated market index models: A comparison
- Tail dependence for elliptically contoured distributions
- Tailweight, quantiles and kurtosis: A study of competing distributions
- Copulas: Tales and facts (with discussion)
- The t Copula and Related Copulas
- A multivariate jump-driven financial asset model
- The Two-Dimensional Hyperbolic Distribution and Related Distributions, with an Application to Johannsen's Bean Data
- Multivariate extremes, aggregation and dependence in elliptical distributions
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