Tail Behaviour and Tail Dependence of Generalized Hyperbolic Distributions

DOI10.1007/978-3-319-45875-5_1zbMath1384.60054OpenAlexW2559625507MaRDI QIDQ4976492

Ernst August von Hammerstein

Publication date: 31 July 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-45875-5_1

zbMATH Keywords

copulatail dependenceconvolution tailsnormal mean-variance mixtureGH distribution

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05) Stochastic integral equations (60H20)

Related Items (3)

Modeling spatial extremes using normal mean-variance mixtures ⋮ Controlling the flexibility of non-Gaussian processes through shrinkage priors ⋮ Tail asymptotics for the bivariate equi-skew generalized hyperbolic distribution and its variance-gamma special case

Cites Work

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