Modelling and estimation for bivariate financial returns

DOI10.1111/j.1751-5823.2010.00106.xMaRDI QIDQ6574879

Thomas Fung, Eugene Seneta

Publication date: 19 July 2024

Published in: International Statistical Review (Search for Journal in Brave)

zbMATH Keywords

maximum likelihood estimationtail behaviourskew \(t\) distributionsmultivariate skew distribution\texttt{WinBUGS}asymptotic tail dependenceskew Variance Gamma distribution

Mathematics Subject Classification ID

Multivariate analysis (62Hxx) Nonparametric inference (62Gxx) Distribution theory (60Exx)

Cites Work

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