Tail dependence of skewed grouped \(t\)-distributions

DOI10.1016/j.spl.2008.02.018zbMath1297.60005OpenAlexW2098370752MaRDI QIDQ951184

Konrad Banachewicz, Aad W. van der Vaart

Publication date: 30 October 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.02.018

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Probability distributions: general theory (60E05)

Related Items (11)

Tail dependence and skew distributions ⋮ MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION ⋮ Asymmetry in tail dependence in equity portfolios ⋮ Multivariate models for dependent clusters of variables with conditional independence given aggregation variables ⋮ Unnamed Item ⋮ The bivariate normal copula function is regularly varying ⋮ Thetcopula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management ⋮ Tail dependence for two skew \(t\) distributions ⋮ Corrigendum to: ``Tail dependence of skewed grouped \(t\)-distributions ⋮ Tail dependence for skew Laplace distribution and skew Cauchy distribution ⋮ Tail Behaviour and Tail Dependence of Generalized Hyperbolic Distributions

Cites Work

• Unnamed Item
• On the extremal dependence coefficient of multivariate distributions
• The t Copula and Related Copulas
• Extreme behaviour for bivariate elliptical distributions
• A directory of coefficients of tail dependence

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