Tail dependence for two skew \(t\) distributions

DOI10.1016/j.spl.2010.01.011zbMath1186.62069OpenAlexW2084636624MaRDI QIDQ968464

Thomas Fung, Eugene Seneta

Publication date: 5 May 2010

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

Full work available at URL: https://doi.org/10.1016/j.spl.2010.01.011

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Statistics of extreme values; tail inference (62G32)

Related Items

Hedges or safe havens—revisit the role of gold and USD against stock: a multivariate extended skew-tcopula approach, Multivariate models for dependent clusters of variables with conditional independence given aggregation variables, Tail densities of skew-elliptical distributions, Stochastic modelling of volatility and inter-relationships in the Australian electricity markets, Tail asymptotics for the bivariate skew normal, Tail dependence functions of two classes of bivariate skew distributions, Unnamed Item, The bivariate normal copula function is regularly varying, Convergence rate to a lower tail dependence coefficient of a skew-\(t\) distribution, Tail dependence functions of the bivariate Hüsler-Reiss model, Tail asymptotics for the bivariate equi-skew generalized hyperbolic distribution and its variance-gamma special case, Maximum likelihood estimation of skew-t copulas with its applications to stock returns, Tail dependence for skew Laplace distribution and skew Cauchy distribution, Tail Behaviour and Tail Dependence of Generalized Hyperbolic Distributions, An overview on the progeny of the skew-normal family -- a personal perspective, Extremal Properties and Tail Asymptotic of Alpha-Skew-Normal Distribution

Uses Software

• sn

Cites Work

• Unnamed Item
• Unnamed Item
• Tail dependence of skewed grouped \(t\)-distributions
• Statistical properties of the generalized inverse Gaussian distribution
• An introduction to copulas. Properties and applications
• Tail dependence for elliptically contoured distributions
• A note on moment generating functions
• The t Copula and Related Copulas
• Some skew-symmetric models
• The multivariate skew-normal distribution
• Multivariate extremes, aggregation and dependence in elliptical distributions
• The Skew-normal Distribution and Related Multivariate Families*
• A general class of multivariate skew-elliptical distributions