The weak tail dependence coefficient of the elliptical generalized hyperbolic distribution (Q906647)
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scientific article; zbMATH DE number 6534693
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| English | The weak tail dependence coefficient of the elliptical generalized hyperbolic distribution |
scientific article; zbMATH DE number 6534693 |
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The weak tail dependence coefficient of the elliptical generalized hyperbolic distribution (English)
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22 January 2016
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extreme value theory
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tail dependence
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hyperbolic tail quantile
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copula
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0.8178640007972717
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0.8136166930198669
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0.8136166930198669
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0.8037210702896118
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0.8020005226135254
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