Modelling and estimation for bivariate financial returns

DOI10.1111/J.1751-5823.2010.00106.XMaRDI QIDQ6574879zbMATH OpenFDO

Authors Thomas Fung, Eugene Seneta

Publication date 19 July 2024

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

Full work available at URL https://doi.org/10.1111/J.1751-5823.2010.00106.X

zbMATH Keywords

\texttt{WinBUGS}asymptotic tail dependencemaximum likelihood estimationmultivariate skew distributionskew \(t\) distributionsskew Variance Gamma distributiontail behaviour

Mathematics Subject Classification ID

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

Cites work

• A general class of multivariate skew-elliptical distributions
• A Generalization of the Gamma Distribution
• A multivariate jump-driven financial asset model
• Dependence measures for extreme value analyses
• scientific article; zbMATH DE number 1911984 (Why is no real title available?)
• scientific article; zbMATH DE number 5499190 (Why is no real title available?)
• Multivariate extremes, aggregation and dependence in elliptical distributions
• Some skew-symmetric models
• Stationary-increment variance-gamma and \(t\) models: simulation and parameter estimation
• Statistical Applications of the Multivariate Skew Normal Distribution
• Tail dependence for elliptically contoured distributions
• Tail dependence for two skew t distributions
• Tail dependence of skewed grouped \(t\)-distributions
• Tailweight, quantiles and kurtosis: A study of competing distributions
• The multivariate skew-normal distribution
• The t Copula and Related Copulas

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