Tail dependence and skew distributions

DOI10.1080/14697681003724826zbMath1278.62089MaRDI QIDQ3169211

Eugene Seneta, Thomas Fung

Publication date: 28 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697681003724826

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

62H20: Measures of association (correlation, canonical correlation, etc.)

62H05: Characterization and structure theory for multivariate probability distributions; copulas

60E05: Probability distributions: general theory

Related Items

The bivariate normal copula function is regularly varying, Tail asymptotics for the bivariate equi-skew generalized hyperbolic distribution and its variance-gamma special case, Convergence rate to a lower tail dependence coefficient of a skew-\(t\) distribution, Tail dependence for skew Laplace distribution and skew Cauchy distribution

Cites Work

• Tail dependence of skewed grouped \(t\)-distributions
• Subordinated market index models: A comparison
• Tail dependence for elliptically contoured distributions
• Tailweight, quantiles and kurtosis: A study of competing distributions
• Copulas: Tales and facts (with discussion)
• The t Copula and Related Copulas
• A multivariate jump-driven financial asset model
• The Two-Dimensional Hyperbolic Distribution and Related Distributions, with an Application to Johannsen's Bean Data
• Multivariate extremes, aggregation and dependence in elliptical distributions