Tail Behaviour and Tail Dependence of Generalized Hyperbolic Distributions
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Publication:4976492
DOI10.1007/978-3-319-45875-5_1zbMath1384.60054OpenAlexW2559625507MaRDI QIDQ4976492
Publication date: 31 July 2017
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-45875-5_1
Numerical methods (including Monte Carlo methods) (91G60) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05) Stochastic integral equations (60H20)
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Modeling spatial extremes using normal mean-variance mixtures ⋮ Controlling the flexibility of non-Gaussian processes through shrinkage priors ⋮ Tail asymptotics for the bivariate equi-skew generalized hyperbolic distribution and its variance-gamma special case
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