Modelling and estimation for bivariate financial returns

DOI10.1111/J.1751-5823.2010.00106.XMaRDI QIDQ6574879FDOQ6574879

Authors: Thomas Fung, Eugene Seneta 

Publication date: 19 July 2024

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

zbMATH Keywords

maximum likelihood estimationmultivariate skew distributionskew \(t\) distributions\texttt{WinBUGS}tail behaviourasymptotic tail dependenceskew Variance Gamma distribution

Mathematics Subject Classification ID

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

Cites Work

• Statistical Applications of the Multivariate Skew Normal Distribution
• Title not available (Why is that?)
• A Generalization of the Gamma Distribution
• The t Copula and Related Copulas
• A general class of multivariate skew-elliptical distributions
• Tail dependence for elliptically contoured distributions
• The multivariate skew-normal distribution
• Dependence measures for extreme value analyses
• Multivariate extremes, aggregation and dependence in elliptical distributions
• Some skew-symmetric models
• A multivariate jump-driven financial asset model
• Tail dependence of skewed grouped \(t\)-distributions
• Tail dependence for two skew \(t\) distributions
• Tailweight, quantiles and kurtosis: A study of competing distributions
• Title not available (Why is that?)
• Stationary-increment variance-gamma and \(t\) models: simulation and parameter estimation

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