Modelling and estimation for bivariate financial returns

<a class="pub-badge pub-badge--doi" href="https://doi.org/10.1111/J.1751-5823.2010.00106.X" rel="nofollow">DOI 10.1111/J.1751-5823.2010.00106.X</a><a class="pub-badge pub-badge--mardi" href="https://portal.mardi4nfdi.de/wiki/Item:Q6574879" rel="nofollow">MaRDI QID Q6574879</a><a class="pub-badge pub-badge--grey" href="https://fdo.portal.mardi4nfdi.de/fdo/Q6574879" rel="nofollow">FDO</a>

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

• scientific article; zbMATH DE number 1911984 (Why is no real title available?)
• scientific article; zbMATH DE number 5499190 (Why is no real title available?)
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• 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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