Tail asymptotics for the bivariate skew normal

DOI10.1016/J.JMVA.2015.11.002MaRDI QIDQ901284zbMATH OpenOpenAlexFDO

Authors Thomas Fung, Eugene Seneta

Publication date 23 December 2015

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2015.11.002

zbMATH Keywords

convergence ratequantile functionresidual tail dependenceintermediate tail dependenceasymptotic tail dependence coefficientbivariate skew normal distribution

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Measures of association (correlation, canonical correlation, etc.) (62H20)

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• The bivariate normal copula function is regularly varying
• The joint distribution of stock returns is not elliptical
• The multivariate skew-normal distribution

Cited in

(14)

• A theorem on the asymptotics of skew-normal type integrals
• Quantile function expansion using regularly varying functions
• Tail asymptotics for the bivariate equi-skew generalized hyperbolic distribution and its variance-gamma special case
• The bivariate normal copula function is regularly varying
• Skew shape asymptotics, a case-based introduction
• On the approximation of the tail probability of the scalar skew-normal distribution
• Methanol futures hedging with skewed normal distribution by copula method
• scientific article; zbMATH DE number 7660129 (Why is no real title available?)
• Convergence rate to a lower tail dependence coefficient of a skew-\(t\) distribution
• Tail dependence functions of two classes of bivariate skew distributions
• Tail dependence functions of the bivariate Hüsler-Reiss model
• Tail dependence for two skew slash distributions
• Tail dependence for two skew t distributions
• Extremal properties and tail asymptotic of alpha-skew-normal distribution

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