Tail dependence for two skew t distributions

DOI10.1016/J.SPL.2010.01.011zbMATH Open1186.62069OpenAlexW2084636624MaRDI QIDQ968464FDOQ968464

Authors: Thomas Fung, Eugene Seneta 

Publication date: 5 May 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.01.011

Recommendations

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• Tail dependence functions of two classes of bivariate skew distributions

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Statistics of extreme values; tail inference (62G32)

Cites Work

• An introduction to copulas. Properties and applications
• Title not available (Why is that?)
• The t Copula and Related Copulas
• The Skew-normal Distribution and Related Multivariate Families*
• A general class of multivariate skew-elliptical distributions
• Statistical properties of the generalized inverse Gaussian distribution
• Tail dependence for elliptically contoured distributions
• The multivariate skew-normal distribution
• Multivariate extremes, aggregation and dependence in elliptical distributions
• Title not available (Why is that?)
• Some skew-symmetric models
• A note on moment generating functions
• Tail dependence of skewed grouped \(t\)-distributions

Cited In (20)

• Multivariate models for dependent clusters of variables with conditional independence given aggregation variables
• An overview on the progeny of the skew-normal family -- a personal perspective
• Modelling and estimation for bivariate financial returns
• Tail densities of skew-elliptical distributions
• Tail asymptotics for the bivariate equi-skew generalized hyperbolic distribution and its variance-gamma special case
• The bivariate normal copula function is regularly varying
• Stochastic modelling of volatility and inter-relationships in the Australian electricity markets
• Tail dependence for skew Laplace distribution and skew Cauchy distribution
• Extremal Properties and Tail Asymptotic of Alpha-Skew-Normal Distribution
• Maximum likelihood estimation of skew-t copulas with its applications to stock returns
• Title not available (Why is that?)
• Tail asymptotics for the bivariate skew normal
• Convergence rate to a lower tail dependence coefficient of a skew-\(t\) distribution
• Title not available (Why is that?)
• Hedges or safe havens -- revisit the role of gold and USD against stock: a multivariate extended skew-\(t\) copula approach
• 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 Behaviour and Tail Dependence of Generalized Hyperbolic Distributions
• Tail dependence of skew \(t\)-copulas

Uses Software

• sn

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