Tail dependence for two skew t distributions

DOI10.1016/J.SPL.2010.01.011MaRDI QIDQ968464zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3930122 (Why is no real title available?)
• scientific article; zbMATH DE number 3088518 (Why is no real title available?)
• A general class of multivariate skew-elliptical distributions
• A note on moment generating functions
• An introduction to copulas. Properties and applications
• Multivariate extremes, aggregation and dependence in elliptical distributions
• Some skew-symmetric models
• Statistical properties of the generalized inverse Gaussian distribution
• Tail dependence for elliptically contoured distributions
• Tail dependence of skewed grouped \(t\)-distributions
• The Skew-normal Distribution and Related Multivariate Families*
• The multivariate skew-normal distribution
• The t Copula and Related Copulas

Cited in

(22)

• Measuring and testing tail equivalence
• 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 dependence of generalized modified skew slash distribution
• Tail asymptotics for the bivariate equi-skew generalized hyperbolic distribution and its variance-gamma special case
• The bivariate normal copula function is regularly varying
• Tail dependence for skew Laplace distribution and skew Cauchy distribution
• Stochastic modelling of volatility and inter-relationships in the Australian electricity markets
• Maximum likelihood estimation of skew-t copulas with its applications to stock returns
• Tail asymptotics for the bivariate skew normal
• 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
• Hedges or safe havens -- revisit the role of gold and USD against stock: a multivariate extended skew-t copula approach
• scientific article; zbMATH DE number 6789278 (Why is no real title available?)
• 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
• Extremal properties and tail asymptotic of alpha-skew-normal distribution
• Tail dependence of skew t-copulas

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