Tail dependence for two skew t distributions

We examine two bivariate skew t distributions, both of which generalize the bivariate symmetric t distribution. The second, based on the bivariate skew normal distribution, always displays positive asymptotic lower tail dependence. The difference is associated with the varying tail behavior of the marginals.

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Year of publication:	2010
Authors:	Fung, Thomas ; Seneta, Eugene
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 80.2010, 9-10, p. 784-791
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008488243