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Search: subject:"Bivariate skew-t distribution"
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Bivariate skew-t distribution
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ARCH model
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Ansteckungseffekt
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Asymmetry
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Asymptotic tail dependence coefficient
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Bivariate skew-elliptical distribution
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Fung, Thomas
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Nolde, Natalia
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Seneta, Eugene
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Zhang, Jinyuan
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Journal of Multivariate Analysis
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Conditional extremes in asymmetric financial markets
Nolde, Natalia
;
Zhang, Jinyuan
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
1
,
pp. 201-213
Persistent link: https://www.econbiz.de/10012179547
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2
Convergence rate to a lower tail dependence coefficient of a skew-t distribution
Fung, Thomas
;
Seneta, Eugene
- In:
Journal of Multivariate Analysis
128
(
2014
)
C
,
pp. 62-72
We examine the rate of decay to the limit of the tail dependence coefficient of a
bivariate
skew-t
distribution
. This …
Persistent link: https://www.econbiz.de/10010776638
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