Tail asymptotics for the bivariate equi-skew generalized hyperbolic distribution and its Variance-Gamma special case

Thomas Fung; Eugene Seneta

doi:10.1016/j.spl.2021.109182

Tail asymptotics for the bivariate equi-skew generalized hyperbolic distribution and its Variance-Gamma special case

Thomas Fung^*, Eugene Seneta

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

Abstract

We derive the asymptotic rate of decay to the tail dependence coefficient, zero, of the bivariate Variance-Gamma distribution under an equal-skewness condition, using the bivariate skew Generalized Hyperbolic distribution. The bivariate problem is first reduced to a univariate one.

Original language	English
Article number	109182
Pages (from-to)	1-8
Number of pages	8
Journal	Statistics and Probability Letters
Volume	178
DOIs	https://doi.org/10.1016/j.spl.2021.109182
Publication status	Published - Nov 2021

Keywords

Asymptotic tail dependence coefficient
Bivariate generalized hyperbolic distribution
Convergence rate
Mean–variance mixing
Copula
Bivariate symmetric t-distribution

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10.1016/j.spl.2021.109182

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title = "Tail asymptotics for the bivariate equi-skew generalized hyperbolic distribution and its Variance-Gamma special case",

abstract = "We derive the asymptotic rate of decay to the tail dependence coefficient, zero, of the bivariate Variance-Gamma distribution under an equal-skewness condition, using the bivariate skew Generalized Hyperbolic distribution. The bivariate problem is first reduced to a univariate one.",

keywords = "Asymptotic tail dependence coefficient, Bivariate generalized hyperbolic distribution, Convergence rate, Mean–variance mixing, Copula, Bivariate symmetric t-distribution",

author = "Thomas Fung and Eugene Seneta",

year = "2021",

month = nov,

doi = "10.1016/j.spl.2021.109182",

language = "English",

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journal = "Statistics and Probability Letters",

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T1 - Tail asymptotics for the bivariate equi-skew generalized hyperbolic distribution and its Variance-Gamma special case

AU - Fung, Thomas

AU - Seneta, Eugene

PY - 2021/11

Y1 - 2021/11

N2 - We derive the asymptotic rate of decay to the tail dependence coefficient, zero, of the bivariate Variance-Gamma distribution under an equal-skewness condition, using the bivariate skew Generalized Hyperbolic distribution. The bivariate problem is first reduced to a univariate one.

AB - We derive the asymptotic rate of decay to the tail dependence coefficient, zero, of the bivariate Variance-Gamma distribution under an equal-skewness condition, using the bivariate skew Generalized Hyperbolic distribution. The bivariate problem is first reduced to a univariate one.

KW - Asymptotic tail dependence coefficient

KW - Bivariate generalized hyperbolic distribution

KW - Convergence rate

KW - Mean–variance mixing

KW - Copula

KW - Bivariate symmetric t-distribution

UR - https://www.scopus.com/pages/publications/85109063780

U2 - 10.1016/j.spl.2021.109182

DO - 10.1016/j.spl.2021.109182

M3 - Article

AN - SCOPUS:85109063780

SN - 0167-7152

VL - 178

SP - 1

EP - 8

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

M1 - 109182

ER -

Tail asymptotics for the bivariate equi-skew generalized hyperbolic distribution and its Variance-Gamma special case

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Keywords

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