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Tail dependence of skewed grouped t-distributions

Author

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  • Banachewicz, Konrad
  • van der Vaart, Aad

Abstract

We derive the upper tail dependence coefficient (TDC) for a random vector following a grouped skewed t-distribution. We also analyze the impact of parameter changes on the TDC.

Suggested Citation

  • Banachewicz, Konrad & van der Vaart, Aad, 2008. "Tail dependence of skewed grouped t-distributions," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2388-2399, October.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:15:p:2388-2399
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    References listed on IDEAS

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    1. Frahm, Gabriel, 2006. "On the extremal dependence coefficient of multivariate distributions," Statistics & Probability Letters, Elsevier, vol. 76(14), pages 1470-1481, August.
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    Cited by:

    1. Fung, Thomas & Seneta, Eugene, 2010. "Tail dependence for two skew t distributions," Statistics & Probability Letters, Elsevier, vol. 80(9-10), pages 784-791, May.
    2. Koliai, Lyes, 2016. "Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 1-22.
    3. Jondeau, Eric, 2016. "Asymmetry in tail dependence in equity portfolios," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 351-368.
    4. Xiaolin Luo & Pavel V. Shevchenko, 2007. "The t copula with Multiple Parameters of Degrees of Freedom: Bivariate Characteristics and Application to Risk Management," Papers 0710.3959, arXiv.org, revised Feb 2010.
    5. Fung, Thomas & Seneta, Eugene, 2011. "The bivariate normal copula function is regularly varying," Statistics & Probability Letters, Elsevier, vol. 81(11), pages 1670-1676, November.
    6. Thomas Fung & Eugene Seneta, 2010. "Modelling and Estimation for Bivariate Financial Returns," International Statistical Review, International Statistical Institute, vol. 78(1), pages 117-133, April.
    7. Joe, Harry & Sang, Peijun, 2016. "Multivariate models for dependent clusters of variables with conditional independence given aggregation variables," Computational Statistics & Data Analysis, Elsevier, vol. 97(C), pages 114-132.

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