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Tail dependence and skew distributions

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  • Thomas Fung
  • Eugene Seneta

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  • Thomas Fung & Eugene Seneta, 2010. "Tail dependence and skew distributions," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 327-333.
    • Handle: RePEc:taf:quantf:v:11:y:2010:i:3:p:327-333
    DOI: 10.1080/14697681003724826
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    References listed on IDEAS

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    1. Elisa Luciano & Wim Schoutens, 2006. "A multivariate jump-driven financial asset model," Quantitative Finance, Taylor & Francis Journals, vol. 6(5), pages 385-402.
    2. Madan, Dilip B & Seneta, Eugene, 1990. "The Variance Gamma (V.G.) Model for Share Market Returns," The Journal of Business, University of Chicago Press, vol. 63(4), pages 511-524, October.
    3. Simon Hurst & Eckhard Platen & Svetlozar Rachev, 1997. "Subordinated Market Index Models: A Comparison," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 4(2), pages 97-124, May.
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    Citations

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    Cited by:

    1. Azzalini, Adelchi, 2022. "An overview on the progeny of the skew-normal family— A personal perspective," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
    2. Chung-Shin Liu & Meng-Shiuh Chang & Ximing Wu & Chin Man Chui, 2016. "Hedges or safe havens—revisit the role of gold and USD against stock: a multivariate extended skew- copula approach," Quantitative Finance, Taylor & Francis Journals, vol. 16(11), pages 1763-1789, November.
    3. Efstathios Panayi & Gareth W. Peters, 2015. "Stochastic simulation framework for the limit order book using liquidity-motivated agents," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(02), pages 1-52.
    4. Hu, Shuang & Peng, Zuoxiang & Nadarajah, Saralees, 2022. "Tail dependence functions of the bivariate Hüsler–Reiss model," Statistics & Probability Letters, Elsevier, vol. 180(C).
    5. Fung, Thomas & Seneta, Eugene, 2016. "Tail asymptotics for the bivariate skew normal," Journal of Multivariate Analysis, Elsevier, vol. 144(C), pages 129-138.
    6. Fung, Thomas & Seneta, Eugene, 2021. "Tail asymptotics for the bivariate equi-skew generalized hyperbolic distribution and its Variance-Gamma special case," Statistics & Probability Letters, Elsevier, vol. 178(C).
    7. Xin Lao & Zuoxiang Peng & Saralees Nadarajah, 2023. "Tail Dependence Functions of Two Classes of Bivariate Skew Distributions," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-24, March.
    8. Fung, Thomas & Seneta, Eugene, 2011. "The bivariate normal copula function is regularly varying," Statistics & Probability Letters, Elsevier, vol. 81(11), pages 1670-1676, November.
    9. Joe, Harry & Li, Haijun, 2019. "Tail densities of skew-elliptical distributions," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 421-435.
    10. Efstathios Panayi & Gareth Peters, 2015. "Stochastic simulation framework for the Limit Order Book using liquidity motivated agents," Papers 1501.02447, arXiv.org, revised Jan 2015.
    11. Fung, Thomas & Seneta, Eugene, 2014. "Convergence rate to a lower tail dependence coefficient of a skew-t distribution," Journal of Multivariate Analysis, Elsevier, vol. 128(C), pages 62-72.
    12. 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.
    13. 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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