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Authors: Fung, Thomas
Date: 2011
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/199644
Description: We examine the rate of decay to zero of the tail dependence coefficient ofthe bivariate skew t distribution which is obtained via normal variance-meanmixture in a case where there is no asymptotic tai ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/148295
Description: We derive the rate of decay of the tail dependence of the bivariate normal distribution and establish its link with regularly varying functions. This result is an initial step in explaining the discre ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/147015
Description: Maximum likelihood estimates are obtained for long data sets of bivariate financial returns using mixing representation of the bivariate (skew) Variance Gamma (VG) and two (skew) t distributions. By a ... More
Reviewed: Reviewed
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