ResearchTrend.AI
  • Papers
  • Communities
  • Events
  • Blog
  • Pricing
Papers
Communities
Social Events
Terms and Conditions
Pricing
Parameter LabParameter LabTwitterGitHubLinkedInBlueskyYoutube

© 2025 ResearchTrend.AI, All rights reserved.

  1. Home
  2. Papers
  3. 2010.06153
15
0

Tail asymptotics for the bivariate equi-skew Variance-Gamma distribution

13 October 2020
Thomas Fung
E. Seneta
ArXiv (abs)PDFHTML
Abstract

We derive the asymptotic rate of decay to zero of the tail dependence of the bivariate skew Variance Gamma (VG) distribution under the equal-skewness condition, as an explicit regularly varying function. Our development is in terms of a slightly more general bivariate skew Generalized Hyperbolic (GH) distribution. Our initial reduction of the bivariate problem to a univariate one is motivated by our earlier study of tail dependence rate for the bivariate skew normal distribution

View on arXiv
Comments on this paper