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Communications in Statistics - Simulation and Computation Volume 46, 2017 - Issue 2
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Original Articles

Tail dependence of skew t-copulas

Tõnu KolloInstitute of Mathematics and Statistics, University of Tartu, Tartu, EstoniaCorrespondence[email protected]
,
Gaida PettereDepartment of Engeneering Mathematics, Riga Technical University, Riga, Latvia
&
Marju ValgeInstitute of Mathematics and Statistics, University of Tartu, Tartu, Estonia
Pages 1024-1034 | Received 15 Nov 2013, Accepted 10 Nov 2014, Published online: 02 Nov 2016

Citations (9)

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Yujian Liu, Dejun Xie, Yazhe Li & Siyi Yu. (2023) Nonparametric Bayesian modeling on infinite mixture Student t copulas. Communications in Statistics - Simulation and Computation 0:0, pages 1-19.
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Articles from other publishers (8)

Xin Lao, Zuoxiang Peng & Saralees Nadarajah. (2023) Tail Dependence Functions of Two Classes of Bivariate Skew Distributions. Methodology and Computing in Applied Probability 25:1.
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Ji-Eun Choi & Dong Wan Shin. (2021) Quantile correlation coefficient: a new tail dependence measure. Statistical Papers 63:4, pages 1075-1104.
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Shuang Hu, Zuoxiang Peng & Saralees Nadarajah. (2022) Tail dependence functions of the bivariate Hüsler–Reiss model. Statistics & Probability Letters 180, pages 109235.
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Tõnu Kollo, Meelis Käärik & Anne Selart. (2021) Multivariate Skew t-Distribution: Asymptotics for Parameter Estimators and Extension to Skew t-Copula. Symmetry 13:6, pages 1059.
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Tõnu Kollo. 2021. Multivariate, Multilinear and Mixed Linear Models. Multivariate, Multilinear and Mixed Linear Models 17 40 .
Manuele Leonelli & Dani Gamerman. (2019) Semiparametric bivariate modelling with flexible extremal dependence. Statistics and Computing 30:2, pages 221-236.
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Chris Adcock & Adelchi Azzalini. (2020) A Selective Overview of Skew-Elliptical and Related Distributions and of Their Applications. Symmetry 12:1, pages 118.
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Darja Stepchenko, Gaida Pettere & Irina Voronova. (2015) Improvement of operational risk measurement under the Solvency II framework. Risk Governance and Control: Financial Markets and Institutions 5:2, pages 135-141.
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