Convergence rate to a lower tail dependence coefficient of a skew-t distribution

Thomas Fung and Eugene Seneta

Journal of Multivariate Analysis, 2014, vol. 128, issue C, 62-72

Abstract: We examine the rate of decay to the limit of the tail dependence coefficient of a bivariate skew-t distribution. This distribution always displays asymptotic tail dependence. It contains as a special case the usual bivariate symmetric t distribution, and hence is an appropriate (skew) extension. The rate is asymptotically a power-law. The second-order structure of the univariate quantile function for such a skew-t distribution is a central issue. Our results generalise those for the bivariate symmetric t.

Keywords: Bivariate skew-t distribution; Asymptotic tail dependence coefficient; Quantile function; Convergence rate (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (6)

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DOI: 10.1016/j.jmva.2014.03.004

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