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- W2007311982 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." @default.
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- W2007311982 title "Convergence rate to a lower tail dependence coefficient of a skew-<mml:math xmlns:mml=http://www.w3.org/1998/Math/MathML altimg=si15.gif display=inline overflow=scroll><mml:mi>t</mml:mi></mml:math>distribution" @default.
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- W2007311982 doi "https://doi.org/10.1016/j.jmva.2014.03.004" @default.
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