Journal of Statistical Theory and Applications (JSTA) (Aug 2017)

Tail dependence coefficient of generalized hyperbolic distribution

  • Mohalilou Aleiyouka,
  • Alexandre Berred,
  • Mohammad Ahsanullah

DOI
https://doi.org/10.2991/jsta.2017.16.3.9
Journal volume & issue
Vol. 16, no. 3

Abstract

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The tail dependence describes the limiting proportion of exceeding one margin over a certain threshold given that the other margin has already exceeded that threshold. In this paper, we obtain the limit tail dependence coefficient for the generalized hyperbolic distribution.

Keywords