Journal of Statistical Theory and Applications

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Volume 16, Issue 3, September 2017, Pages 375 - 381

Tail dependence coefficient of generalized hyperbolic distribution

Authors
Mohalilou Aleiyouka, Alexandre Berred, Mohammad Ahsanullah
Corresponding Author
Mohalilou Aleiyouka
Received 27 June 2016, Accepted 12 July 2017, Available Online 1 September 2017.
DOI
10.2991/jsta.2017.16.3.9How to use a DOI?
Keywords
Tail dependence; hyperbolic generalized; extreme value.
Abstract

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.

Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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<Previous Article In Issue
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Journal
Journal of Statistical Theory and Applications
Volume-Issue
16 - 3
Pages
375 - 381
Publication Date
2017/09/01
ISSN (Online)
2214-1766
ISSN (Print)
1538-7887
DOI
10.2991/jsta.2017.16.3.9How to use a DOI?
Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

risenwbib
TY  - JOUR
AU  - Mohalilou Aleiyouka
AU  - Alexandre Berred
AU  - Mohammad Ahsanullah
PY  - 2017
DA  - 2017/09/01
TI  - Tail dependence coefficient of generalized hyperbolic distribution
JO  - Journal of Statistical Theory and Applications
SP  - 375
EP  - 381
VL  - 16
IS  - 3
SN  - 2214-1766
UR  - https://doi.org/10.2991/jsta.2017.16.3.9
DO  - 10.2991/jsta.2017.16.3.9
ID  - Aleiyouka2017
ER  -