Tail dependence for skew Laplace distribution and skew Cauchy distribution |
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| Authors: | Jiannan Ning |
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| Affiliation: | 1. School of Mathematics and Statistics, Southwest University, Beibei, Chongqing, China;2. School of Mathematics and Finance, Chongqing University of Arts and Sciences Yongchuan, Chongqing, China;3. Key Laboratory of Data Analyzing and Image Processing, Chongqing University of Arts and Sciences Yongchuan, Chongqing, China;4. School of Finance and Economics, Yangtze Normal University, Fuling, Chongqing, China |
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| Abstract: | ABSTRACTCoefficient of tail dependence measures the strength of dependence in the tail of a bivariate distribution and it has been found useful in the risk management. In this paper, we derive the upper tail dependence coefficient for a random vector following the skew Laplace distribution and the skew Cauchy distribution, respectively. The result shows that skew Laplace distribution is asymptotically independent in upper tail, however, skew Cauchy distribution has asymptotic upper tail dependence. |
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| Keywords: | Asymptotic tail dependence Copula Generalized asymmetric Laplace distribution Skew Cauchy distribution Variance–mean mixture |
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