Abstract
We derive the upper tail dependence coefficient (TDC) for a random vector following a grouped skewed t-distribution. We also analyze the impact of parameter changes on the TDC. © 2008 Elsevier B.V. All rights reserved.
Original language | English |
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Pages (from-to) | 2388-2399 |
Journal | Statistics and Probability Letters |
Volume | 78 |
Issue number | 15 |
DOIs | |
Publication status | Published - 2008 |