Tail asymptotics for the bivariate equi-skew generalized hyperbolic distribution and its Variance-Gamma special case

Abstract

We derive the asymptotic rate of decay to the tail dependence coefficient, zero, of the bivariate Variance-Gamma distribution under an equal-skewness condition, using the bivariate skew Generalized Hyperbolic distribution. The bivariate problem is first reduced to a univariate one.