Tail dependence coefficient of generalized hyperbolic distribution

Mohalilou Aleiyouka,Alexandre Berred,Mohammad Ahsanullah

doi:10.2991/jsta.2017.16.3.9

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.

Highlights

The generalized hyperbolic distribution was introduced in [3], and has been developed by many authors, see among others [17], [12], [16], [2], especially in relation with several applications in the Finance, see [15], [6]
The aim of this paper is to provide an analytic result of the tail dependence coefficient of the generalised hyperbolic model
It follows that the corresponding distribution function QW2 satisfies, as x → ∞, 1 − QW2(x) ∼

Summary

Tail dependence coefficient of generalized hyperbolic distribution

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.

Introduction

The function

For x

It follows that the corresponding distribution function

Kλ K