The weak tail dependence coefficient of the elliptical generalized hyperbolic distribution |
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Authors: | Stephan Schlueter Matthias Fischer |
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Affiliation: | 1. Department of Statistics and Econometrics, University of Erlangen-Nuremberg, Lange Gasse 20, 90403, Nuremberg, Germany
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Abstract: | The strong and the weak tail dependence coefficients are measures that quantify the probability of conjoint extreme events of two random variables. Whereas formulas for both tail dependence coefficients exist for the Gaussian and Student t distribution, only the strong tail dependence coefficient is known for their super-model, the elliptical generalized hyperbolic distribution, which is extremely popular in finance (see Schmidt 2003). In this work we derive a simple expression for the corresponding weak tail dependence coefficient using the mixture representation of the elliptical generalized hyperbolic distribution. |
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