March 5, 2010
Thomas Fung
Department of Statistics
Macquarie University
Title:  Modelling and Estimation for Bivariate Financial Returns

Asbtract:  Maximum likelihood estimates are obtained for long data sets of bivariate financial returns using mixing representation of the bivariate (skew) Variance Gamma and (skew) t distributions. By analysing simulated and real data, issues such as asymptotic lower tail dependence and competitiveness of the two models are illustrated. A brief review of the properties of the models is also included.