Extreme value properties of multivariate t copulas

Extremes

Volumn 12, Issue 2, 2009, Pages 129-148

  Nikoloulopoulos, Aristidis K ^a   Joe, Harry ^a   Li, Haijun ^b  

^a UNIVERSITY OF BRITISH COLUMBIA   (Canada)

^b WASHINGTON STATE UNIVERSITY   (United States)

Author keywords

Extreme value; T Copula; Tail dependence function

Indexed keywords

EID: 67349215118     PISSN: 13861999     EISSN: 1572915X     Source Type: Journal    
DOI: 10.1007/s10687-008-0072-4     Document Type: Article

References (16)

1. S. Demarta A.J. McNeil 2005 The t copula and related copulas Int. Stat. Rev. 73 111 129
2. Embrechts, P., McNeil, A.J., Straumann, D.: Correlation and dependency in risk management: properties and pitfalls. In: Dempster M. (ed.) Risk Management: Value at Risk and Beyond, pp. 176-223. Cambridge University Press, Cambridge (2002)
3. Falk, M., Hüsler, J., Reiss, R.-D.: Laws of Small Numbers: Extremes and Rare Events. DMV Seminar 23, 2nd edn. Birkhäuser, Basel (2004)
4. A. Genz F. Bretz 2002 Methods for the computation of multivariate t-probabilities J. Comput. Graph. Stat. 11 950 971
5. E. Hashorva 2006 On the multivariate Hüsler-Reiss distribution attracting the maxima of elliptical triangular arrays Stat. Probab. Lett. 76 18 2027 2035
6. J. Hüsler R.-D. Reiss 1989 Maxima of normal random vectors: between independence and complete dependence Stat. Probab. Lett. 7 4 283 286
7. Joe, H.: Multivariate Models and Dependence Concepts. Chapman & Hall, London (1997)
8. Kotz, S., Nadarajah, S.: Multivariate t Distributions and Their Applications. Cambridge University Press, Cambridge (2004)
9. Kurowicka, D., Cooke, R.: Uncertainty Analysis with High Dimensional Dependence Modelling. Wiley, Chichester (2006)
10. H. Li 2008 Tail dependence comparison of survival Marshall-Olkin copulas Methodol. Comput. Appl. Probab. 10 1 39 54
11. A. Marshall I. Olkin 1967 A generalized bivariate exponential distribution J. Appl. Probab. 4 291 302
12. A. Marshall I. Olkin 1967 A multivariate exponential distribution J. Am. Stat. Assoc. 62 30 44
13. McNeil, A.J., Frey, R., Embrechts, P.: Quantitative Risk Management: Concepts, Techniques, and Tools. Princeton University Press, Princeton (2005)
14. T. Mikosch 2006 Copulas: Tales and facts Extremes 9 3 20
15. M. Sibuya 1960 Bivariate extreme statistics Ann. Inst. Stat. Math. 11 195 210
16. Wilson, E.B.: Advanced Calculus. Ginn and Company, Boston (1912)