Extreme value properties of multivariate t copulas

Author： Nikoloulopoulos Aristidis   Joe Harry   Li Haijun  

Publisher： Springer Publishing Company

ISSN： 1386-1999

Source： Extremes, Vol.12, Iss.2, 2009-06, pp. : 129-148

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Abstract

The extremal dependence behavior of t copulas is examined and their extreme value limiting copulas, called the t-EV copulas, are derived explicitly using tail dependence functions. As two special cases, the Hüsler–Reiss and the Marshall–Olkin distributions emerge as limits of the t-EV copula as the degrees of freedom go to infinity and zero respectively. The t copula and its extremal variants attain a wide range in the set of bivariate tail dependence parameters.

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