Copula Modeling for Extremes

Christian Genest · Johanna Nešlehová

16 citations0/0 files storedWiley StatsRef: Statistics Reference Online

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Financial Risk and Volatility Modeling Statistical Distribution Estimation and Applications Probability and Risk Models

Abstract

Abstract This article introduces extreme‐value copulas, reviews models from this class, and describes their main properties. The associated rank‐based estimation procedures and model validation techniques are also presented.

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References

2006Quantitative Risk Management: Concepts, Techniques, and Tools 2004Statistics of Extremes 2000Extreme Value Distributions 2007Goodness-of-fit tests for copulas: A review and a power study 1998Understanding Relationships Using Copulas 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions 2007The t Copula and Related Copulas 1988Bivariate Extreme Value Theory: Models and Estimation

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