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ArticleExtreme value properties of multivariate t copulas

Aristidis K. Nikoloulopoulos2008

Article2008

Extreme value properties of multivariate t copulas

Aristidis K. Nikoloulopoulos · Harry Joe · Haijun Li

125 citations·0/0 files stored·Extremes

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

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References

2005Quantitative Risk Management: Concepts, Techniques, and Tools 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 2006Quantitative Risk Management: Concepts, Techniques, and Tools 2007The t Copula and Related Copulas 2006Uncertainty Analysis with High Dimensional Dependence Modelling 2002Risk Management: Value at Risk and Beyond 2004Laws of Small Numbers: Extremes and Rare Events 1989Maxima of normal random vectors: Between independence and complete dependence

Cited by

2013Extremal t processes: Elliptical domain of attraction and a spectral representation 2015Efficient inference and simulation for elliptical Pareto processes 2015High-Order Composite Likelihood Inference for Max-Stable Distributions and Processes 2013Spatial extremes: Max-stable processes at work 2016Non-Stationary Dependence Structures for Spatial Extremes 2013Copula-Based Models for Multivariate Discrete Response Data

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Details

Year2008

Typearticle

Published2008-10-03

VenueExtremes

ISSN-L1386-1999

Languageen

Citations125

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s10687-008-0072-4

openalex_workW2037593253

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2010Tail Risk of Multivariate Regular Variation

2013Extreme value copulas and max-stable processes