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Generalized Pareto copulas: A key to multivariate extremes

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  • Falk, Michael
  • Padoan, Simone A.
  • Wisheckel, Florian

Abstract

This paper reviews generalized Pareto copulas (GPC), which are a key to multivariate extreme value theory. Any generalized Pareto copula can be represented in an easy analytical way using a particular type of norm on Rd, called D-norm. The characteristic property of a generalized Pareto copula is its exceedance stability.

Suggested Citation

  • Falk, Michael & Padoan, Simone A. & Wisheckel, Florian, 2019. "Generalized Pareto copulas: A key to multivariate extremes," Journal of Multivariate Analysis, Elsevier, vol. 174(C).
    • Handle: RePEc:eee:jmvana:v:174:y:2019:i:c:s0047259x19300296
    DOI: 10.1016/j.jmva.2019.104538
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    References listed on IDEAS

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    Cited by:

    1. Hansjörg Albrecher & Martin Bladt & Mogens Bladt, 2021. "Multivariate matrix Mittag–Leffler distributions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(2), pages 369-394, April.
    2. Carlin C. F. Chu & Simon S. W. Li, 2024. "A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series," Computational Management Science, Springer, vol. 21(1), pages 1-14, June.
    3. Nurulkamal Masseran, 2021. "Modeling the Characteristics of Unhealthy Air Pollution Events: A Copula Approach," IJERPH, MDPI, vol. 18(16), pages 1-18, August.

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