Extreme Behavior of Bivariate Elliptical Distributions

This paper exploits a stochastic representation of bivariate elliptical distributions in order to obtain asymptotic results which are determined by the tail behavior of the generator. Under certain specified assumptions, we present the limiting distribution of component-wise maxima, the limiting upper copula, and a bi-variate version of the classical peaks over threshold result

Year of publication:	2013
Authors:	Asimit, Alexandru Vali
Other Persons:	Jones, Bruce L. (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Multivariate Analyse \| Multivariate analysis \| Finanzmathematik \| Mathematical finance \| Multivariate Verteilung \| Multivariate distribution

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