Extreme Behavior of Bivariate Elliptical Distributions
15 Pages Posted: 10 Sep 2013 Last revised: 3 Oct 2013
Date Written: May 1, 2006
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.
Keywords: component-wise maxima, elliptical distribution, Pickands' representation, regular variation, threshold exceedances
JEL Classification: C10, C60
Suggested Citation: Suggested Citation