, Volume 12, Issue 2, pp 129–148 | Cite as

Extreme value properties of multivariate t copulas

  • Aristidis K. NikoloulopoulosEmail author
  • Harry Joe
  • Haijun Li


The extremal dependence behavior of t copulas is examined and their extreme value limiting copulas, called the t-EV copulas, are derived explicitly using tail dependence functions. As two special cases, the Hüsler–Reiss and the Marshall–Olkin distributions emerge as limits of the t-EV copula as the degrees of freedom go to infinity and zero respectively. The t copula and its extremal variants attain a wide range in the set of bivariate tail dependence parameters.


Tail dependence function Extreme value t Copula 

AMS 2000 Subject Classifications

62H20 91B30 


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Copyright information

© Springer Science+Business Media, LLC 2008

Authors and Affiliations

  • Aristidis K. Nikoloulopoulos
    • 1
    Email author
  • Harry Joe
    • 1
  • Haijun Li
    • 2
  1. 1.Department of StatisticsUniversity of British ColumbiaVancouverCanada
  2. 2.Department of MathematicsWashington State UniversityPullmanUSA

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