2011/04/28 by Helena Ferreira, Luísa Pereira, Ferreira, Helena +1
Economics, Econometrics and Finance · Environmental Science · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Hydrology and Drought Analysis #Probability (math.PR) #Statistical Distribution Estimation and Applications
paper · pdf · doi:10.48550/arxiv.1104.5409
openalex publication_date 2011/04/28 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
The Multivariate Extreme Value distributions have shown their usefulness in environmental studies, financial and insurance mathematics. The Logistic or Gumbel-Hougaard distribution is one of the oldest multivariate extreme value models and it has been extended to asymmetric models. In this paper we introduce generalized logistic multivariate distributions. Our tools are mixtures of copulas and stable mixing variables, extending approaches in Tawn (1990), Joe and Hu (1996) and Fougères et al. (2009). The parametric family of multivariate extreme value distributions considered presents a flexible dependence structure and we compute for it the multivariate tail dependence coefficients considered in Li (2009).