@article { ISI:000272526200019,
	title = {Tail dependence functions and vine copulas},
	journal = {Journal of Multivariate Analysis},
	volume = {101},
	number = {1},
	year = {2010},
	month = {JAN},
	pages = {252-270},
	publisher = {Elsevier Inc},
	type = {Article},
	abstract = {Tail dependence and conditional tail dependence functions describe, respectively, the tail probabilities and conditional tail probabilities Of a Copula at various relative scales. The properties as well as the interplay of these two functions are established based upon their homogeneous structures. The extremal dependence of a, copula, as described by its extreme Value copulas, is shown to be completely determined by its tail dependence functions. For a vine Copula built from a set of bivariate copulas, its tail dependence function can be expressed recursively by the tail dependence and conditional tail dependence functions of lower-dimensional margins. The effect of tail dependence of bivariate linking copulas on that of a vine copula is also investigated. (C) 2009 Elsevier Inc. All rights reserved.},
	keywords = {Archimedean copulas, C-vine, Conditional tail, D-vine, Extreme value},
	issn = {0047-259X},
	doi = {10.1016/j.jmva.2009.08.002},
	author = {Joe, Harry and Li, Haijun and Nikoloulopoulos, Aristidis K.}
}
@article { ISI:000279291200002,
	title = {Extreme value properties of multivariate t copulas},
	journal = {Extremes},
	volume = {12},
	number = {2},
	year = {2009},
	month = {JUN},
	pages = {129-148},
	publisher = {Springer},
	type = {Article},
	abstract = {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 Husler-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.},
	keywords = {Extreme value, t Copula, Tail dependence function},
	issn = {1386-1999},
	doi = {10.1007/s10687-008-0072-4},
	author = {Nikoloulopoulos, Aristidis K. and Joe, Harry and Li, Haijun}
}
