In general, risk of an extreme outcome in financial markets can be expressed as a function of the tail copula of a high-dimensional vector after standardizing marginals. Hence it is of importance to model and estimate tail copulas. Even for moderate dimension, nonparametrically estimating a tail...

Recently there has been an increasing interest in applying elliptical distributions to risk management. Under weak conditions, Hult and Lindskog (2002) showed that a random vector with an elliptical distribution is in the domain of attraction of a multivariate extreme value distribution. In this...