On the Extreme Value Copula Analysis for Financial Data

In this study, the main aim is to analyze the dependence structure of a financial time series which is generally consisting of speculative prices of assets such as stocks or foreign currencies using the extreme value copulas. The attention is put on extreme value copula analysis for financial data. It is possible to analyze extreme values in bivariate or multivariate case by using the copula approach. We present an inference procedure which is...