Effects of mis-specification in bivariate extreme value problems (Q1409826)

A bivariate CDF of \((X,Y)\) is expressed in the copula form \(F(x,y)=C(F_X(x),F_Y(y))\), where \(F_X\) and \(F_Y\) are marginal CDFs which are supposed to be generalized extreme value distributions. The authors examine the effect of misspecification of the function \(C\) (copula) on the estimates of \(F_X\), \(F_Y\) and quantiles.