Universität zu Köln

Grothe, Oliver, Korniichuk, Volodymyr and Manner, Hans (2014). Modeling multivariate extreme events using self-exciting point processes. J. Econom., 182 (2). S. 269 - 290. LAUSANNE: ELSEVIER SCIENCE SA. ISSN 1872-6895

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Abstract

We propose a model that can capture the typical features of multivariate extreme events observed in financial time series, namely, clustering behaviors in magnitudes and arrival times of multivariate extreme events, and time-varying dependence. The model is developed within the framework of the peaks-over-threshold approach in extreme value theory and relies on a Poisson process with self-exciting intensity. We discuss the properties of the model, treat its estimation, and address testing its goodness-of-fit. The model is applied to the return data of two stock markets. (C) 2014 Elsevier B.V. All rights reserved.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Grothe, Oliver UNSPECIFIED UNSPECIFIED UNSPECIFIED Korniichuk, Volodymyr UNSPECIFIED UNSPECIFIED UNSPECIFIED Manner, Hans UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-428344
DOI:	10.1016/j.jeconom.2014.03.011
Journal or Publication Title:	J. Econom.
Volume:	182
Number:	2
Page Range:	S. 269 - 290
Date:	2014
Publisher:	ELSEVIER SCIENCE SA
Place of Publication:	LAUSANNE
ISSN:	1872-6895
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language SIMULATION; COPULA; RISK Multiple languages Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/42834