Modeling multivariate extreme events using self-exciting point processes

DOI10.1016/J.JECONOM.2014.03.011MaRDI QIDQ2511798zbMATH OpenOpenAlexFDO

Authors Oliver Grothe, Volodymyr Korniichuk, Hans Manner

Publication date 6 August 2014

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://www.cgs.uni-koeln.de/fileadmin/wiso_fak/cgs/pdf/working_paper/cgswp_03-06.pdf

zbMATH Keywords

time seriesextreme value theorypeaks-over-thresholdHawkes processes

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cited in

(9)

• Exploiting spillovers to forecast crashes
• Forecasting extreme negative returns in gold and silver: a discrete-duration approach to POT models
• Modeling extreme negative returns using marked renewal Hawkes processes
• A generalized linear model for multivariate events
• Simultaneous multivariate Hawkes-type point processes and their application to financial markets
• scientific article; zbMATH DE number 7387538 (Why is no real title available?)
• Joint tests of contagion with applications
• Estimating value-at-risk: a point process approach
• A regime switching skew-normal model of contagion

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Uses Software

• QRM

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