Modeling multivariate extreme events using self-exciting point processes

DOI10.1016/j.jeconom.2014.03.011zbMath1311.62074MaRDI QIDQ2511798

Oliver Grothe, Hans Manner, Volodymyr Korniichuk

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 series; extreme value theory; Hawkes processes; peaks-over-threshold

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

60G70: Extreme value theory; extremal stochastic processes

62G32: Statistics of extreme values; tail inference

91B84: Economic time series analysis

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

Related Items

Unnamed Item, Joint tests of contagion with applications, Simultaneous multivariate Hawkes-type point processes and their application to financial markets, A regime switching skew-normal model of contagion

Uses Software

• QRM

Cites Work

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