Modeling Multivariate Extreme Events Using Self-Exciting Point Processes

Oliver Grothe, Volodymyr Korniichuk and Hans Manner
Additional contact information
Oliver Grothe: Department of Economic and Social Statistics, University of Cologne
Volodymyr Korniichuk: CGS, University of Cologne
Hans Manner: Department of Economic and Social Statistics, University of Cologne

No 03-06, Cologne Graduate School Working Paper Series from Cologne Graduate School in Management, Economics and Social Sciences

Abstract: We propose a new model that can capture the typical features of multivariate extreme events observed in financial time series, namely clustering behavior in magnitudes and arrival times of multivariate extreme events, and time-varying dependence. The model is developed in 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, deal with testing goodness-of-fit, and develop a simulation algorithm. The model is applied to return data of two stock markets and four major European banks.

Keywords: Time Series; Peaks Over Threshold; Hawkes Processes; Extreme Value Theory (search for similar items in EconPapers)
JEL-codes: C32 C51 C58 G15 (search for similar items in EconPapers)
Date: 2012-06-27, Revised 2013-06-20
New Economics Papers: this item is included in nep-ban, nep-ecm and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.cgs.uni-koeln.de/fileadmin/wiso_fak/cgs ... aper/cgswp_03-06.pdf Version June 2012 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden
http://www.cgs.uni-koeln.de/fileadmin/wiso_fak/cgs ... /cgswp_03-06-rev.pdf Version June 2013 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cgr:cgsser:03-06

Access Statistics for this paper

More papers in Cologne Graduate School Working Paper Series from Cologne Graduate School in Management, Economics and Social Sciences Contact information at EDIRC.
Bibliographic data for series maintained by David Kusterer (kusterer@uni-koeln.de this e-mail address is bad, please contact repec@repec.org).