Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model

Sebastian Mentemeier and Olivier Wintenberger

Journal of Time Series Analysis, 2022, vol. 43, issue 5, 750-780

Abstract: We consider multivariate stationary processes (Xt) satisfying a stochastic recurrence equation of the form Xt=𝕄tXt−1+Qt, where (Qt) are i.i.d. random vectors and 𝕄t=Diag(b1+c1Mt,…,bd+cdMt) are i.i.d. diagonal matrices and (Mt) are i.i.d. random variables. We obtain a full characterization of the vector scaling regular variation properties of (Xt), proving that some coordinates Xt, i and Xt, j are asymptotically independent even though all coordinates rely on the same random input (Mt). We prove the asynchrony of extreme clusters among marginals with different tail indices. Our results are applied to some multivariate autoregressive conditional heteroskedastic (BEKK‐ARCH and CCC‐GARCH) processes and to log‐returns. Angular measure inference shows evidences of asymptotic independence among marginals of diagonal SRE with different tail indices.

Date: 2022
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