Advanced Search
MyIDEAS: Login

Modeling Multivariate Extreme Events Using Self-Exciting Point Processes

Contents:

Author Info

  • 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)

Registered author(s):

    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.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.cgs.uni-koeln.de/fileadmin/wiso_fak/cgs/pdf/working_paper/cgswp_03-06.pdf
    File Function: Version June 2012
    Download Restriction: no

    File URL: http://www.cgs.uni-koeln.de/fileadmin/wiso_fak/cgs/pdf/working_paper/cgswp_03-06-rev.pdf
    File Function: Version June 2013
    Download Restriction: no

    Bibliographic Info

    Paper provided by Cologne Graduate School in Management, Economics and Social Sciences in its series Cologne Graduate School Working Paper Series with number 03-06.

    as in new window
    Length:
    Date of creation: 27 Jun 2012
    Date of revision: 20 Jun 2013
    Handle: RePEc:cgr:cgsser:03-06

    Contact details of provider:
    Postal: Albertus Magnus Platz, 50923 Köln
    Phone: 0221 / 470 5607
    Fax: 0221 / 470 5179
    Email:
    Web page: http://www.cgs.uni-koeln.de/
    More information through EDIRC

    Related research

    Keywords: Time Series; Peaks Over Threshold; Hawkes Processes; Extreme Value Theory;

    Find related papers by JEL classification:

    This paper has been announced in the following NEP Reports:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Bowsher, Clive G., 2007. "Modelling security market events in continuous time: Intensity based, multivariate point process models," Journal of Econometrics, Elsevier, vol. 141(2), pages 876-912, December.
    2. Yacine Aït-Sahalia & Julio Cacho-Diaz & Roger J.A. Laeven, 2010. "Modeling Financial Contagion Using Mutually Exciting Jump Processes," NBER Working Papers 15850, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:cgr:cgsser:03-06. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (David Kusterer).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.