Testing the existence of clustering in the extreme values
AbstractThis paper introduces an estimator for the extremal index as the ratio of the number of elements of two point processes defined by threshold sequences un, vn and a partition of the sequence in different blocks of the same size. The first point process is defined by the sequence of the block maxima that exceed un. This paper introduces a thinning of this point process, defined by a threshold vn with vn > un, and with the appealing property that under some mild conditions the ratio of the number of elements of both point processes is a consistent estimator of the extremal index. The method supports a hypothesis test for the extremal index, and hence for testing the existence of clustering in the extreme values. Other advantages are that it allows some freedom to choose un, and it is not very sensitive to the choice of the partition. Finally, the stylized facts found in financial returns (clustering, skewness, heavy tails) are tested via the extremal index, in this case for the DaX returns
Download InfoIf 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.
Bibliographic InfoPaper provided by Universidad Carlos III de Madrid in its series Open Access publications from Universidad Carlos III de Madrid with number info:hdl:10016/338.
Date of creation:
Date of revision:
Contact details of provider:
Web page: http://www.uc3m.es
Other versions of this item:
- Jose Olmo, 2005. "Testing The Existence Of Clustering In The Extreme Values," Economics Working Papers we051809, Universidad Carlos III, Departamento de Economía.
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.:
- Hsing, Tailen, 1991. "Estimating the parameters of rare events," Stochastic Processes and their Applications, Elsevier, vol. 37(1), pages 117-139, February.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Contact person).
If references are entirely missing, you can add them using this form.