IDEAS home Printed from https://ideas.repec.org/p/tiu/tiucen/04952d0f-2b24-44ad-bf07-f4e49e873ac7.html
   My bibliography  Save this paper

Rare Events, Temporal Dependence and the Extremal Index

Author

Listed:
  • Segers, J.J.J.

    (Tilburg University, Center For Economic Research)

Abstract

No abstract is available for this item.

Suggested Citation

  • Segers, J.J.J., 2006. "Rare Events, Temporal Dependence and the Extremal Index," Discussion Paper 2006-7, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:04952d0f-2b24-44ad-bf07-f4e49e873ac7
    as

    Download full text from publisher

    File URL: https://pure.uvt.nl/ws/portalfiles/portal/777097/7.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Hsing, Tailen, 1989. "Extreme value theory for multivariate stationary sequences," Journal of Multivariate Analysis, Elsevier, vol. 29(2), pages 274-291, May.
    2. Christopher A. T. Ferro & Johan Segers, 2003. "Inference for clusters of extreme values," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(2), pages 545-556, May.
    3. Novak, S. Y., 2002. "Multilevel clustering of extremes," Stochastic Processes and their Applications, Elsevier, vol. 97(1), pages 59-75, January.
    4. N/A, 1996. "Events," Psychology and Developing Societies, , vol. 8(2), pages 287-288, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Angel, Omer & Matzavinos, Anastasios & Roitershtein, Alexander, 2019. "Limit theorem for the Robin Hood game," Statistics & Probability Letters, Elsevier, vol. 149(C), pages 9-15.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Segers, J.J.J., 2006. "Rare Events, Temporal Dependence and the Extremal Index," Other publications TiSEM 04952d0f-2b24-44ad-bf07-f, Tilburg University, School of Economics and Management.
    2. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
    3. Zhang, Zhengjun & Zhu, Bin, 2016. "Copula structured M4 processes with application to high-frequency financial data," Journal of Econometrics, Elsevier, vol. 194(2), pages 231-241.
    4. Pushpa Dissanayake & Teresa Flock & Johanna Meier & Philipp Sibbertsen, 2021. "Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights," Mathematics, MDPI, vol. 9(21), pages 1-33, November.
    5. Ziakas, Vassilios & Costa, Carla A., 2011. "Event portfolio and multi-purpose development: Establishing the conceptual grounds," Sport Management Review, Elsevier, vol. 14(4), pages 409-423.
    6. Bee, Marco & Dupuis, Debbie J. & Trapin, Luca, 2016. "Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 86-99.
    7. Matthew Sadof & Sylvia Brandt, 2007. "Asthma Management Survey of Participants in an Inner City Asthma Intervention," Working Papers 2007-2, University of Massachusetts Amherst, Department of Resource Economics.
    8. Sara Ali Alokley & Mansour Saleh Albarrak, 2020. "Clustering of Extremes in Financial Returns: A Study of Developed and Emerging Markets," JRFM, MDPI, vol. 13(7), pages 1-11, July.
    9. Xin Zhao & Carl John Scarrott & Marco Reale & Les Oxley, 2009. "Bayesian Extreme Value Mixture Modelling for Estimating VaR," Working Papers in Economics 09/15, University of Canterbury, Department of Economics and Finance.
    10. Kian-Ping Lim & Weiwei Luo & Jae H. Kim, 2013. "Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests," Applied Economics, Taylor & Francis Journals, vol. 45(8), pages 953-962, March.
    11. Paola Bortot & Carlo Gaetan, 2016. "Latent Process Modelling of Threshold Exceedances in Hourly Rainfall Series," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 21(3), pages 531-547, September.
    12. Bucher, Axel & Segers, Johan, 2013. "Extreme value copula estimation based on block maxima of a multivariate stationary time series," LIDAM Discussion Papers ISBA 2013049, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    13. Jean-David Fermanian, 2012. "An overview of the goodness-of-fit test problem for copulas," Papers 1211.4416, arXiv.org.
    14. George Irvin & Alejandro Izurieta, 2000. "Will the growing trade gap sink Viet Nam?-Some exploratory econometrics," Journal of International Development, John Wiley & Sons, Ltd., vol. 12(2), pages 169-186.
    15. Caston Sigauke & Rosinah Mukhodobwane & Wilbert Chagwiza & Winston Garira, 2022. "Asymptotic Dependence Modelling of the BRICS Stock Markets," IJFS, MDPI, vol. 10(3), pages 1-32, July.
    16. Novak, S.Y. & Xia, A., 2012. "On exceedances of high levels," Stochastic Processes and their Applications, Elsevier, vol. 122(2), pages 582-599.
    17. Sigauke, Caston & Bere, Alphonce, 2017. "Modelling non-stationary time series using a peaks over threshold distribution with time varying covariates and threshold: An application to peak electricity demand," Energy, Elsevier, vol. 119(C), pages 152-166.
    18. Arabind Yadav, 2016. "Long-term earthquake forecasting model for northeast India and surrounding region: seismicity-based model," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 80(1), pages 173-190, January.
    19. Andrew J. Oswald & Nattavudh Powdthavee, 2008. "Death, Happiness, and the Calculation of Compensatory Damages," The Journal of Legal Studies, University of Chicago Press, vol. 37(S2), pages 217-251, June.
    20. Oxley, Philip R., 1998. "Compliance costs for the bus industry: The impacts of the Disability Discrimination Act, 1995, on local bus services," Transport Policy, Elsevier, vol. 5(2), pages 83-91, April.

    More about this item

    Keywords

    block maximum; exceedance; extremal index; failure set; mixing condition; M4 process; rare event; stationary sequence;
    All these keywords.

    JEL classification:

    • M4 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tiu:tiucen:04952d0f-2b24-44ad-bf07-f4e49e873ac7. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Richard Broekman (email available below). General contact details of provider: http://center.uvt.nl .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.