IDEAS home Printed from https://ideas.repec.org/a/bla/jorssb/v78y2016i1p31-51.html

Statistics of heteroscedastic extremes

Author

Listed:
  • John H. J. Einmahl
  • Laurens Haan
  • Chen Zhou

Abstract

Abstract: We extend classical extreme value theory to non-identically distributed observations. When the distribution tails are proportional much of extreme value statistics remains valid. The proportionality function for the tails can be estimated nonparametrically along with the (common) extreme value index. Joint asymptotic normality of both estimators is shown; they are asymptotically independent. We develop tests for the proportionality function and for the validity of the model. We show through simulations the good performance of tests for tail homoscedasticity. The results are applied to stock market returns. A main tool is the weak convergence of a weighted sequential tail empirical process.
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • John H. J. Einmahl & Laurens Haan & Chen Zhou, 2016. "Statistics of heteroscedastic extremes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(1), pages 31-51, January.
    • Handle: RePEc:bla:jorssb:v:78:y:2016:i:1:p:31-51
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/rssb.12099
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or

    for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Einmahl, J.H.J. & Gantner, M. & Sawitzki, G., 2008. "The Shorth Plot," Discussion Paper 2008-24, Tilburg University, Center for Economic Research.
    2. Carmela Quintos & Zhenhong Fan & Peter C. B. Phillips, 2001. "Structural Change Tests in Tail Behaviour and the Asian Crisis," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 68(3), pages 633-663.
    3. Phillip Kearns & Adrian Pagan, 1997. "Estimating The Density Tail Index For Financial Time Series," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 171-175, May.
    4. Jansen, Dennis W & de Vries, Casper G, 1991. "On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective," The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 18-24, February.
    Full references (including those not matched with items on IDEAS)

    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. 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.
    2. Daniele Massacci, 2017. "Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness," Management Science, INFORMS, vol. 63(9), pages 3072-3089, September.
    3. Bryan Kelly & Hao Jiang, 2013. "Tail Risk and Asset Prices," NBER Working Papers 19375, National Bureau of Economic Research, Inc.
    4. Jondeau, Eric & Rockinger, Michael, 2003. "Testing for differences in the tails of stock-market returns," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 559-581, December.
    5. G. D. Gettinby & C. D. Sinclair & D. M. Power & R. A. Brown, 2004. "An Analysis of the Distribution of Extreme Share Returns in the UK from 1975 to 2000," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5‐6), pages 607-646, June.
    6. Chen, Zhimin & Ibragimov, Rustam, 2019. "One country, two systems? The heavy-tailedness of Chinese A- and H- share markets," Emerging Markets Review, Elsevier, vol. 38(C), pages 115-141.
    7. Ibragimov Marat & Khamidov Rufat, 2010. "Heavy-Tailedness and Volatility in Emerging Foreign Exchange Markets: Theory and Empirics," EERC Working Paper Series 10/06e, EERC Research Network, Russia and CIS.
    8. Fendel, Ralf & Neumann, Christian, 2021. "Tail risk in the European sovereign bond market during the financial crises: Detecting the influence of the European Central Bank," Global Finance Journal, Elsevier, vol. 50(C).
    9. Iglesias, Emma M. & Linton, Oliver, 2009. "Estimation of tail thickness parameters from GJR-GARCH models," UC3M Working papers. Economics we094726, Universidad Carlos III de Madrid. Departamento de Economía.
    10. Kyritsis, Evangelos & Serletis, Apostolos, 2018. "The zero lower bound and market spillovers: Evidence from the G7 and Norway," Research in International Business and Finance, Elsevier, vol. 44(C), pages 100-123.
    11. Straetmans, Stefan & Chaudhry, Sajid M., 2015. "Tail risk and systemic risk of US and Eurozone financial institutions in the wake of the global financial crisis," Journal of International Money and Finance, Elsevier, vol. 58(C), pages 191-223.
    12. Cheng-Few Lee & Jung-Bin Su, 2012. "Alternative statistical distributions for estimating value-at-risk: theory and evidence," Review of Quantitative Finance and Accounting, Springer, vol. 39(3), pages 309-331, October.
    13. Nirei, Makoto & Sushko, Vladyslav, 2011. "Jumps in foreign exchange rates and stochastic unwinding of carry trades," International Review of Economics & Finance, Elsevier, vol. 20(1), pages 110-127, January.
    14. Ibragimov, Marat & Ibragimov, Rustam & Kattuman, Paul, 2013. "Emerging markets and heavy tails," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2546-2559.
    15. Philipp Hartmann & Stefan Straetmans & Casper de Vries, 2007. "Banking System Stability. A Cross-Atlantic Perspective," NBER Chapters, in: The Risks of Financial Institutions, pages 133-188, National Bureau of Economic Research, Inc.
    16. Cem PAYASLIOGLU, 2001. "A Tail Index Tour across Foreign Exchange Regimes in Turkey," Middle East and North Africa 330400049, EcoMod.
    17. Segnon, Mawuli & Lux, Thomas, 2013. "Multifractal models in finance: Their origin, properties, and applications," Kiel Working Papers 1860, Kiel Institute for the World Economy.
    18. Candelon, Bertrand & Straetmans, Stefan, 2006. "Testing for multiple regimes in the tail behavior of emerging currency returns," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1187-1205, November.
    19. Cotter, John & Longin, Francois, 2004. "Margin setting with high-frequency data," MPRA Paper 3528, University Library of Munich, Germany, revised 2006.
    20. Chao Huang & Jin-Guan Lin & Yan-Yan Ren, 2012. "Statistical Inferences for Generalized Pareto Distribution Based on Interior Penalty Function Algorithm and Bootstrap Methods and Applications in Analyzing Stock Data," Computational Economics, Springer;Society for Computational Economics, vol. 39(2), pages 173-193, February.

    More about this item

    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:bla:jorssb:v:78:y:2016:i:1:p:31-51. 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: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/rssssea.html .

    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.