Modeling Multivariate Extreme Events Using Self-Exciting Point Processes
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.
|Date of creation:||27 Jun 2012|
|Date of revision:||20 Jun 2013|
|Contact details of provider:|| Postal: |
Phone: 0221 / 470 5607
Fax: 0221 / 470 5179
Web page: http://www.cgs.uni-koeln.de/
More information through EDIRC
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.:
- Clive Bowsher, 2002.
"Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models,"
2002-W22, Economics Group, Nuffield College, University of Oxford.
- 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.
- Clive G. Bowsher, 2003. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers 2003-W03, Economics Group, Nuffield College, University of Oxford.
- Clive G. Bowsher, 2005. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers 2005-W26, Economics Group, Nuffield College, University of Oxford.
- 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.
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 references are entirely missing, you can add them using this form.