IDEAS home Printed from https://ideas.repec.org/p/cgr/cgsser/03-06.html
   My bibliography  Save this paper

Modeling Multivariate Extreme Events Using Self-Exciting Point Processes

Author

Listed:
  • 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)

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.

Suggested Citation

  • Oliver Grothe & Volodymyr Korniichuk & Hans Manner, 2012. "Modeling Multivariate Extreme Events Using Self-Exciting Point Processes," Cologne Graduate School Working Paper Series 03-06, Cologne Graduate School in Management, Economics and Social Sciences, revised 20 Jun 2013.
  • Handle: RePEc:cgr:cgsser:03-06
    as

    Download full text from publisher

    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

    References listed on IDEAS

    as
    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. Aït-Sahalia, Yacine & Cacho-Diaz, Julio & Laeven, Roger J.A., 2015. "Modeling financial contagion using mutually exciting jump processes," Journal of Financial Economics, Elsevier, vol. 117(3), pages 585-606.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

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

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    NEP fields

    This paper has been announced in the following NEP Reports:

    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: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). General contact details of provider: http://edirc.repec.org/data/cgkoede.html .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.