极端事件建模:时变极端尾形*

IF 4.6 Q2 MATERIALS SCIENCE, BIOMATERIALS
Bernd Schwaab, Xin Zhang, Andre Lucas
{"title":"极端事件建模:时变极端尾形*","authors":"Bernd Schwaab, Xin Zhang, Andre Lucas","doi":"10.1080/07350015.2023.2260439","DOIUrl":null,"url":null,"abstract":"We propose a dynamic semi-parametric framework to study time variation in tail parameters. The framework builds on the Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a conditional framework to allow for time-variation in the tail parameters. We establish parameter regions for stationarity and ergodicity and for the existence of (unconditional) moments and consider conditions for consistency and asymptotic normality of the maximum likelihood estimator for the deterministic parameters in the model. Two empirical datasets illustrate the usefulness of the approach: daily U.S. equity returns, and 15-minute euro area sovereign bond yield changes.","PeriodicalId":2,"journal":{"name":"ACS Applied Bio Materials","volume":null,"pages":null},"PeriodicalIF":4.6000,"publicationDate":"2023-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Modeling extreme events: time-varying extreme tail shape*\",\"authors\":\"Bernd Schwaab, Xin Zhang, Andre Lucas\",\"doi\":\"10.1080/07350015.2023.2260439\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We propose a dynamic semi-parametric framework to study time variation in tail parameters. The framework builds on the Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a conditional framework to allow for time-variation in the tail parameters. We establish parameter regions for stationarity and ergodicity and for the existence of (unconditional) moments and consider conditions for consistency and asymptotic normality of the maximum likelihood estimator for the deterministic parameters in the model. Two empirical datasets illustrate the usefulness of the approach: daily U.S. equity returns, and 15-minute euro area sovereign bond yield changes.\",\"PeriodicalId\":2,\"journal\":{\"name\":\"ACS Applied Bio Materials\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":4.6000,\"publicationDate\":\"2023-09-21\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ACS Applied Bio Materials\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1080/07350015.2023.2260439\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"MATERIALS SCIENCE, BIOMATERIALS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ACS Applied Bio Materials","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/07350015.2023.2260439","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"MATERIALS SCIENCE, BIOMATERIALS","Score":null,"Total":0}
引用次数: 0

摘要

我们提出了一个动态半参数框架来研究尾部参数的时间变化。该框架建立在广义帕累托分布(GPD)的基础上,用于像极值理论那样对超过阈值的峰值进行建模,但将模型置于一个条件框架中,以允许尾部参数的时间变化。我们建立了平稳性和遍历性以及存在(无条件)矩的参数区域,并考虑模型中确定性参数的最大似然估计的一致性和渐近正态性的条件。两个经验数据集说明了这种方法的有效性:美国股票的每日回报,以及欧元区主权债券15分钟的收益率变化。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Modeling extreme events: time-varying extreme tail shape*
We propose a dynamic semi-parametric framework to study time variation in tail parameters. The framework builds on the Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a conditional framework to allow for time-variation in the tail parameters. We establish parameter regions for stationarity and ergodicity and for the existence of (unconditional) moments and consider conditions for consistency and asymptotic normality of the maximum likelihood estimator for the deterministic parameters in the model. Two empirical datasets illustrate the usefulness of the approach: daily U.S. equity returns, and 15-minute euro area sovereign bond yield changes.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
ACS Applied Bio Materials
ACS Applied Bio Materials Chemistry-Chemistry (all)
CiteScore
9.40
自引率
2.10%
发文量
464
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信