Utilize este identificador para referenciar este registo: http://hdl.handle.net/1822/36655

TítuloExtremes of scale mixtures of multivariate time series
Autor(es)Ferreira, Helena
Ferreira, Marta Susana
Palavras-chaveMultivariate extreme value theory
Tail dependence
Factor models
RevistaJournal of Multivariate Analysis
CitaçãoFerreira, H., & Ferreira, M. (2015). Extremes of scale mixtures of multivariate time series. Journal of Multivariate Analysis, 137, 82-99. doi: 10.1016/j.jmva.2015.02.002
Resumo(s)Factor models have large potencial in the modeling of several natural and human phenomena. In this paper we consider a multivariate time series $\mb{Y}_n$, n≥1, rescaled through random factors $\mb{T}_n$, n≥1, extending some scale mixture models in the literature. We analyze its extremal behavior by deriving the maximum domain of attraction and the multivariate extremal index, which leads to new ways to construct multivariate extreme value distributions. The computation of the multivariate extremal index and the characterization of the tail dependence show the interesting property of these models that however much it is the dependence within and between factors $\mb{T}_n$, n≥1, the extremal index of the model is unit whenever $\mb{Y}_n$, n≥1, presents cross-sectional and sequencial tail independence. We illustrate with examples of thinned multivariate time series and multivariate autoregressive processes with random coefficients. An application of these latter to financial data is presented at the end.
Versão da editorahttp://www.sciencedirect.com/science/article/pii/S0047259X15000378
Arbitragem científicayes
Aparece nas coleções:CMAT - Artigos com arbitragem/Papers with refereeing

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