Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/36655
Título: | Extremes of scale mixtures of multivariate time series |
Autor(es): | Ferreira, Helena Ferreira, Marta Susana |
Palavras-chave: | Multivariate extreme value theory Tail dependence Factor models |
Data: | 2015 |
Editora: | Elsevier 1 |
Revista: | Journal of Multivariate Analysis |
Citação: | Ferreira, 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. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/36655 |
DOI: | 10.1016/j.jmva.2015.02.002 |
ISSN: | 0047-259X |
Versão da editora: | http://www.sciencedirect.com/science/article/pii/S0047259X15000378 |
Arbitragem científica: | yes |
Acesso: | Acesso aberto |
Aparece nas coleções: | CMAT - Artigos em revistas com arbitragem / Papers in peer review journals |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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mvparetoprocess_cor2.pdf | Documento principal | 730,01 kB | Adobe PDF | Ver/Abrir |