Let X1,X2,… be independent identically distributed (i.i.d.) random variables with EXk=0, V arXk=1. Suppose that φ(t)≔logEetXk<∞ for all t>−σ0 and some σ00. Let Sk=X1+⋯+Xk and S0=0. We are interested in the limiting distribution of the multiscale scan statisticMn=max0≤i<j≤nSj−Sij−i. We prove that for an appropriate normalizing sequence an, the random variable Mn2−an converges to the Gumbel extreme-value law exp{−e−cx}. The behavior of Mn depends strongly on the distribution of the Xk’s. We distinguish between four cases. In the superlogarithmic case we assume that φ(t)<t2/2 for every t>0. In this case, we show...</j≤nsj−sij−i.></∞>

Little progress has been made so far in addressing—in a comprehensive way—the negative externalities caused by excessive maturity transformation and the implications for effective liquidity regulation of banks. The SRL model combines option pricing theory with market information and balance...

Given the growing need for managing financial risk and the recent global crisis, risk prediction is a crucial issue in banking and finance. In this paper, we show how recent advances in the statistical analysis of extreme events can provide solid methodological fundamentals for modeling extreme...

The well-known M4 processes of Smith and Weissman are very flexible models for asymptotically dependent multivariate data. Extended M4 of Heffernan et al. allows to also account for asymptotic independence. In this paper we introduce a more general multivariate model comprising asymptotic...

This study examines evidence of contagion in global REITs returns over 2006–2010 using daily REITs indices for 16 countries. We apply a correlation coefficient analysis to determine whether between-country REITs return co-movements increase significantly following a crisis. We use an extreme...