Nakajima, Jouchi; Kunihama, Tsuyoshi; Omori, Yasuhiro; … - Institute for Monetary and Economic Studies, Bank of Japan - 2009
A new state space approach is proposed to model the time- dependence in an extreme value process. The generalized extreme value distribution is extended to incorporate the time-dependence using a state space representation where the state variables either follow an autoregressive (AR) process or...