We propose a multivariate dynamic intensity peaks-over-threshold model to capture extreme events in a multivariate time series of returns. The random occurrence of extreme events exceeding a threshold is modeled by means of a multivariate dynamic intensity model allowing for feedback effects...

We propose a multivariate dynamic intensity peaks-over-threshold model to capture extreme events in a multivariate time series of returns. The random occurrence of extreme events exceeding a threshold is modeled by means of a multivariate dynamic intensity model allowing for feedback effects...

This study provides a thorough analysis of the dynamics of volatility and dependence between seven international equity and 20 commodity markets across different sectors, highlighting the hedging role played by the latter. We explain volatility using a specification that distinguishes between...

The analysis of return series from financial markets is often based on the Peaks-over-threshold (POT) model. This model assumes independent and identically distributed observations and therefore a Poisson process is used to characterize the occurrence of extreme events. However, stylized facts...

This paper examines the impact of the school reinforcement program that “Un Techo Para Chile” offers to the poorest communities in the Metropolitan Region, in Chile. The data were taken from a survey specially designed by the authors. The effects of the program on low-income students...

The analysis of return series from financial markets is often based on the Peaks-over-threshold (POT) model. This model assumes independent and identically distributed observations and therefore a Poisson process is used to characterize the occurrence of extreme events. However, stylized facts...

Crude oil is a dynamically traded commodity that affects many economies. We propose a collection of marked self-exciting point processes with dependent arrival rates for extreme events in oil markets and related risk measures. The models treat the time among extreme events in oil markets as a...

We analyze empirically the existence and the extent of financial contagion by means of extreme value theory in the Asian crisis. We consider two key markets, the stock exchange and the foreign exchange using daily data in the period 1992–2001. We present several notions of financial contagion...