Bayesian smoothing for time-varying extremal dependence

Detalhes bibliográficos
Autor(a) principal: Lee, Junho
Data de Publicação: 2024
Outros Autores: Carvalho, Miguel de, Rua, António, Avila, Julio
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/164361
Resumo: This work was supported by CIDMA (Universidade de Aveiro) and is funded by the Fundação para a Ciência e a Tecnologia, I.P. (FCT, Funder ID: 50110000187) under Grants https://doi. org/10.54499/UIDB/04106/2020 and https://doi.org/10.54499/UIDP/04106/2020.
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spelling Bayesian smoothing for time-varying extremal dependenceBayesian P-splinesAsymptotic (in)dependenceExtreme value theoryInternational equity marketsNon-stationary extremesTime-varying extremal dependenceThis work was supported by CIDMA (Universidade de Aveiro) and is funded by the Fundação para a Ciência e a Tecnologia, I.P. (FCT, Funder ID: 50110000187) under Grants https://doi. org/10.54499/UIDB/04106/2020 and https://doi.org/10.54499/UIDP/04106/2020.We propose a Bayesian time-varying model that learns about the dynamics governing joint extreme values over time. Our model relies on dual measures of time-varying extremal dependence, that are modelled via a suitable class of generalized linear models conditional on a large threshold. The simulation study indicates that the proposed methods perform well in a variety of scenarios. The application of the proposed methods to some of the world’s most important stock markets reveals complex patterns of extremal dependence over the last 30 years, including passages from asymptotic dependence to asymptotic independence.NOVA School of Business and Economics (NOVA SBE)RUNLee, JunhoCarvalho, Miguel deRua, AntónioAvila, Julio2024-03-02T00:26:37Z2024-02-142024-02-14T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article17application/pdfhttp://hdl.handle.net/10362/164361eng0035-9254PURE: 84411831https://doi.org/10.1093/jrsssc/qlae002info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:52:06Zoai:run.unl.pt:10362/164361Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T04:00:09.573171Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Bayesian smoothing for time-varying extremal dependence
title Bayesian smoothing for time-varying extremal dependence
spellingShingle Bayesian smoothing for time-varying extremal dependence
Lee, Junho
Bayesian P-splines
Asymptotic (in)dependence
Extreme value theory
International equity markets
Non-stationary extremes
Time-varying extremal dependence
title_short Bayesian smoothing for time-varying extremal dependence
title_full Bayesian smoothing for time-varying extremal dependence
title_fullStr Bayesian smoothing for time-varying extremal dependence
title_full_unstemmed Bayesian smoothing for time-varying extremal dependence
title_sort Bayesian smoothing for time-varying extremal dependence
author Lee, Junho
author_facet Lee, Junho
Carvalho, Miguel de
Rua, António
Avila, Julio
author_role author
author2 Carvalho, Miguel de
Rua, António
Avila, Julio
author2_role author
author
author
dc.contributor.none.fl_str_mv NOVA School of Business and Economics (NOVA SBE)
RUN
dc.contributor.author.fl_str_mv Lee, Junho
Carvalho, Miguel de
Rua, António
Avila, Julio
dc.subject.por.fl_str_mv Bayesian P-splines
Asymptotic (in)dependence
Extreme value theory
International equity markets
Non-stationary extremes
Time-varying extremal dependence
topic Bayesian P-splines
Asymptotic (in)dependence
Extreme value theory
International equity markets
Non-stationary extremes
Time-varying extremal dependence
description This work was supported by CIDMA (Universidade de Aveiro) and is funded by the Fundação para a Ciência e a Tecnologia, I.P. (FCT, Funder ID: 50110000187) under Grants https://doi. org/10.54499/UIDB/04106/2020 and https://doi.org/10.54499/UIDP/04106/2020.
publishDate 2024
dc.date.none.fl_str_mv 2024-03-02T00:26:37Z
2024-02-14
2024-02-14T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/164361
url http://hdl.handle.net/10362/164361
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 0035-9254
PURE: 84411831
https://doi.org/10.1093/jrsssc/qlae002
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 17
application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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