Preliminary knowledge

Knowledge of basic econometric concepts such as communicated in our bachelor and master courses “Einführung in die Ökonometrie" and “Methoden der Ökonometrie“ as well as good working knowledge of mathematical statistics.

Contents

• Models for maxima
• Peaks over threshold
• Extremes of dependent sequences
• Extremes of non-stationary sequences
• Multivariate extremes

Literature

• Hayashi, F. (2000). Econometrics. Princeton: Princeton Univ. Press.
• Gumbel (1958) Statistics of Extremes, Columbia University Press
• Coles (2001) An Introduction to Statistical Modeling of Extreme Values, Springer
• Beirlant, Goegebeur, Segers and Teugels (2004) Statistics of Extremes: Theory and Applications, Wiley
• Finkenstädt and Rootzén (2004) Extreme Values in Finance, Telecommunications and the Environment, CRC
• de Haan and Ferreira (2006) Extreme Value Theory: An Introduction, Springer
• Reiss and Thomas (2007) Statistical Analysis of Extreme Values with Applications to Insurance, Finance, Hydrology and Other Fields, Birkhäuser

Teaching concept

Classes are organized around traditional lectures. Students are however expected to contribute intensively through active discussion. Lectures are complemeted via, e.g., illustrations in R, joint interactive programming to better understand the statistical concepts as well as comprehensive problem sets to deepen students’ proficiency.

Participants

• BWL-EaF-Ma-2015 > Wahlpflichtbereich > (1st-3rd Semester, Elective) Modul "Statistical Modeling of Extremes"
• ECMX-Ma-2019 > Wahlpflichtbereich > ME7 Econometric Methods > (1st-3rd Semester, Elective) Modul "Statistical Modeling of Extremes"
• GOEMIK-Ma-2016 > Wahlpflichtbereich > Bereich Volkswirtschaftslehre > (1st-3rd Semester, Elective) Modul "Statistical Modeling of Extremes"
• MuU-Ma-2013 > Wahlpflichtbereich I > Wahlpflichtbereich I A.: Methodologie und allgemeine Theorien zur Untersuchung von Märkten und Unternehmen > (1st-2nd Semester, Elective) Modul "Statistical Modeling of Extremes"
• VWL-Ma-2009-V2013 > Wahlpflichtbereich I > (1st-3rd Semester, Elective) Modul "Statistical Modeling of Extremes"