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Module (6 Credits)

Statistical Modeling of Extremes

Name in diploma supplement
Statistical Modeling of Extremes
Responsible
Admission criteria
See exam regulations.
Workload
180 hours of student workload, in detail:
  • Attendance: 60 hours
  • Preparation, follow up: 60 hours
  • Exam preparation: 60 hours
Duration
The module takes 1 semester(s).
Qualification Targets

Students

  • acquire comprehensive knowledge of modern statistical and econometric tools to tackle issues related to extreme events
  • are capable of applying these to address empirical issues in fields ranging from economics and finance to areas like hydrology and finance
  • identify suitable data to do so and
  • know how to translate an empirical problem into a statistical model
  • critically assess their findings
  • are proficient in assessing the formal properties of key techniques and are able to demonstrate these formally
  • independently and competently use and develop statistical routines and code to practically apply these
  • independently address relevant exercises
Relevance

The practical relevance of the module is high in view of the key and increasing importance of empirical work in economics and elsewhere.

Module Exam

Examination for this module takes place through a written exam (typically 60-90 minutes), or an oral exam (typically 20-40 minutes), or an empirical project (70% of the final grade) combined with a presentation (typically 20 minutes, 30% of the final grade). The type of examination will be communicated at the start of the semester.

Usage in different degree programs
  • BWL EaFWahlpflichtbereich1st-3rd Sem, Elective
  • ECMXWahlpflichtbereichME7 Econometric Methods1st-3rd Sem, Elective
  • GOEMIKWahlpflichtbereich Bereich Volkswirtschaftslehre1st-3rd Sem, Elective
  • MuUWahlpflichtbereich IWahlpflichtbereich I A.: Methodologie und allgemeine Theorien zur Untersuchung von Märkten und Unternehmen1st-2nd Sem, Elective
  • VWLWahlpflichtbereich I1st-3rd Sem, Elective
Elements
Name in diploma supplement
Statistical Modeling of Extremes
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
irregular
Participants at most
no limit
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
Lecture: Statistical Modeling of Extremes (WIWI‑C1206)
Name in diploma supplement
Statistical Modeling of Extremes
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
irregular
Participants at most
no limit
Preliminary knowledge

see lecture

Abstract

see lecture

Contents

see lecture

Literature

see lecture

Participants
Exercise: Statistical Modeling of Extremes (WIWI‑C1209)
Module: Statistical Modeling of Extremes (WIWI‑M0941)