Rare-event asymptotics for the number of exceedances of multiplicative factor models
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| 024 | 7 | 0 | |a 10.1007/s10687-015-0222-4 |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s10687-015-0222-4 | ||
| 100 | 1 | |a Robert |D Christian |u Université de Lyon, Université Lyon 1, Institut de Science Financière et d'Assurances, 50 Avenue Tony Garnier, 69007, Lyon, France |4 aut | |
| 245 | 1 | 0 | |a Rare-event asymptotics for the number of exceedances of multiplicative factor models |h [Elektronische Daten] |c [Christian Robert] |
| 520 | 3 | |a In this paper, we study the asymptotic distribution of the number of exceedances of multiplicative factor models under the rare-event condition that the probability the number of exceedances is positive tends to zero. We show that the asymptotic conditional distribution (given that there is at least one exceedance), as well as the condition such that the probability of the conditional event tends to zero, depend on the distribution of the multiplicative disturbances. When the distribution of the disturbances is not a heavy-tailed distribution, it is necessary to normalize the number of exceedances to get a non-degenerate asymptotic distribution. | |
| 540 | |a Springer Science+Business Media New York, 2015 | ||
| 690 | 7 | |a Multiplicative factor models |2 nationallicence | |
| 690 | 7 | |a Number of exceedances |2 nationallicence | |
| 690 | 7 | |a Asymptotic conditional distributions |2 nationallicence | |
| 773 | 0 | |t Extremes |d Springer US; http://www.springer-ny.com |g 18/3(2015-09-01), 511-527 |x 1386-1999 |q 18:3<511 |1 2015 |2 18 |o 10687 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s10687-015-0222-4 |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s10687-015-0222-4 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 100 |E 1- |a Robert |D Christian |u Université de Lyon, Université Lyon 1, Institut de Science Financière et d'Assurances, 50 Avenue Tony Garnier, 69007, Lyon, France |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Extremes |d Springer US; http://www.springer-ny.com |g 18/3(2015-09-01), 511-527 |x 1386-1999 |q 18:3<511 |1 2015 |2 18 |o 10687 | ||