caa a22 4500 60546376X CHVBK 20210128100255.0 cr unu---uuuuu 210128e20150901xx s 000 0 eng 10.1007/s10687-015-0222-4 doi (NATIONALLICENCE)springer-10.1007/s10687-015-0222-4 Robert Christian Université de Lyon, Université Lyon 1, Institut de Science Financière et d'Assurances, 50 Avenue Tony Garnier, 69007, Lyon, France aut Rare-event asymptotics for the number of exceedances of multiplicative factor models [Elektronische Daten] [Christian Robert] 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. Springer Science+Business Media New York, 2015 Multiplicative factor models nationallicence Number of exceedances nationallicence Asymptotic conditional distributions nationallicence Extremes Springer US; http://www.springer-ny.com 18/3(2015-09-01), 511-527 1386-1999 18:3<511 2015 18 10687 https://doi.org/10.1007/s10687-015-0222-4 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s10687-015-0222-4 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Robert Christian Université de Lyon, Université Lyon 1, Institut de Science Financière et d'Assurances, 50 Avenue Tony Garnier, 69007, Lyon, France aut NATIONALLICENCE 773 0- Extremes Springer US; http://www.springer-ny.com 18/3(2015-09-01), 511-527 1386-1999 18:3<511 2015 18 10687