Crude oil is a dynamically traded commodity that affects many economies. We propose a collection of marked self-exciting point processes with dependent arrival rates for extreme events in oil markets and related risk measures. The models treat the time among extreme events in oil markets as a...

Primary concerns for traders since the deregulation of electricity markets include both the selection of optimal trading limits and risk quantification. These concerns have come about as a consequence of the unique stylized attributes of electricity spot prices, such as the clustering of...

We analyze empirically the existence and the extent of financial contagion by means of extreme value theory in the Asian crisis. We consider two key markets, the stock exchange and the foreign exchange using daily data in the period 1992–2001. We present several notions of financial contagion...

The analysis of return series from financial markets is often based on the Peaks-over-threshold (POT) model. This model assumes independent and identically distributed observations and therefore a Poisson process is used to characterize the occurrence of extreme events. However, stylized facts...

Given the growing need for managing financial risk and the recent global crisis, risk prediction is a crucial issue in banking and finance. In this paper, we show how recent advances in the statistical analysis of extreme events can provide solid methodological fundamentals for modeling extreme...

This paper examines the impact of the school reinforcement program that “Un Techo Para Chile” offers to the poorest communities in the Metropolitan Region, in Chile. The data were taken from a survey specially designed by the authors. The effects of the program on low-income students...