We propose a multivariate dynamic intensity peaks-over-threshold model to capture extreme events in a multivariate time series of returns. The random occurrence of extreme events exceeding a threshold is modeled by means of a multivariate dynamic intensity model allowing for feedback effects...

Air pollution and, in particular, PM 2.5 particulate matter is a significant issue in Santiago, the capital of Chile. Santiago's pollution problem is exacerbated by its unique geographic location nestled against the Andes mountain range in the central valley of Chile. This paper uses network...