Statistical Modeling of Extremes

Module: Statistical Modeling of Extremes (6 Credits)
Name in diploma supplement	Statistical Modeling of Extremes
Responsible	Prof. Dr. Christoph Hanck
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 EaF Master > Wahlpflichtbereich > 1.-3. Sem, Elective ECMX Master > Wahlpflichtbereich > ME7 Econometric Methods > 1.-3. Sem, Elective GOEMIK Master > Wahlpflichtbereich > Bereich Volkswirtschaftslehre > 1.-3. Sem, Elective MuU Master > Wahlpflichtbereich I > Wahlpflichtbereich I A.: Methodologie und allgemeine Theorien zur Untersuchung von Märkten und Unternehmen > 1.-2. Sem, Elective VWL Master > Wahlpflichtbereich I > 1.-3. Sem, Elective
Elements	Lecture Statistical Modeling of Extremes (3 Credits) Exercise Statistical Modeling of Extremes (3 Credits)
Module: Statistical Modeling of Extremes (WIWI‑M0941)

Lecture: Statistical Modeling of Extremes (3 Credits)
Name in diploma supplement	Statistical Modeling of Extremes
Organisational Unit	Lehrstuhl für Ökonometrie
Lecturers	Prof. Dr. Christoph Hanck, Prof. Dr. Yannick Hoga
Hours per week	2	Language	English
Cycle	irregular	Participants at most	###LABEL_NOLIMIT###
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.
Lecture: Statistical Modeling of Extremes (WIWI‑C1206)

Exercise: Statistical Modeling of Extremes (3 Credits)
Name in diploma supplement	Statistical Modeling of Extremes
Organisational Unit	Lehrstuhl für Ökonometrie
Lecturers	Prof. Dr. Christoph Hanck, wissenschaftliche Mitarbeiter(innen)
Hours per week	2	Language	English
Cycle	irregular	Participants at most	###LABEL_NOLIMIT###
Preliminary knowledge see lecture
Abstract see lecture
Contents see lecture
Literature see lecture
Exercise: Statistical Modeling of Extremes (WIWI‑C1209)