Statistical Modeling of Extremes

Modul: Statistical Modeling of Extremes (6 Credits)
Name im Diploma Supplement	Statistical Modeling of Extremes
Verantwortlich	Prof. Dr. Christoph Hanck
Voraussetzungen	Siehe Prüfungsordnung.
Workload	180 Stunden studentischer Workload gesamt, davon: Präsenzzeit: 60 Stunden Vorbereitung, Nachbereitung: 60 Stunden Prüfungsvorbereitung: 60 Stunden
Dauer	Das Modul erstreckt sich über 1 Semester.
Qualifikationsziele	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
Praxisrelevanz	The practical relevance of the module is high in view of the key and increasing importance of empirical work in economics and elsewhere.
Prüfungsmodalitäten	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.
Verwendung in Studiengängen	BWL EaF Master > Wahlpflichtbereich > 1.-3. FS, Wahlpflicht ECMX Master > Wahlpflichtbereich > ME7 Econometric Methods > 1.-3. FS, Wahlpflicht GOEMIK Master > Wahlpflichtbereich > Bereich Volkswirtschaftslehre > 1.-3. FS, Wahlpflicht MuU Master > Wahlpflichtbereich I > Wahlpflichtbereich I A.: Methodologie und allgemeine Theorien zur Untersuchung von Märkten und Unternehmen > 1.-2. FS, Wahlpflicht VWL Master > Wahlpflichtbereich I > 1.-3. FS, Wahlpflicht
Bestandteile	Vorlesung Statistical Modeling of Extremes (3 Credits) Übung Statistical Modeling of Extremes (3 Credits)
Modul: Statistical Modeling of Extremes (WIWI‑M0941)

Vorlesung: Statistical Modeling of Extremes (3 Credits)
Name im Diploma Supplement	Statistical Modeling of Extremes
Anbieter	Lehrstuhl für Ökonometrie
Lehrperson	Prof. Dr. Christoph Hanck, Prof. Dr. Yannick Hoga
Semesterwochenstunden	2	Sprache	englisch
Turnus	unregelmäßig	maximale Hörerschaft	###LABEL_NOLIMIT###
empfohlenes Vorwissen 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.
Lehrinhalte Models for maxima Peaks over threshold Extremes of dependent sequences Extremes of non-stationary sequences Multivariate extremes
Literaturangaben 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
didaktisches Konzept 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.
Vorlesung: Statistical Modeling of Extremes (WIWI‑C1206)

Übung: Statistical Modeling of Extremes (3 Credits)
Name im Diploma Supplement	Statistical Modeling of Extremes
Anbieter	Lehrstuhl für Ökonometrie
Lehrperson	Prof. Dr. Christoph Hanck, wissenschaftliche Mitarbeiter(innen)
Semesterwochenstunden	2	Sprache	englisch
Turnus	unregelmäßig	maximale Hörerschaft	###LABEL_NOLIMIT###
empfohlenes Vorwissen see lecture
Abstract see lecture
Lehrinhalte see lecture
Literaturangaben see lecture
Übung: Statistical Modeling of Extremes (WIWI‑C1209)