Einzelansicht eines Moduls

Modul (6 Credits)

Statistical Modeling of Extremes

Name im Diploma Supplement
Statistical Modeling of Extremes
Verantwortlich
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 EaFWahlpflichtbereich1.-3. FS, Wahlpflicht
  • ECMXWahlpflichtbereichME7 Econometric Methods1.-3. FS, Wahlpflicht
  • GOEMIKWahlpflichtbereich Bereich Volkswirtschaftslehre1.-3. FS, Wahlpflicht
  • MuUWahlpflichtbereich IWahlpflichtbereich I A.: Methodologie und allgemeine Theorien zur Untersuchung von Märkten und Unternehmen1.-2. FS, Wahlpflicht
  • VWLWahlpflichtbereich I1.-3. FS, Wahlpflicht
Bestandteile
Name im Diploma Supplement
Statistical Modeling of Extremes
Anbieter
Lehrperson
SWS
2
Sprache
englisch
Turnus
unregelmäßig
maximale Hörerschaft
unbeschränkt
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.

Hörerschaft
Vorlesung: Statistical Modeling of Extremes (WIWI‑C1206)
Name im Diploma Supplement
Statistical Modeling of Extremes
Anbieter
Lehrperson
SWS
2
Sprache
englisch
Turnus
unregelmäßig
maximale Hörerschaft
unbeschränkt
empfohlenes Vorwissen

see lecture

Abstract

see lecture

Lehrinhalte

see lecture

Literaturangaben

see lecture

Hörerschaft
Übung: Statistical Modeling of Extremes (WIWI‑C1209)
Modul: Statistical Modeling of Extremes (WIWI‑M0941)