30th November 2023: Miguel De Carvalho (University of Edinburgh)

Speaker: Miguel De Carvalho (University of Edinburgh)
Title: Time-changing multivariate extremes
Abstract: In this talk, I will overview recent developments in nonstationary multivariate extremes. After providing motivation and background, I will introduce a Bayesian time-varying model that learns about the dynamics governing joint extreme values over time. The proposed model relies on dual measures of time-varying extremal dependence, that are modelled via a suitable class of generalized linear models conditional on a large threshold. The application of the proposed methods to some of the world’s most important stock markets reveals complex patterns of extremal dependence over the last 30 years, including passages from asymptotic dependence to asymptotic independence.