eesSummary: Summary statistics of extreme events

In eventstudies: Event Study Analysis

Description

This function generates summary statistics for identification and analysis of extreme events.

Usage

   eesSummary(input)

Arguments

input

object returned by ‘get.clusters.formatted’

Details

This function generates summary statistics of extreme events, using the tail events as returned by the function ‘get.clusters.formatted’.

Following statistics are generated for both lower and upper tail events:

• ‘extreme.event.distribution’ provides summary statistics on the number of consecutive events (“clustered” events) and those that are not (“unclustered” events). Consecutive events that are “mixed”, i.e., with upper (lower) tail event occurring after a lower (upper) tail event, are classified separately.

• ‘runlength’: When events are “clustered”, ‘runlength’ classifies such clusters into different duration bins.

• ‘quantile.values’: Within such events, ‘quantile.values’ provide the probability distribution values at 0%, 25%, 50%, 75% and 100%, alongside the mean.

• ‘yearly.extreme.event’: A year-wise tabulation of such extreme events, with a clustered event taken as one event.

Value

A list object containing:

data.summary	a ‘data.frame’ containing summary of the minimum, maximum, inter-quartile range, mean, median, standard deviation and quantile values at 5%, 25%, 75% and 95%.
lower.tail	a ‘list’ that contains ‘extreme.event.distribution’, ‘runlength’, ‘quantile.values’ and ‘yearly.extreme.event’ for the events on the lower tail of the distribution. See ‘Details’.
upper.tail	a ‘list’ that contains ‘extreme.event.distribution’, ‘runlength’, ‘quantile.values’ and ‘yearly.extreme.event’ for the events on the upper tail of the distribution. See ‘Details’.

Author(s)

Vikram Bahure, Vimal Balasubramaniam

References

Ila Patnaik, Nirvikar Singh and Ajay Shah (2013). Foreign Investors under stress: Evidence from India. International Finance, 16(2), 213-244. http://onlinelibrary.wiley.com/doi/10.1111/j.1468-2362.2013.12032.x/abstract http://macrofinance.nipfp.org.in/releases/PatnaikShahSingh2013_Foreign_Investors.html

Examples

data(OtherReturns)

formattedClusters <- get.clusters.formatted(event.series = OtherReturns[, "SP500"],
                                          response.series = OtherReturns[, "NiftyIndex"])

ees.summary.tables <- eesSummary(formattedClusters)
str(ees.summary.tables, max.level = 2)

Example output

Loading required package: zoo

Attaching package: ‘zoo’

The following objects are masked from ‘package:base’:

    as.Date, as.Date.numeric

Loading required package: xts
Maximum length after removing mixed clusters is2
[1] "Clustering events."
List of 3
 $ data.summary: num [1, 1:11] -2.86 -1.8 -0.42 0.14 0.11 0.82 1.78 3.09 1.06 1.24 ...
  ..- attr(*, "dimnames")=List of 2
 $ lower.tail  :List of 4
  ..$ extreme.event.distribution:'data.frame':	1 obs. of  6 variables:
  ..$ runlength                 :'data.frame':	1 obs. of  2 variables:
  ..$ quantile.values           : num [1, 1:6] -2.86 -2.32 -2.06 -1.97 -1.88 -2.19
  .. ..- attr(*, "dimnames")=List of 2
  ..$ yearly.extreme.event      : num [1:2, 1:2] 2 -2.59 8 -2.01
  .. ..- attr(*, "dimnames")=List of 2
 $ upper.tail  :List of 4
  ..$ extreme.event.distribution:'data.frame':	1 obs. of  6 variables:
  ..$ runlength                 :'data.frame':	1 obs. of  2 variables:
  ..$ quantile.values           : num [1, 1:6] 1.92 2.06 2.14 2.3 3.09 2.29
  .. ..- attr(*, "dimnames")=List of 2
  ..$ yearly.extreme.event      : num [1:2, 1:2] 7 2.14 2 2.11
  .. ..- attr(*, "dimnames")=List of 2

eventstudies documentation built on July 1, 2020, 10:26 p.m.