Nikolaus Hautsch and Rodrigo Herrera, "Multivariate Dynamic Intensity 
Peaks-Over-Threshold Models", Journal of Applied Econometrics, Vol. 35, 
No. 2, 2020, pp. 248-272.

The online appendix in Hautsch-Herrera-appendix.pdf includes the
backtesting tests utilized in the paper, proof of Proposition 1 in the
paper, empirical evidence for the Hawkes-POT processes, and robustness
regarding tail threshold selection

The file hh-files.zip includes the main data and programs to estimate
ACI-POT models.

R-code programs

ApplicationsJAE.R:
Main files to reproduce the results presented in the paper.  It is
enough to open this file to estimate all models.  We concentrate in
the ACI-POT(1,1) for easy of the exposition. The code contains
comments related to the Tables and Figures. Extensions are possible to
estimate by looking the MI-POTv files.

MI_POTv.R:
Loglikelihood functions for the bivariate and trivariate models.  We
include ACI-POT and Hawkes-POT models.
 
Utilities.R:
A number of utilities and libraries linked to the main code


Database

The data were originally downloaded from Yahoo.finance

*csv:
These correspond to the database utilized for both applications. The sample
period is from January 2, 1994, to December 30, 2016.
  
  EURUSD:  Euro to USD
  GBPUSD:  GBP to USD
  FTSE  :  FTSE100 stock market index 
  GDAXI :  German DAX stock market index
  GSPC  :  S&P500 stock market index

Please address any questions to:  rodrigo.herrera [at] utalca.cl