Extremes of scale mixtures of multivariate time series

Factor models have large potential in the modeling of several natural and human phenomena. In this paper we consider a multivariate time series Yn, n≥1, rescaled through random factors Tn, n≥1, extending some scale mixture models in the literature. We analyze its extremal behavior by deriving the maximum domain of attraction and the multivariate extremal index, which leads to new ways to construct multivariate extreme value distributions. The computation of the multivariate extremal index and the characterization of the tail dependence show an interesting property of these models. More precisely, however much it is the dependence within and between factors Tn, n≥1, the extremal index of the model is unit whenever Yn, n≥1, presents cross-sectional and sequential tail independence. We illustrate with examples of thinned multivariate time series and multivariate autoregressive processes with random coefficients. An application of these latter to financial data is presented at the end.