Universal and non-universal properties of recurrence intervals of rare events
From MaRDI portal
Publication:1619224
DOI10.1016/J.PHYSA.2015.12.082zbMath1400.62203OpenAlexW2217904191MaRDI QIDQ1619224
Xiaojun Zhao, Aijing Lin, Pengjian Shang
Publication date: 13 November 2018
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2015.12.082
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)
Related Items (2)
Multiscale horizontal visibility entropy: measuring the temporal complexity of financial time series ⋮ NF-CECP: a novel approach to distinguish signals with different properties via modified Fisher information measure
Cites Work
- Volatility return intervals analysis of the Japanese market
- Long memory relationships and the aggregation of dynamic models
- The effect of long-term correlations on the return periods of rare events
- Waiting-times and returns in high-frequency financial data: An empirical study
- Detrended fluctuation analysis of the spatial variability of the temporal distribution of Southern California seismicity
- Degeneracy and long-range correlations
- Cross-correlations between volume change and price change
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Simulation and Extremal Analysis of Hurricane Events
- Level-crossing problems for random processes
- Detecting long-range correlations with detrended fluctuation analysis
This page was built for publication: Universal and non-universal properties of recurrence intervals of rare events
