Short term prediction of extreme returns based on the recurrence interval analysis

DOI10.1080/14697688.2017.1373843zbMath1400.91549arXiv1610.08230OpenAlexW2545771372WikidataQ57194311 ScholiaQ57194311MaRDI QIDQ4554428

Askery Canabarro, Gang-Jin Wang, Wei-Xing Zhou, Zhi-Qiang Jiang, Boris Podobnik, Chi Xie, H. Eugene Stanley

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.08230

zbMATH Keywords

risk estimationrecurrence intervalreturn forecastinghazard probabilityextreme return

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

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Uses Software

• plfit

Cites Work

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