Power-law behaviour in time durations between extreme returns

DOI10.1080/14697688.2013.822538zbMath1402.62257OpenAlexW2016509717MaRDI QIDQ5247937

Edilson MacHado de Assis, Miguel A. Rivera-Castro, Juan C. Reboredo

Publication date: 27 April 2015

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

Full work available at URL: https://doi.org/10.1080/14697688.2013.822538

zbMATH Keywords

duration modelspower laws\(q\)-Weibullextreme returns

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10)

Related Items (1)

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

Cites Work

• Nonparametric specification tests for conditional duration models
• \(q\)-exponential, Weibull, and \(q\)-Weibull distributions: An empirical analysis
• Possible generalization of Boltzmann-Gibbs statistics.
• Statistical-Mechanical Foundation of the Ubiquity of Lévy Distributions in Nature
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Non‐monotonic hazard functions and the autoregressive conditional duration model

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