Wei-Xing Zhou (East China University of Science and Technology), Zhi-Qiang Jiang (East China University of Science and Technology), Wen-Jie Xie (East China University of Science and Technology)

Recurrence Interval Analysis of Financial Time Series (eBook, PDF)

• Format: PDF

Produktbeschreibung

Extreme events are ubiquitous in nature and social society, including natural disasters, accident disasters, crises in public health (such as Ebola and the COVID-19 pandemic), and social security incidents (wars, conflicts, and social unrest). These extreme events will heavily impact financial markets and lead to the appearance of extreme fluctuations in financial time series. Such extreme events lack statistics and are thus hard to predict. Recurrence interval analysis provides a feasible solution for risk assessment and forecasting. This Element aims to provide a systemic description of the techniques and research framework of recurrence interval analysis of financial time series. The authors also provide perspectives on future topics in this direction.

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Produktdetails

• Verlag: Cambridge University Press
• Erscheinungstermin: 13. März 2024
• ISBN-13: 9781009381758
• Artikelnr.: 70913772

Inhaltsangabe

1. Introduction
2. Recurrence interval distributions
3. Memory effects
4. Risk estimation and forecasting
5. Empirical results and theoretical analyses
6. Final remarks
References.