Recurrence Interval Analysis of Financial Time Series

"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"--

List of contents

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

Product details

• Authors: Zhi-Qiang Jiang, Zhi-Qiang (East China University of Science and Technology) Jiang, Wen-Jie Xie, Wen-Jie (East China University of Science and Technology) Xie, Wei-Xing Zhou, Wei-Xing (East China University of Science a Zhou, Wei-Xing (East China University of Science and Technology) Zhou
• Publisher: Cambridge University Press ELT
• Languages: English
• Product format: Paperback / Softback
• Released: 21.03.2024
• EAN: 9781009381734
• ISBN: 978-1-0-0938173-4
• No. of pages: 86
• Series: Elements in Econophysics
• Subjects: Humanities, art, music > Education > Social education, social work; Social sciences, law, business > Business > General, dictionaries; Economics, BUSINESS & ECONOMICS / Statistics, Knowledge Management, Economic statistics, Social impact of disasters, Economic & financial crises & disasters, Economic and financial crises and disasters, Natural disasters, Econometrics, Statistical physics, Risk assessment, Econometrics and economic statistics, Social impact of disasters / accidents (natural or man-made), Knowledge / Information / Data economics