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"--

Table des matières

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

Détails du produit

• Auteurs: 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
• Edition: Cambridge University Press ELT
• Langues: Anglais
• Format d'édition: Livre de poche
• Sortie: 21.03.2024
• EAN: 9781009381734
• ISBN: 978-1-0-0938173-4
• Pages: 86
• Thème: Elements in Econophysics
• Catégories: Littérature spécialisée > Nature, technique > Astronomie: général, ouvrages de référence; Sciences humaines, art, musique > Pédagogie > Pédagogie sociale, travail social; Sciences sociales, droit, économie > Economie > Général, dictionnaires; 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