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"--

Sommario

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

Dettagli sul prodotto

• Autori: 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
• Editore: Cambridge University Press ELT
• Lingue: Inglese
• Formato: Copertina rigida
• Pubblicazione: 21.03.2024
• EAN: 9781009486613
• ISBN: 978-1-0-0948661-3
• Pagine: 86
• Serie: Elements in Econophysics
• Categorie: Saggistica > Natura, tecnica > Astronomia: tematiche generali, opere di consultazione; Scienze sociali, diritto, economia > Economia > Tematiche generali, enciclopedie; Scienze umane, arte, musica > Pedagogia > Pedagogia sociale, assistenza sociale; 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