Short term prediction of extreme returns based on the recurrence interval analysis
Zhi-Qiang Jiang, Gang-Jin Wang, Askery Canabarro, Boris Podobnik, Chi Xie, H. Eugene Stanley and Wei-Xing Zhou
| Year of publication: |
March 2018
|
|---|---|
| Authors: | Jiang, Zhi-Qiang ; Wang, Gang-Jin ; Canabarro, Askery ; Podobnik, Boris ; Chi, Xie ; Stanley, H. Eugene ; Zhou, Wei-Xing |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 3, p. 353-370
|
| Subject: | Extreme return | Risk estimation | Recurrence interval | Return forecasting | Hazard probability | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Schätzung | Estimation | Volatilität | Volatility | Schätztheorie | Estimation theory | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1373843 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011906380