Recurrence Interval Analysis of Financial Time Series
Published on 13. March 2024
978-1-009-38175-8 (ISBN)
Description
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.
More details
Series
Language
English
Place of publication
Cambridge
United Kingdom
Illustrations
Worked examples or Exercises
File size
1,64 MB
ISBN-13
978-1-009-38175-8 (9781009381758)
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Schweitzer Classification
Other editions
Additional editions
Wei-Xing Zhou | Zhi-Qiang Jiang | Wen-Jie Xie
Recurrence Interval Analysis of Financial Time Series
Book
03/2024
Cambridge University Press
€78.50
Shipment within 15-20 days
Wei-Xing Zhou | Zhi-Qiang Jiang | Wen-Jie Xie
Recurrence Interval Analysis of Financial Time Series
Book
03/2024
Cambridge University Press
€24.00
Shipment within 15-20 days
Persons
Content
1. Introduction; 2. Recurrence interval distributions; 3. Memory effects; 4. Risk estimation and forecasting; 5. Empirical results and theoretical analyses; 6. Final remarks; References.
