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Recurrence Interval Analysis of Financial Time Series
Zhou Wei-Xing,Jiang Zhi-Qiang,Xie Wen-Jie (Author)
·
Cambridge University Press
· Hardcover
Recurrence Interval Analysis of Financial Time Series - Zhou Wei-Xing,Jiang Zhi-Qiang,Xie Wen-Jie
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Synopsis "Recurrence Interval Analysis of Financial Time Series"
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.
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All books in our catalog are Original.
The book is written in English.
The binding of this edition is Hardcover.
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