Recurrence interval analysis of high-frequency financial returns and its application to risk estimation

New Journal of Physics

Volumn 12, Issue , 2010, Pages

  Ren, Fei ^a,b   Zhou, Wei Xing ^a,b,c  

^a EAST CHINA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

^b EAST CHINA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

^c INSTITUTE OF GEOLOGY AND GEOPHYSICS   (China)

Author keywords

[No Author keywords available]

Indexed keywords

CHINESE STOCK MARKET; FINANCIAL RETURNS; GOODNESS-OF-FIT MEASURE; HIGH FREQUENCY HF; KOLMOGOROV-SMIRNOV; MEMORY EFFECTS; POWER-LAW TAIL; RECURRENCE INTERVALS; RISK ESTIMATION; STOCK MARKET; VALUE AT RISK; VON MISES CRITERION;

COMMERCE; FINANCE; FREQUENCY ESTIMATION; RISK PERCEPTION; VALUE ENGINEERING;

PROBABILITY DISTRIBUTIONS;

EID: 77955345956     PISSN: 13672630     EISSN: None     Source Type: Journal    
DOI: 10.1088/1367-2630/12/7/075030     Document Type: Article

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