Format:
1 online resource (76 pages)
,
digital, PDF file(s)
ISBN:
9781009381741
,
9781009486613
,
9781009381734
Series Statement:
Cambridge elements. Elements in econophysics
Content:
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.
Note:
Title from publisher's bibliographic system (viewed on 22 Feb 2024)
Additional Edition:
ISBN 9781009486613
Additional Edition:
Erscheint auch als Druck-Ausgabe ISBN 9781009486613
Language:
English
DOI:
10.1017/9781009381741
Bookmarklink
