Short term prediction of extreme returns based on the recurrence interval analysis-Reference-Cited by-同舟云学术

Short term prediction of extreme returns based on the recurrence interval analysis

Published:2017-10-05 Issue:3 Volume:18 Page:353-370
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Jiang Zhi-Qiang¹²^ORCID,Wang Gang-Jin³²^ORCID,Canabarro Askery²⁴⁵,Podobnik Boris⁶⁷⁸,Xie Chi³^ORCID,Stanley H. Eugene²,Zhou Wei-Xing¹^ORCID

Affiliation:

1. Department of Finance and Research Center for Econophysics, East Chine University of Science and Technology, Shanghai, 200237China.

2. Department of Physics and Center for Polymer Studies, Boston University, Boston, MA, 02215USA.

3. Business School and Center for Finance and Investment Management, Hunan University, Changsha, 410082China.

4. Grupo de Física da Matéria Condensada, Núcleo de Ciências Exatas, Campus Arapiraca, Universidade Federal de Alagoas, 57309-005Arapiraca, AL, Brazil.

5. International Institute of Physics, Federal University of Rio Grande do Norte, 59070-405Natal, Brazil.

6. Faculty of Civil Engineering, University of Rijeka, 51000Rijeka, Croatia.

7. Zagreb School of Economics and Management, 10000Zagreb, Croatia.

8. Luxembourg School of Business, Luxembourg, EU.

Funder

China Scholarship Council

Conselho Nacional de Desenvolvimento Científico e Tecnológico

National Natural Science Foundation of China

Fundamental Research Funds for the Central Universities

DOE Contract

NSF

Brazilian agencies FAPEAL

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2017.1373843

Reference81 articles.

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3. Banking, debt, and currency crises in developed countries: Stylized facts and early warning indicators

4. Bank regulation, property prices and early warning systems for banking crises in OECD countries

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