Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets-Reference-Cited by-同舟云学术

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Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets

Published:2016-05-24 Issue:11 Volume:16 Page:1713-1724
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Jiang Zhi-Qiang,Canabarro Askery,Podobnik Boris,Stanley H. Eugene,Zhou Wei-Xing

Funder

China Scholarship Council

Conselho Nacional de Desenvolvimento Científico e Tecnológico

National Natural Science Foundation of China

Fundamental Research Funds for the Central Universities

Program for Changjiang Scholars and Innovative Research Team in University

Brazilian agencies FAPEAL

Shanghai ``Chen Guang'' Project

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

http://www.tandfonline.com/doi/pdf/10.1080/14697688.2016.1175656

Reference62 articles.

1. Recurrence time analysis, long-term correlations, and extreme events

2. Memory effects in the statistics of interoccurrence times between large returns in financial records

3. Improved risk estimation in multifractal records: Application to the value at risk in finance

4. On the occurrence and predictability of overloads in telecommunication networks

5. On the predictability of extreme events in records with linear and nonlinear long-range memory: Efficiency and noise robustness

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