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Short term prediction of extreme returns based on the recurrence interval analysis
Authors:Zhi-Qiang Jiang  Gang-Jin Wang  Askery Canabarro  Boris Podobnik  Chi Xie  H Eugene Stanley
Institution: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. Department of Physics and Center for Polymer Studies, Boston University, Boston, MA, 02215USA.;5. Grupo de Física da Matéria Condensada, Núcleo de Ciências Exatas, Campus Arapiraca, Universidade Federal de Alagoas, 57309-005Arapiraca, AL, Brazil.;6. International Institute of Physics, Federal University of Rio Grande do Norte, 59070-405Natal, Brazil.;7. Faculty of Civil Engineering, University of Rijeka, 51000Rijeka, Croatia.;8. Zagreb School of Economics and Management, 10000Zagreb, Croatia.;9. Luxembourg School of Business, Luxembourg, EU.
Abstract:
Keywords:Extreme return  Risk estimation  Recurrence interval  Return forecasting  Hazard probability
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