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Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets
Authors:Zhi-Qiang Jiang  Askery Canabarro  Boris Podobnik  H Eugene Stanley
Institution:1. School of Business and Research Center for Econophysics, East China University of Science and Technology, Shanghai, 200237China.;2. Department of Physics and Center for Polymer Studies, Boston University, Boston, MA, 02215USA.;3. Department of Physics and Center for Polymer Studies, Boston University, Boston, MA, 02215USA.;4. Grupo de Física da Matéria Condensada, Núcleo de Ciências Exatas, Universidade Federal de Alagoas, Campus Arapiraca, 57309-005Arapiraca, AL, Brazil.;5. Faculty of School Engineering, University of Rijeka, 51000Rijeka, Croatia.;6. Zagreb School of Economics and Management,, 10000Zagreb, Croatia.
Abstract:
Keywords:Extreme volatility  Risk estimation  Recurrence interval  Large volatility forecasting  Distribution  Hazard probability
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