most citedShort term prediction of extreme returns based on the recurrence interval analysis

26 citations · 26 across the 1 of their papers we have counts for

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1 paper

q-fin.ST2016★ 26 cited

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

Zhi-Qiang Jiang, Gang-Jin Wang, Askery Canabarro +4

Being able to predict the occurrence of extreme returns is important in financial risk management. Using the distribution of recurrence intervals---the waiting time between consecu…