97 citations · 382 across the 19 of their papers we have counts for
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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…
q-fin.ST2015★ 12 cited
Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets
Zhi-Qiang Jiang, Askery A. Canabarro, Boris Podobnik +2
Being able to forcast extreme volatility is a central issue in financial risk management. We present a large volatility predicting method based on the distribution of recurrence in…