The near-extreme density of intraday log-returns
The extreme event statistics plays a very important role in the theory and practice of time series analysis. The reassembly of classical theoretical results is often undermined by non-stationarity and dependence between increments. Furthermore, the convergence to the limit distributions can be slow,...
| Authors: | , , |
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| Format: | article |
| Status: | Published version |
| Publication Date: | 2012 |
| Country: | España |
| Institution: | Basque Center for Applied Mathematics (BCAM) |
| Repository: | BIRD. BCAM's Institutional Repository Data |
| OAI Identifier: | oai:bird.bcamath.org:20.500.11824/568 |
| Online Access: | http://hdl.handle.net/20.500.11824/568 |
| Access Level: | Open access |
| Keyword: | Extreme events Intraday returns |
| Summary: | The extreme event statistics plays a very important role in the theory and practice of time series analysis. The reassembly of classical theoretical results is often undermined by non-stationarity and dependence between increments. Furthermore, the convergence to the limit distributions can be slow, requiring a huge amount of records to obtain significant statistics, and thus limiting its practical applications. Focussing, instead, on the closely related density of "near-extremes"the distance between a record and the maximal valuecan render the statistical methods to be more suitable in the practical applications and/or validations of models. We apply this recently proposed method in the empirical validation of an adapted financial market model of the intraday market fluctuations. |
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