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,...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2012 |
| País: | España |
| Institución: | Basque Center for Applied Mathematics (BCAM) |
| Repositorio: | BIRD. BCAM's Institutional Repository Data |
| OAI Identifier: | oai:bird.bcamath.org:20.500.11824/568 |
| Acceso en línea: | http://hdl.handle.net/20.500.11824/568 |
| Access Level: | acceso abierto |
| Palabra clave: | Extreme events Intraday returns |
| Sumario: | 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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