Power-law behaviour in time durations between extreme returns
Juan Reboredo (),
Miguel A. Rivera-Castro and
Edilson Machado de Assis
Quantitative Finance, 2014, vol. 14, issue 12, 2171-2183
This paper studies time durations between extreme returns with the aim of testing whether they follow power-law behaviour. Using the Hill estimator to identify extreme returns and estimate time durations, empirical evidence for intraday returns for the S&P 500, DAX and IBEX-35 stock market indexes indicates that the time durations between extreme events are well characterized by a -Weibull density with power-law behaviour tails. We also characterize the conditional time duration for an autoregressive conditional duration model with a -Weibull distribution.
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Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:14:y:2014:i:12:p:2171-2183
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