Recurrence interval analysis of high-frequency financial returns and its application to risk estimation

Fei Ren and Wei-Xing Zhou

Papers from arXiv.org

Abstract: We investigate the probability distributions of the recurrence intervals $\tau$ between consecutive 1-min returns above a positive threshold $q>0$ or below a negative threshold $q

Date: 2009-09
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Citations: View citations in EconPapers (3)

Published in New J. Phys. 12 (2010) 075030

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0909.0123

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