Modeling record-breaking stock prices
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DOI: 10.1016/j.physa.2013.11.001
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- Wang, Bing Xing & Yu, Keming & Coolen, Frank P.A., 2015. "Interval estimation for proportional reversed hazard family based on lower record values," Statistics & Probability Letters, Elsevier, vol. 98(C), pages 115-122.
- Lahmiri, Salim, 2017. "Asymmetric and persistent responses in price volatility of fertilizers through stable and unstable periods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 405-414.
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Keywords
Record statistics; Extreme value statistics; Extreme events in financial markets; Random walks; Autoregressive processes; GARCH-models;All these keywords.
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