Return interval distribution of extreme events and long term memory
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- Pushpa Dissanayake & Teresa Flock & Johanna Meier & Philipp Sibbertsen, 2021.
"Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights,"
Mathematics, MDPI, vol. 9(21), pages 1-33, November.
- Dissanayake, Pushpa & Flock, Teresa & Meier, Johanna & Sibbertsen, Philipp, 2021. "Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights," Hannover Economic Papers (HEP) dp-690, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Batac, Rene & Longjas, Anthony & Monterola, Christopher, 2012. "Statistical distributions of avalanche size and waiting times in an inter-sandpile cascade model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(3), pages 616-624.
- Xie, Wen-Jie & Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2014.
"Extreme value statistics and recurrence intervals of NYMEX energy futures volatility,"
Economic Modelling, Elsevier, vol. 36(C), pages 8-17.
- Wen-Jie Xie & Zhi-Qiang Jiang & Wei-Xing Zhou, 2012. "Extreme value statistics and recurrence intervals of NYMEX energy futures volatility," Papers 1211.5502, arXiv.org.
- Li, Wei-Zhen & Zhai, Jin-Rui & Jiang, Zhi-Qiang & Wang, Gang-Jin & Zhou, Wei-Xing, 2022.
"Predicting tail events in a RIA-EVT-Copula framework,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
- Wei-Zhen Li & Jin-Rui Zhai & Zhi-Qiang Jiang & Gang-Jin Wang & Wei-Xing Zhou, 2020. "Predicting tail events in a RIA-EVT-Copula framework," Papers 2004.03190, arXiv.org, revised Apr 2020.
- Chicheportiche, Rémy & Chakraborti, Anirban, 2017. "A model-free characterization of recurrences in stationary time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 474(C), pages 312-318.
- Ribeiro, H.V. & Mendes, R.S. & Lenzi, E.K. & Belancon, M.P. & Malacarne, L.C., 2011. "On the dynamics of bubbles in boiling water," Chaos, Solitons & Fractals, Elsevier, vol. 44(1), pages 178-183.
- Zhi-Qiang Jiang & Gang-Jin Wang & Askery Canabarro & Boris Podobnik & Chi Xie & H. Eugene Stanley & Wei-Xing Zhou, 2018.
"Short term prediction of extreme returns based on the recurrence interval analysis,"
Quantitative Finance, Taylor & Francis Journals, vol. 18(3), pages 353-370, March.
- Zhi-Qiang Jiang & Gang-Jin Wang & Askery Canabarro & Boris Podobnik & Chi Xie & H. Eugene Stanley & Wei-Xing Zhou, 2016. "Short term prediction of extreme returns based on the recurrence interval analysis," Papers 1610.08230, arXiv.org.
- Karain, Wael I., 2019. "Investigating large-amplitude protein loop motions as extreme events using recurrence interval analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 520(C), pages 1-10.
- A. Barbier-Chebbah & O. Bénichou & R. Voituriez & T. Guérin, 2024. "Long-term memory induced correction to Arrhenius law," Nature Communications, Nature, vol. 15(1), pages 1-7, December.
- Xing, Yani & Wang, Jun, 2019. "Statistical volatility duration and complexity of financial dynamics on Sierpinski gasket lattice percolation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 234-247.
- Czechowski, Zbigniew & Telesca, Luciano, 2024. "Effect of nonlinearity of discrete Langevin model on behavior of extremes in generated time series," Chaos, Solitons & Fractals, Elsevier, vol. 183(C).
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