Modeling record-breaking stock prices

DOI10.1016/J.PHYSA.2013.11.001zbMath1402.91970arXiv1307.2048OpenAlexW2011259234MaRDI QIDQ1782591

Gregor Wergen

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.2048

zbMATH Keywords

random walksautoregressive processesrecord statisticsextreme value statisticsextreme events in financial marketsGARCH-models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32) Financial applications of other theories (91G80)

Related Items (4)

Distribution-free inference in record series ⋮ Interval estimation for proportional reversed hazard family based on lower record values ⋮ Sharper asset ranking from total drawdown durations ⋮ Exact and asymptotic properties of δ-records in the linear drift model

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