Miguel A. Rivera-Castro
University of Santiago de Compostela
Quantitative Finance | 2014
Juan C. Reboredo; Miguel A. Rivera-Castro; Edilson Machado de Assis
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.
International Review of Economics & Finance | 2014
Juan C. Reboredo; Miguel A. Rivera-Castro
Economic Modelling | 2013
Juan C. Reboredo; Miguel A. Rivera-Castro
Energy Economics | 2014
Juan C. Reboredo; Miguel A. Rivera-Castro; G.F. Zebende
Journal of Banking and Finance | 2016
Juan C. Reboredo; Miguel A. Rivera-Castro; Andrea Ugolini
International Review of Economics & Finance | 2014
Juan C. Reboredo; Miguel A. Rivera-Castro
Economic Modelling | 2014
Juan C. Reboredo; Miguel A. Rivera-Castro
Physica A-statistical Mechanics and Its Applications | 2013
Juan C. Reboredo; Miguel A. Rivera-Castro; José Garcia Vivas Miranda; Raquel Garcia-Rubio
Energy Economics | 2017
Juan C. Reboredo; Miguel A. Rivera-Castro; Andrea Ugolini
Emerging Markets Review | 2018
Miguel A. Rivera-Castro; Andrea Ugolini; Juan Carlos Arismendi Zambrano
