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Examining the dynamical transition in the Dow Jones Industrial Index from Bull to Bear market using Recurrence Quantification Analysis
(2012-11-20)
We present evidence of phase transitions (periodic to chaotic and
chaotic to chaotic) in the Dow Jones Industrial Index as it transitions
from Bull to Bear market. There is also evidence of a completely unpredictable
(i.e., ...
Quantitative Risk Estimation in the Credit Default Swap Market using Exteme Value Theory
(National University of Ireland, Galway, 2010)
This paper is motivated by empirical evidence illustrating the non-Gaussian nature of financial returns, (Jondeau et al 2007) and analyses extreme value theory, (EVT) as a proposed improvement (Embrechts et al., 2005) for ...