@article{Masoliver2007ExtremeTF, title={Extreme times for volatility processes.}, author={Jaume Masoliver and Josep Perell{\'o}}, journal={Physical review. E, Statistical, nonlinear, and soft matter physics}, year={2007}, volume={75 4 Pt 2}, pages={046110} }

- Published 2007 in Physical review. E, Statistical, nonlinear, and…

Extreme times techniques, generally applied to nonequilibrium statistical mechanical processes, are also useful for a better understanding of financial markets. We present a detailed study on the mean first-passage time for the volatility of return time series. The empirical results extracted from daily data of major indices seem to follow the same law… CONTINUE READING

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