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In the Black-Scholes context we consider the probability distribution function (PDF) of financial returns implied by volatility smile and we study the relation between the decay of its tails and the ...
Return interval distribution of extreme events and long term memory
Return interval distribution extreme events long term memory
2010/12/17
The distribution of recurrence times or return intervals between extreme events is important to characterize and understand the behavior of physical systems and phenomena in many disciplines. It is we...