Modeling extreme negative returns using marked renewal Hawkes processes
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DOI: 10.1007/s10687-019-00352-4
Abstract: Extreme return financial time series are often challenging to model due to the presence of heavy temporal clustering of extremes and strong bursts of return volatility. One approach to model both these phenomena in extreme… read more here.
Keywords: renewal hawkes; extreme negative; negative returns; process ... See more keywords
Reduced Indian Ocean Dipole Asymmetry and Increased Extreme Negative Events under Future Greenhouse Warming
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DOI: 10.1175/jcli-d-24-0107.1
Abstract: The Indian Ocean Dipole (IOD) is a prominent interannual phenomenon in the tropical Indian Ocean (TIO), influencing weather and climate globally, particularly during extreme IOD events. The IOD shows notable amplitude asymmetry in both observations… read more here.
Keywords: ocean dipole; iod events; extreme negative; asymmetry ... See more keywords