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Sojourn Times and the Fragility Index
Sojourn time fragility index extreme value process functional domain of attraction copula process generalized Pareto process
2011/9/22
Abstract: We investigate the sojourn time above a high threshold of a continuous stochastic process Y on [0,1]. It turns out that the limit, as the threshold increases, of the expected sojourn time gi...
The level crossing analysis of German stock market index (DAX) and daily oil price time series
German stock market index daily oil price time series
2010/4/27
The level crossing analysis of DAX and oil price time series are given. We determine the average frequency of positive-slope crossings, $\nu_{\alpha}^+$, where $T_{\alpha} =1/\nu_{\alpha}^+ $ is the a...