Power-law behaviour in time durations between extreme returns

This paper studies time durations between extreme returns with the aim of testing whether they follow power-law behaviour. Using the Hill estimator to identify extreme returns and estimate time durations, empirical evidence for intraday returns for the S&P 500, DAX and IBEX-35 stock market indexes indicates that the time durations between extreme events are well characterized by a -Weibull density with power-law behaviour tails. We also characterize the conditional time duration for an autoregressive conditional duration model with a -Weibull distribution.