Stable mixture model with dependent states for financial return series exhibiting short histories and periods of strong passivity

Audrius Kabašinskas; Svetlozar T. Rachev; Leonidas Sakalauskas; W. E.I. Sun; Igoris Belovas

Stable mixture model with dependent states for financial return series exhibiting short histories and periods of strong passivity

Audrius Kabašinskas, Svetlozar T. Rachev, Leonidas Sakalauskas, W. E.I. Sun, Igoris Belovas

Mathematics and Statistics

Research output: Contribution to journal › Article

10 Scopus citations

Abstract

The paper provides some analysis solutions for financial return series exhibiting short histories and periods of strong passivity. The mixed-stable law is used to fit the forex data and the self-similarity analysis is made as well. The power-corelation measure is used to describe the relation between the presented series.

Original language	English
Journal	Journal of Computational Analysis and Applications
Volume	12
Issue number	1-A
State	Published - 2010

Keywords

Forex volatility
Mixed-stable model
Passivity
Power-corelation measures

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Kabašinskas, A., Rachev, S. T., Sakalauskas, L., Sun, W. E. I., & Belovas, I. (2010). Stable mixture model with dependent states for financial return series exhibiting short histories and periods of strong passivity. Journal of Computational Analysis and Applications, 12(1-A).

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AU - Sun, W. E.I.

AU - Belovas, Igoris

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KW - Forex volatility

KW - Mixed-stable model

KW - Passivity

KW - Power-corelation measures

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